Improved heteroscedasticity-consistent covariance matrix estimators
成果类型：
Article
署名作者：
Cribari-Neto, F; Ferrari, SLP; Cordeiro, GM
署名单位：
Universidade Federal de Pernambuco; Universidade de Sao Paulo; Universidade Federal da Bahia
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/87.4.907
发表日期：
2000
页码：
907918
关键词：
摘要：
The heteroscedasticity-consistent covariance matrix estimator proposed by White (1980) is commonly used in practical applications and is implemented into a number of pieces of statistical software. However, although consistent, it can display substantial bias in small to moderately large samples, as shown by Monte Carlo simulations elsewhere. This paper defines modified White estimators which are approximately bias-free. Numerical results show that the modified estimators display much smaller bias than White's estimator in small samples. We also show that the bias correction leads to some variance inflation. In hypothesis testing based on heteroscedasticity-consistent covariance matrix estimators, numerical results suggest that tests based on the proposed bias-corrected estimators typically display smaller size distortions.