Heteroskedasticity-robust inference in finite samples
Since the advent of heteroskedasticity-robust standard errors, several papers have proposed adjustments to the original White formulation. We replicate earlier findings that each of these adjusted estimators performs quite poorly in finite samples. We propose a class of alternative heteroskedasticit...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
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Elsevier
2016
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| Online Access: | http://hdl.handle.net/1721.1/101252 https://orcid.org/0000-0002-5433-9435 |
| _version_ | 1811071459479519232 |
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| author | Palmer, Christopher Hausman, Jerry A. |
| author2 | Massachusetts Institute of Technology. Department of Economics |
| author_facet | Massachusetts Institute of Technology. Department of Economics Palmer, Christopher Hausman, Jerry A. |
| author_sort | Palmer, Christopher |
| collection | MIT |
| description | Since the advent of heteroskedasticity-robust standard errors, several papers have proposed adjustments to the original White formulation. We replicate earlier findings that each of these adjusted estimators performs quite poorly in finite samples. We propose a class of alternative heteroskedasticity-robust tests of linear hypotheses based on an Edgeworth expansion of the test statistic distribution. Our preferred test outperforms existing methods in both size and power for low, moderate, and severe levels of heteroskedasticity. |
| first_indexed | 2024-09-23T08:51:18Z |
| format | Article |
| id | mit-1721.1/101252 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T08:51:18Z |
| publishDate | 2016 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | mit-1721.1/1012522022-09-30T11:44:25Z Heteroskedasticity-robust inference in finite samples Palmer, Christopher Hausman, Jerry A. Massachusetts Institute of Technology. Department of Economics Hausman, Jerry A. Palmer, Christopher Since the advent of heteroskedasticity-robust standard errors, several papers have proposed adjustments to the original White formulation. We replicate earlier findings that each of these adjusted estimators performs quite poorly in finite samples. We propose a class of alternative heteroskedasticity-robust tests of linear hypotheses based on an Edgeworth expansion of the test statistic distribution. Our preferred test outperforms existing methods in both size and power for low, moderate, and severe levels of heteroskedasticity. National Science Foundation (U.S.). Graduate Research Fellowship (Grant 0645960) 2016-02-24T15:55:13Z 2016-02-24T15:55:13Z 2012-02 2012-01 Article http://purl.org/eprint/type/JournalArticle 01651765 http://hdl.handle.net/1721.1/101252 Hausman, Jerry, and Christopher Palmer. “Heteroskedasticity-Robust Inference in Finite Samples.” Economics Letters 116, no. 2 (August 2012): 232–235. https://orcid.org/0000-0002-5433-9435 en_US http://dx.doi.org/10.1016/j.econlet.2012.02.007 Economics Letters Creative Commons Attribution-Noncommercial-NoDerivatives http://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf Elsevier MIT Web Domain |
| spellingShingle | Palmer, Christopher Hausman, Jerry A. Heteroskedasticity-robust inference in finite samples |
| title | Heteroskedasticity-robust inference in finite samples |
| title_full | Heteroskedasticity-robust inference in finite samples |
| title_fullStr | Heteroskedasticity-robust inference in finite samples |
| title_full_unstemmed | Heteroskedasticity-robust inference in finite samples |
| title_short | Heteroskedasticity-robust inference in finite samples |
| title_sort | heteroskedasticity robust inference in finite samples |
| url | http://hdl.handle.net/1721.1/101252 https://orcid.org/0000-0002-5433-9435 |
| work_keys_str_mv | AT palmerchristopher heteroskedasticityrobustinferenceinfinitesamples AT hausmanjerrya heteroskedasticityrobustinferenceinfinitesamples |