In this study, we propose a kind of semi-parametric generalized method of moments (GMM) estimator that is not only heteroskedasticity robust but also takes a closed form written explicitly in terms of observed data. We derive the asymptotic distributions of our estimators. Moreover, the results ...
Inlinear regression analysis, anestimator of the asymptotic covariance matrixof the OLS estimator is said to be heteroskedasticity-robust if it converges asymptotically to the true value even when the variance of the errors of the regression is not constant. In this case, also the standard errors,...
This popular estimator of the covariance matrix has various names: White's (1980)estimator; heteroskedasticity-consistent estimator (HCE); heteroskedasticity-robust estimator. The square roots of the diagonal entries of the HCE matrix are estimators of thestandard deviationsof the regression coefficients....
On some heteroskedasticity-robust estimators of variance-covariance matrix / 1993:105 Chesher and Jewitt (1987) demonstrated that the Eicker (1963) and White (1980) consistent estimator of the variance-covariance matrix in heteroskedastic mo... AK Bera,T Suprayitno - Champaign : University of Ill...
standard errors),简称“稳健标准误”(robust standard errors)。 在形式上,稳健标准误为“夹心估计量”(sandwich estimator)。 31 稳健标准误最早由 Eicker(1967) ,Huber(1967) 与 White(1980) 提出,故也称 White’s standard errors , Huber-White standard errors ,或 Eicker-Huber-White standard errors...
The conventional heteroskedasticity-robust (HR) variance matrix estimator for cross-sectional regression (with or without a degrees-of-freedom adjustment), applied to the fixed-effects estimator for panel data with serially uncorrelated errors, is inconsistent if the number of time periods T is fixed...
price and quantities arestochastic variablesthat are correlated with the error terms in each equation. Both supply and demand are functions of price, a stochastic variable correlated with the error terms; hence, OLS is an inappropriate estimator for the unknown parameters. Before estimation can be ...
All of the heteroskedasticity-consistent covariance matrix estimators in the literature (commonly denoted HCj for j=0,1,2, etc.) have the same sandwich estimator form with variations in the estimated sample matrix that is used for (X′ΣX). We are interested in test statistics of the form ...
Heteroskedasticity-robustFstatisticHeteroskedasticity-robustLMstatistic 异方差检验方法：B-P方法；White方法；异方差处理：GLSFGLS 8.1ConsequencesofHeteroskedasticityforOLS HeteroskedasticityNotChange: UnbiasednessConsistency Change:BiasedvarianceofOLSestimator,Invalidt,F,...
1Thevarianceoftheasymptoticdistributionin(3)isestimatedby1ˆXXXQ1−,,,whereˆXX,,=andisaheteroskedasticity-robust(HR)covariancematrix11)nTitittTXX==′∑,,ˆΣ estimator. AfrequentlyusedHRestimatorofΣis ˆHRXS= 21ˆTititittXXuTnk==′−∑∑,,,(4) where...