Heteroskedasticity-robust inference in finite samples
By: Jerry A. Hausman, Christopher J. Palmer
Contributors: Palmer, Christopher J.; National Bureau of Economic Research
Series: NBER working paper series -- working paper 17698; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 17698.
Publisher: National Bureau of Economic Research
Published: 2011
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
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 expansions 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 Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 2/21/2012.

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