Improved heteroscedasticity-consistent covariance matrix estimators
Improved heteroscedasticity-consistent covariance matrix estimators
The 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 …