Bootstrapping heteroskedasticity consistent covariance matrix estimator
Flachaire, Emmanuel
HAL, halshs-00175897 / Harvested from HAL
Text on HAL
Recent results of Cribari-Neto and Zarkos (1999) show that bootstrap methods can be successfully used to estimate a heteroskedasticity robust covariance matrix estimator. In this paper, we show that the wild bootstrap estimator can be calculated directly, without simulations, as it is just a more traditional estimator. Their experimental results seem to conflict with those of MacKinnon and White (1985); we reconcile these two results.
Publié le : 2002-07-05
Classification:  wild bootstrap,  heteroskedasticity,  [SHS.ECO]Humanities and Social Sciences/Economies and finances,  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] 
@article{halshs-00175897,
     author = {Flachaire, Emmanuel},
     title = {Bootstrapping heteroskedasticity consistent covariance matrix estimator},
     journal = {HAL},
     volume = {2002},
     number = {0},
     year = {2002},
     language = {en},
     url = {http://dml.mathdoc.fr/item/halshs-00175897}
}

Flachaire, Emmanuel. Bootstrapping heteroskedasticity consistent covariance matrix estimator. HAL, Tome 2002 (2002) no. 0, . http://gdmltest.u-ga.fr/item/halshs-00175897/