Heteroskedasticity-Robust Inference in Finite Samples / Jerry A. Hausman, Christopher J. Palmer.

Format:

Book

Author/Creator:

Hausman, Jerry A.

Contributor:

National Bureau of Economic Research.

Palmer, Christopher J.

Series:

Working Paper Series (National Bureau of Economic Research) no. w17698.

NBER working paper series no. w17698

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2011.

Summary:

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.

Notes:

Print version record

December 2011.