Bootstrapping heteroskedasticity consistent covariance matrix estimator

Emmanuel Flachaire

Computational Statistics, 2002, vol. 17, issue 4, No 4, 506 pages

Abstract: Summary Recent results of Cribari-Neto and Zarkos (1999) show that bootstrap methods can be successfully used to estimate a heteroskedasticity robust covariance matrix estimator. In this paper, we show that the wild bootstrap estimator can be calculated directly, without simulations, as it is just a more traditional estimator. Their experimental results seem to conflict with those of MacKinnon and White (1985); we reconcile these two results.

Keywords: wild bootstrap; heteroskedasticity (search for similar items in EconPapers)
Date: 2002
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Working Paper: Bootstrapping heteroskedasticity consistent covariance matrix estimator (2002)
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DOI: 10.1007/s001800200122

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