A Minimax Bias Estimator for OLS Variances under Heteroskedasticity
Mumtaz Ahmed () and
Asad Zaman ()
MPRA Paper from University Library of Munich, Germany
Analytic evaluation of heteroskedasticity consistent covariance matrix estimates (HCCME) is difficult because of the complexity of the formulae currently available. We obtain new analytic formulae for the bias of a class of estimators of the covariance matrix of OLS in a standard linear regression model. These formulae provide substantial insight into the properties and performance characteristics of these estimators. In particular, we find a new estimator which minimizes the maximum possible bias and improves substantially on the standard Eicker-White estimate.
Keywords: Eicker-White; OLS; Bias; Worst Case Bias (search for similar items in EconPapers)
JEL-codes: C1 C2 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:55724
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