Bootstrapping heteroskedasticity consistent covariance matrix estimator

Emmanuel Flachaire

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: 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
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00175897
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Citations: View citations in EconPapers (7)

Published in Computational Statistics, 2002, 17 (4), pp.501-506

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Journal Article: Bootstrapping heteroskedasticity consistent covariance matrix estimator (2002)
Working Paper: Bootstrapping heteroskedasticity consistent covariance matrix estimator (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00175897

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