Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties☆
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We are very grateful to an anonymous referee for a number of very useful suggestions and comments. Earlier versions of this paper appeared as UCSD Department of Economics Discussion Paper No. 82-18, and as Queen's University Institute for Economic Research Discussion Paper No. 537, 1983. Some computer funds were provided by the University of California, but most of the computing was done on an IBM 3081 at Queen's University. MacKinnon's research was supported, in part, by grants from the Social Sciences and Humanities Research Council of Canada.
Copyright © 1985 Published by Elsevier B.V.