A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
Опубликовано на портале: 06-04-2004
Econometrica.
1980.
Vol. 48.
No. 4.
P. 817-838.
Тематический раздел:
This paper presents a parameter covariance matrix estimator which is consistent even
when the disturbances of a linear regression model are heteroskedastic. This estimator
does not depend on a formal model of the structure of the heteroskedasticity. By
comparing the elements of the new estimator to those of the usual covariance estimator,
one obtains a direct test for heteroskedasticity, since in the absence of heteroskedasticity,
the two estimators will be approximately equal, but will generally diverge otherwise.
The test has an appealing least squares interpretation.
Ключевые слова
covariance matrix ковариационный анализ математическая модель модель линейной регрессии регрессионная модель эконометрическая модель экономическая модель
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Biometrika.
1957.
Vol. 44.
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