Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties

James MacKinnon and Halbert White

Working Paper from Economics Department, Queen's University

Abstract: We examine several modified versions of the heteroskedasticity-consistent covariance matrix estimator of Hinkley and White. On the basis of sampling experiments which compare the performance of quasi t statistics, we find that one estimator, based on the jackknife, performs better in small samples than the rest. We also examine finite-sample properties using modified critical values based on Edgeworth approximations, as proposed by Rothenberg. In addition, we compare the power of several tests for heteroskedasticity and find that it may be wise to employ the jackknife heteroskedasticity-consistent covariance matrix even in the absence of detected heteroskedasticity.

Keywords: Jackknife; Heteroskedasticity; HCCME; Edgeworth approximations (search for similar items in EconPapers)
JEL-codes: C10 C12 (search for similar items in EconPapers)
Pages: 23
Date: 1983
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Citations: View citations in EconPapers (11)

Published in Journal of Econometrics, 29, 1985

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http://qed.econ.queensu.ca/working_papers/papers/qed_wp_537.pdf First version 1983 (application/pdf)

Related works:
Journal Article: Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties (1985)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:537

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