Heteroskedasticity-robust inference in finite samples

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 116
Issue: 2
Pages: 232-235

Authors (2)

Hausman, Jerry (Massachusetts Institute of Tec...) Palmer, Christopher (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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 expansion of the test statistic distribution. Our preferred test outperforms existing methods in both size and power for low, moderate, and severe levels of heteroskedasticity.

Technical Details

RePEc Handle
repec:eee:ecolet:v:116:y:2012:i:2:p:232-235
Journal Field
General
Author Count
2
Added to Database
2026-01-25