A Comment on a Paper of Cribari-Neto and Zarkos

Emmanuel Flachaire

G.R.E.Q.A.M. from Universite Aix-Marseille III

Abstract: Recent results of Cribari-Neto and Zarkos show that bootstrap methods can be successfully used to estimate a heteroskedasticity robust covariance matrix estimator. We show that their bootstrap estimator can be calculated directly, without bootstrapping, and that inference based on it may not be reliable in finite samples.

Keywords: REGRESSION ANALYSIS; HETEROSKEDASTICITY; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 10 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:fth:aixmeq:99a05

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