Robust heteroskedasticity-robust tests

Patrick Richard

Economics Letters, 2017, vol. 159, issue C, 28-32

Abstract: Hausman and Palmer (2012) suggest using the Edgeworth corrected critical values of Rothenberg (1988) along with a pairs bootstrap covariance matrix estimator in order to obtain second order correct heteroskedasticity-robust inferences. According to their simulations, this test has size comparable to and power greater than a wild bootstrap test. In this note, I show that this does not hold in general. Using a more extensive set of simulations reveals that the wild bootstrap test is much more robust to the underlying data generating process.

Keywords: Heteroskedasticity; Robust inference; Wild bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:159:y:2017:i:c:p:28-32

DOI: 10.1016/j.econlet.2017.07.008

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