A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity Export

@article{white-80, abstract = {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.}, author = {White, Halbert}, citeulike-article-id = {1211566}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/1912934}, citeulike-linkout-1 = {http://www.jstor.org/stable/1912934}, doi = {10.2307/1912934}, journal = {Econometrica}, keywords = {480-3, heteroskedasticity, ols}, number = {4}, pages = {817--838}, posted-at = {2007-04-06 00:53:44}, priority = {2}, title = {A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity}, url = {http://dx.doi.org/10.2307/1912934}, volume = {48}, year = {1980} }

TY - JOUR ID - white-80 L3 - citeulike-article-id:1211566 N2 - 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. IS - 4 JF - Econometrica EP - 838 TI - A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity VL - 48 SP - 817 KW - 480-3 KW - heteroskedasticity KW - ols AU - White, Halbert PY - 1980/// UR - http://dx.doi.org/10.2307/1912934 ER -