Heteroskedasticity-robust inference in finite samples

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.

Subjects

Series Statement

• NBER working paper series -- working paper 17698
• Working paper series (National Bureau of Economic Research : Online) -- working paper no. 17698.

Links

• http://www.nber.org/papers/w17698