SOME HETEROSKEDASTICITY-CONSISTENT COVARIANCE-MATRIX ESTIMATORS WITH IMPROVED FINITE-SAMPLE PROPERTIES
SOME HETEROSKEDASTICITY-CONSISTENT COVARIANCE-MATRIX ESTIMATORS WITH IMPROVED FINITE-SAMPLE PROPERTIES
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DOI：
10.1016/0304-4076(85)90158-7
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发表时间：
1985-01-01
影响因子：
6.3
通讯作者：
WHITE, H
中科院分区：
文献类型：
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作者：
MACKINNON, JG;WHITE, H
我们检验了Hinkley(1977)和White(1980)的异方差相容协方差矩阵估计的几个修正版本。在抽样实验的基础上，比较了拟统计量的性能，我们发现，在小样本情况下，基于折刀的估计器比其他估计器的性能更好。我们还考察了Rothenberg(1984)提出的基于Edgeworth近似的修正临界值的有限样本性质。此外，我们比较了几种异方差检验的能力，发现即使在没有检测到异方差的情况下，使用刀切异方差相容协方差矩阵也可能是明智的。
We examine several modified versions of the heteroskedasticity-consistent covariance matrix estimator of Hinkley (1977) and White (1980). On the basis of sampling experiments which compare the performance of quasit-statistics, we find that one estimator, based on the jackknife, performs better in small samples than the rest. We also examine the finite-sample properties of using modified critical values based on Edgeworth approximations, as proposed by Rothenberg (1984). In addition, we compare the power of several tests for heteroskedasticity, and find that it may be wise to employ the jackknife heteroskedasticity-consistent covariance matrix even in the absence of detected heteroskedasticity.