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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
HW
Halbert White
Halbert White
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1 May 1980
journal article
Published by
JSTOR
in
Econometrica
Vol. 48
(4)
,
817
https://doi.org/10.2307/1912934
Abstract
This paper presents a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic. Thi...
Keywords
MODEL
COVARIANCE MATRIX
DISTURBANCES
THI
CONSISTENT COVARIANCE
MATRIX ESTIMATOR
HETEROSKEDASTICITY CONSISTENT
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