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Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties
Journal of Econometrics · 1985 · Vol. 29(3) · pp. 305–325
James G. MacKinnon✉(Queen's University)Halbert White(University of California, San Diego)
Statistical Methods and Bayesian InferenceStatistical Distribution Estimation and ApplicationsAdvanced Statistical Methods and ModelsHeteroscedasticityJackknife resamplingMathematicsEstimatorCovariance matrixEconometricsStatisticsCovarianceEstimation of covariance matricesApplied mathematics
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References
A Simple Test for Heteroscedasticity and Random Coefficient Variation
Econometrica · 1979 · 5,248 citations
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
Econometrica · 1980 · 25,944 citations
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