Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap

Dale Poirier ()
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Dale Poirier: Department of Economics, University of California-Irvine

No 80905, Working Papers from University of California-Irvine, Department of Economics

Abstract: This paper provides Bayesian rationalizations for White’s heteroskedastic consistent (HC) covariance estimator and various modifications of it. An informed Bayesian bootstrap provides the statistical framework.

New Economics Papers: this item is included in nep-ecm and nep-ore
Date: 2008-09
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