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.
Keywords
HeteroscedasticityMathematicsEconometricsEstimatorCovariance matrixEstimation of covariance matricesTest (biology)Statistics
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Publication Info
- Year
- 1980
- Type
- article
- Volume
- 48
- Issue
- 4
- Pages
- 817-817
- Citations
- 25667
- Access
- Closed
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Cite This
Halbert White
(1980).
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity.
Econometrica
, 48
(4)
, 817-817.
https://doi.org/10.2307/1912934
Identifiers
- DOI
- 10.2307/1912934