A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity

Li, SY; Zhang, NH; Zhang, XQ; Wang, GN

Zhang, XQ (reprint author), Shanxi Univ, Sch Math Sci, Taiyuan 030006, Shanxi, Peoples R China.

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2017; 87 (1): 198

Abstract

To solve the heteroscedastic problem in linear regression, many different heteroskedasticity-consistent covariance matrix estimators have been propose......

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