Thirty Years of Heteroskedasticity-Robust Inference

[1]  James G. MacKinnon,et al.  Confidence Sets Based on Inverting Anderson–Rubin Tests , 2014 .

[2]  D. Poirier Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap , 2011 .

[3]  Francisco Cribari‐Neto,et al.  Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form , 2010 .

[4]  Douglas L. Miller,et al.  Robust Inference with Clustered Data , 2010 .

[5]  Dimitris N. Politis,et al.  Model-free model-fitting and predictive distributions , 2010 .

[6]  James G. MacKinnon,et al.  Wild Bootstrap Tests for IV Regression , 2010 .

[7]  Francisco Cribari-Neto,et al.  Heteroskedasticity-consistent interval estimators , 2009 .

[8]  Tatiene C. Souza,et al.  Errata: Inference Under Heteroskedasticity and Leveraged Data, Communications in Statistics, Theory and Methods, 36, 1877–1888, 2007 , 2008 .

[9]  David Hinkley,et al.  Bootstrap Methods: Another Look at the Jackknife , 2008 .

[10]  Tatiene C. Souza,et al.  Inference Under Heteroskedasticity and Leveraged Data , 2007 .

[11]  James G. MacKinnon,et al.  Simulation-Based Tests that Can Use Any Number of Simulations , 2007, Commun. Stat. Simul. Comput..

[12]  J. MacKinnon,et al.  The power of bootstrap and asymptotic tests , 2006 .

[13]  D. Politis,et al.  Bootstrap hypothesis testing in regression models , 2005 .

[14]  Emmanuel Flachaire,et al.  Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap , 2005, Comput. Stat. Data Anal..

[15]  Francisco Cribari-Neto,et al.  Asymptotic inference under heteroskedasticity of unknown form , 2004, Comput. Stat. Data Anal..

[16]  T. Lancaster A Note on Bootstraps and Robustness , 2003 .

[17]  J. MacKinnon Bootstrap Inference in Econometrics , 2002 .

[18]  J. Fox Bootstrapping Regression Models , 2002 .

[19]  Qi Lianfen,et al.  Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators , 2001 .

[20]  Finite-sample properties of the bootstrap estimator in a Markov-switching model , 2001 .

[21]  Joel L. Horowitz,et al.  The bootstrap and hypothesis tests in econometrics , 2001 .

[22]  J. MacKinnon,et al.  Bootstrap tests: how many bootstraps? , 2000 .

[23]  Emmanuel Flachaire,et al.  The wild bootstrap, tamed at last , 2001 .

[24]  Emmanuel Flachaire A better way to bootstrap pairs , 1999 .

[25]  James G. MacKinnon,et al.  THE SIZE DISTORTION OF BOOTSTRAP TESTS , 1999, Econometric Theory.

[26]  J. Driscoll,et al.  Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data , 1998, Review of Economics and Statistics.

[27]  Marilena Furno Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator , 1996 .

[28]  W. Newey,et al.  Automatic Lag Selection in Covariance Matrix Estimation , 1994 .

[29]  W. Rogers Regression standard errors in clustered samples , 1994 .

[30]  J. MacKinnon,et al.  Estimation and inference in econometrics , 1994 .

[31]  E. Mammen Bootstrap and Wild Bootstrap for High Dimensional Linear Models , 1993 .

[32]  Donald W. K. Andrews,et al.  An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator , 1992 .

[33]  D. Andrews Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation , 1991 .

[34]  A. Chesher,et al.  THE FINITE-SAMPLE DISTRIBUTIONS OF HETEROSKEDASTICITY ROBUST WALD STATISTICS , 1991 .

[35]  Kenneth A. Froot Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data , 1989, Journal of Financial and Quantitative Analysis.

[36]  A. Chesher Hajek Inequalities, Measures of Leverage and the Size of Heteroskedasticity Robust Wald Tests , 1989 .

[37]  Regina Y. Liu Bootstrap Procedures under some Non-I.I.D. Models , 1988 .

[38]  A. Chesher,et al.  The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator , 1987 .

[39]  B. Efron The jackknife, the bootstrap, and other resampling plans , 1987 .

[40]  W. Newey,et al.  A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .

[41]  Karl-Heinz Jockel,et al.  Finite Sample Properties and Asymptotic Efficiency of Monte Carlo Tests , 1986 .

[42]  R. Stine Bootstrap Prediction Intervals for Regression , 1985 .

[43]  H. White,et al.  Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties☆ , 1985 .

[44]  H. White,et al.  Nonlinear Regression with Dependent Observations , 1984 .

[45]  B. Efron,et al.  The Jackknife: The Bootstrap and Other Resampling Plans. , 1983 .

[46]  L. Hansen Large Sample Properties of Generalized Method of Moments Estimators , 1982 .

[47]  H. White Maximum Likelihood Estimation of Misspecified Models , 1982 .

[48]  H. White A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity , 1980 .

[49]  D. Hinkley Jackknifing in Unbalanced Situations , 1977 .

[50]  D. B. Duncan,et al.  Estimating Heteroscedastic Variances in Linear Models , 1975 .

[51]  F. Eicker Limit Theorems for Regressions with Unequal and Dependent Errors , 1967 .

[52]  F. Eicker Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions , 1963 .