Elsevier

Journal of Econometrics

Volume 29, Issue 3, September 1985, Pages 305-325
Journal of Econometrics

Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties

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Abstract

We examine several modified versions of the heteroskedasticity-consistent covariance matrix estimator of Hinkley (1977) and White (1980). 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 the finite-sample properties of using modified critical values based on Edgeworth approximations, as proposed by Rothenberg (1984). 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.

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Cited by (0)

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.

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