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

White, H. (1980). A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica, 48(4), 817-838.

Type

Journal article

Intellectual base

Primary research

Year

1980

Volume

48

Issue

4

Pages

817-838

DOI

10.2307/1912934

DOI registrant

JSTOR

Link

https://doi.org/10.2307/1912934

Cited by

1 citation across 1 artifact.

Domain-specific

• Homoscedasticity and heteroscedasticity
  • Homoscedasticity means that a declared conditional variance such as \(\operatorname{Var}(\varepsilon_i\mid X)\) is constant over the conditioning space; heteroscedasticity means that this variance varies with observations or covariates.

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Registry ID ref:5958f54f92f4 · see in the full table