Thirty Years Of Heteroskedasticity-robust Inference

James MacKinnon

No 1268, Working Paper from Economics Department, Queen's University

Abstract: White (1980) marked the beginning of a new era for inference in econometrics. It introduced the revolutionary idea of inference that is robust to heteroskedasticity of unknown form, an idea that was very soon extended to other forms of robust inference and also led to many new estimation methods. This paper discusses the development of heteroskedasticity-robust inference since 1980. There have been two principal lines of investigation. One approach has been to modify White`s original estimator to improve its finite-sample properties, and the other has been to use bootstrap methods. The relation between these two approaches, and some ways in which they may be combined, are discussed. Finally, a simulation experiment compares various methods and shows how far heteroskedasticity-robust inference has come in just over thirty years.

Keywords: wild bootstrap; HCCME; power; finite-sample (search for similar items in EconPapers)
JEL-codes: C12 C15 C20 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2012-04
New Economics Papers: this item is included in nep-ecm, nep-hpe and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1268

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