Heteroskedasticity-robust inference in finite samples
Jerry Hausman and
Economics Letters, 2012, vol. 116, issue 2, 232-235
Since the advent of heteroskedasticity-robust standard errors, several papers have proposed adjustments to the original White formulation. We replicate earlier findings that each of these adjusted estimators performs quite poorly in finite samples. We propose a class of alternative heteroskedasticity-robust tests of linear hypotheses based on an Edgeworth expansion of the test statistic distribution. Our preferred test outperforms existing methods in both size and power for low, moderate, and severe levels of heteroskedasticity.
Keywords: Heteroskedasticity; Finite samples; Edgeworth expansion; Bootstrap (search for similar items in EconPapers)
JEL-codes: C1 C12 (search for similar items in EconPapers)
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Working Paper: Heteroskedasticity-Robust Inference in Finite Samples (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:2:p:232-235
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