Improved heteroscedasticity‐consistent covariance matrix estimators

Detalhes bibliográficos
Autor(a) principal: Cribari Neto, Francisco
Data de Publicação: 2000
Outros Autores: Ferrari, Silvia L. P., Cordeiro, Gauss Moutinho
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UFBA
Texto Completo: http://www.repositorio.ufba.br/ri/handle/ri/7805
Resumo: Texto completo: acesso restrito. p. 907-918
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spelling Cribari Neto, FranciscoFerrari, Silvia L. P.Cordeiro, Gauss MoutinhoCribari Neto, FranciscoFerrari, Silvia L. P.Cordeiro, Gauss Moutinho2013-01-11T11:37:39Z20000006-3444http://www.repositorio.ufba.br/ri/handle/ri/7805v. 87, n. 4Texto completo: acesso restrito. p. 907-918The heteroscedasticity‐consistent covariance matrix estimator proposed by White (1980) is commonly used in practical applications and is implemented into a number of pieces of statistical software. However, although consistent, it can display substantial bias in small to moderately large samples, as shown by Monte Carlo simulations elsewhere. This paper defines modified White estimators which are approximately bias‐free. Numerical results show that the modified estimators display much smaller bias than White's estimator in small samples. We also show that the bias correction leads to some variance inflation. In hypothesis testing based on heteroscedasticity‐consistent covariance matrix estimators, numerical results suggest that tests based on the proposed bias‐corrected estimators typically display smaller size distortions.Submitted by Suelen Reis (suelen_suzane@hotmail.com) on 2013-01-11T11:37:39Z No. of bitstreams: 1 Cribari.pdf: 145787 bytes, checksum: 3d500f122a84feddc94cec7b579c84b6 (MD5)Made available in DSpace on 2013-01-11T11:37:39Z (GMT). No. of bitstreams: 1 Cribari.pdf: 145787 bytes, checksum: 3d500f122a84feddc94cec7b579c84b6 (MD5) Previous issue date: 2000http://dx.doi.org/10.1093/biomet/87.4.907reponame:Repositório Institucional da UFBAinstname:Universidade Federal da Bahia (UFBA)instacron:UFBABias correctionCovariance matrix estimationHeteroscedasticityLinear regressioImproved heteroscedasticity‐consistent covariance matrix estimatorsBiometrikainfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article10000-01-01enginfo:eu-repo/semantics/openAccessORIGINALCribari.pdfCribari.pdfapplication/pdf145787https://repositorio.ufba.br/bitstream/ri/7805/1/Cribari.pdf3d500f122a84feddc94cec7b579c84b6MD51LICENSElicense.txtlicense.txttext/plain1762https://repositorio.ufba.br/bitstream/ri/7805/2/license.txt1b89a9a0548218172d7c829f87a0eab9MD52ri/78052022-07-05 14:03:03.754oai:repositorio.ufba.br:ri/7805VGVybW8gZGUgTGljZW7vv71hLCBu77+9byBleGNsdXNpdm8sIHBhcmEgbyBkZXDvv71zaXRvIG5vIHJlcG9zaXTvv71yaW8gSW5zdGl0dWNpb25hbCBkYSBVRkJBCgogICAgUGVsbyBwcm9jZXNzbyBkZSBzdWJtaXNz77+9byBkZSBkb2N1bWVudG9zLCBvIGF1dG9yIG91IHNldQpyZXByZXNlbnRhbnRlIGxlZ2FsLCBhbyBhY2VpdGFyIGVzc2UgdGVybW8gZGUgbGljZW7vv71hLCBjb25jZWRlIGFvClJlcG9zaXTvv71yaW8gSW5zdGl0dWNpb25hbCBkYSBVbml2ZXJzaWRhZGUgRmVkZXJhbCBkYSBCYWhpYSBvIGRpcmVpdG8KZGUgbWFudGVyIHVtYSBj77+9cGlhIGVtIHNldSByZXBvc2l077+9cmlvIGNvbSBhIGZpbmFsaWRhZGUsIHByaW1laXJhLCAKZGUgcHJlc2VydmHvv73vv71vLiBFc3NlcyB0ZXJtb3MsIG7vv71vIGV4Y2x1c2l2b3MsIG1hbnTvv71tIG9zIGRpcmVpdG9zIGRlIAphdXRvci9jb3B5cmlnaHQsIG1hcyBlbnRlbmRlIG8gZG9jdW1lbnRvIGNvbW8gcGFydGUgZG8gYWNlcnZvIGludGVsZWN0dWFsIGRlc3NhIFVuaXZlcnNpZGFkZS4gCgogICAgUGFyYSBvcyBkb2N1bWVudG9zIHB1YmxpY2Fkb3MgY29tIHJlcGFzc2UgZGUgZGlyZWl0b3MgZGUgZGlzdHJpYnVp77+977+9bywgZXNzZSB0ZXJtbyBkZSBsaWNlbu+/vWEgZW50ZW5kZSBxdWU6IAoKICAgIE1hbnRlbmRvIG9zICBkaXJlaXRvcyBhdXRvcmFpcywgcmVwYXNzYWRvcyBhIHRlcmNlaXJvcywgZW0gY2FzbyAKZGUgcHVibGljYe+/ve+/vWVzLCBvIHJlcG9zaXTvv71yaW8gcG9kZSByZXN0cmluZ2lyIG8gYWNlc3NvIGFvIHRleHRvIAppbnRlZ3JhbCwgbWFzIGxpYmVyYSBhcyBpbmZvcm1h77+977+9ZXMgc29icmUgbyBkb2N1bWVudG8gKE1ldGFkYWRvcyBkZXNjcml0aXZvcykuCgogRGVzdGEgZm9ybWEsIGF0ZW5kZW5kbyBhb3MgYW5zZWlvcyBkZXNzYSB1bml2ZXJzaWRhZGUgCmVtIG1hbnRlciBzdWEgcHJvZHXvv73vv71vIGNpZW5077+9ZmljYSBjb20gYXMgcmVzdHJp77+977+9ZXMgaW1wb3N0YXMgcGVsb3MgCmVkaXRvcmVzIGRlIHBlcmnvv71kaWNvcy4gCgogICAgUGFyYSBhcyBwdWJsaWNh77+977+9ZXMgZW0gaW5pY2lhdGl2YXMgcXVlIHNlZ3VlbSBhIHBvbO+/vXRpY2EgZGUgCkFjZXNzbyBBYmVydG8sIG9zIGRlcO+/vXNpdG9zIGNvbXB1bHPvv71yaW9zIG5lc3NlIHJlcG9zaXTvv71yaW8gbWFudO+/vW0gCm9zIGRpcmVpdG9zIGF1dG9yYWlzLCBtYXMgbWFudO+/vW0gbyBhY2Vzc28gaXJyZXN0cml0byBhbyBtZXRhZGFkb3MgCmUgdGV4dG8gY29tcGxldG8uIEFzc2ltLCBhIGFjZWl0Ye+/ve+/vW8gZGVzc2UgdGVybW8gbu+/vW8gbmVjZXNzaXRhIGRlIApjb25zZW50aW1lbnRvIHBvciBwYXJ0ZSBkZSBhdXRvcmVzL2RldGVudG9yZXMgZG9zIGRpcmVpdG9zLCBwb3IgCmVzdGFyZW0gZW0gaW5pY2lhdGl2YXMgZGUgYWNlc3NvIGFiZXJ0by4KCiAgICBFbSBhbWJvcyBvIGNhc28sIGVzc2UgdGVybW8gZGUgbGljZW7vv71hLCBwb2RlIHNlciBhY2VpdG8gcGVsbyAKYXV0b3IsIGRldGVudG9yZXMgZGUgZGlyZWl0b3MgZS9vdSB0ZXJjZWlyb3MgYW1wYXJhZG9zIHBlbGEgCnVuaXZlcnNpZGFkZS4gRGV2aWRvIGFvcyBkaWZlcmVudGVzIHByb2Nlc3NvcyBwZWxvIHF1YWwgYSBzdWJtaXNz77+9byAKcG9kZSBvY29ycmVyLCBvIHJlcG9zaXTvv71yaW8gcGVybWl0ZSBhIGFjZWl0Ye+/ve+/vW8gZGEgbGljZW7vv71hIHBvciAKdGVyY2Vpcm9zLCBzb21lbnRlIG5vcyBjYXNvcyBkZSBkb2N1bWVudG9zIHByb2R1emlkb3MgcG9yIGludGVncmFudGVzIApkYSBVRkJBIGUgc3VibWV0aWRvcyBwb3IgcGVzc29hcyBhbXBhcmFkYXMgcG9yIGVzdGEgaW5zdGl0dWnvv73vv71vLgo=Repositório InstitucionalPUBhttp://192.188.11.11:8080/oai/requestopendoar:19322022-07-05T17:03:03Repositório Institucional da UFBA - Universidade Federal da Bahia (UFBA)false
dc.title.pt_BR.fl_str_mv Improved heteroscedasticity‐consistent covariance matrix estimators
dc.title.alternative.pt_BR.fl_str_mv Biometrika
title Improved heteroscedasticity‐consistent covariance matrix estimators
spellingShingle Improved heteroscedasticity‐consistent covariance matrix estimators
Cribari Neto, Francisco
Bias correction
Covariance matrix estimation
Heteroscedasticity
Linear regressio
title_short Improved heteroscedasticity‐consistent covariance matrix estimators
title_full Improved heteroscedasticity‐consistent covariance matrix estimators
title_fullStr Improved heteroscedasticity‐consistent covariance matrix estimators
title_full_unstemmed Improved heteroscedasticity‐consistent covariance matrix estimators
title_sort Improved heteroscedasticity‐consistent covariance matrix estimators
author Cribari Neto, Francisco
author_facet Cribari Neto, Francisco
Ferrari, Silvia L. P.
Cordeiro, Gauss Moutinho
author_role author
author2 Ferrari, Silvia L. P.
Cordeiro, Gauss Moutinho
author2_role author
author
dc.contributor.author.fl_str_mv Cribari Neto, Francisco
Ferrari, Silvia L. P.
Cordeiro, Gauss Moutinho
Cribari Neto, Francisco
Ferrari, Silvia L. P.
Cordeiro, Gauss Moutinho
dc.subject.por.fl_str_mv Bias correction
Covariance matrix estimation
Heteroscedasticity
Linear regressio
topic Bias correction
Covariance matrix estimation
Heteroscedasticity
Linear regressio
description Texto completo: acesso restrito. p. 907-918
publishDate 2000
dc.date.issued.fl_str_mv 2000
dc.date.accessioned.fl_str_mv 2013-01-11T11:37:39Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.repositorio.ufba.br/ri/handle/ri/7805
dc.identifier.issn.none.fl_str_mv 0006-3444
dc.identifier.number.pt_BR.fl_str_mv v. 87, n. 4
identifier_str_mv 0006-3444
v. 87, n. 4
url http://www.repositorio.ufba.br/ri/handle/ri/7805
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.pt_BR.fl_str_mv http://dx.doi.org/10.1093/biomet/87.4.907
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFBA
instname:Universidade Federal da Bahia (UFBA)
instacron:UFBA
instname_str Universidade Federal da Bahia (UFBA)
instacron_str UFBA
institution UFBA
reponame_str Repositório Institucional da UFBA
collection Repositório Institucional da UFBA
bitstream.url.fl_str_mv https://repositorio.ufba.br/bitstream/ri/7805/1/Cribari.pdf
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