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Publications Influence

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

- H. White
- Mathematics
- 1 May 1980

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… Expand

23,052 1102- PDF

Multilayer feedforward networks are universal approximators

- K. Hornik, M. Stinchcombe, H. White
- Mathematics, Computer Science
- Neural Networks
- 1 July 1989

TLDR

15,372 363- PDF

Maximum Likelihood Estimation of Misspecified Models

- H. White
- Mathematics
- 1982

This paper examines the consequences and detection of model misspecification when using maximum likelihood techniques for estimation and inference. The quasi-maximum likelihood estimator (QMLE)… Expand

4,346 301- PDF

Asymptotic theory for econometricians

- H. White
- Economics, Mathematics
- 1 December 1985

The Linear Model and Instrumental Variables Estimators. Consistency. Laws of Large Numbers. Asymptotic Normality. Central Limit Theory. Estimating Asymptotic Covariance Matrices. Functional Central… Expand

1,633 233

Tests of Conditional Predictive Ability

- R. Giacomini, H. White
- Mathematics, Computer Science
- 1 June 2003

TLDR

1,282 223- PDF

A Reality Check for Data Snooping

- H. White
- Mathematics
- 1 September 2000

Data snooping occurs when a given set of data is used more than once for purposes of inference or model selection. When such data reuse occurs, there is always the possibility that any satisfactory… Expand

1,526 198- PDF

Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties☆

- J. MacKinnon, H. White
- Mathematics
- 1 September 1985

We examine several modified versions of the heteroskedasticity-consistent covariance matrix estimator of Hinkley and White. On the basis of sampling experiments which compare the performance of quasi… Expand

1,172 90- PDF

Estimation, inference, and specification analysis

- H. White
- Computer Science, Mathematics
- 1 September 1996

TLDR

730 81

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

- R. Wermers, Robert L. Kosowski, A. Timmermann, H. White
- Economics
- 2003

We apply an innovative bootstrap statistical technique to examine the performance of the U.S. equity mutual fund industry during the 1962 to 1994 period. Using this new method, we bootstrap the… Expand

510 79- PDF

Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap

- Ryan Sullivan, A. Timmermann, H. White
- Economics
- 1 October 1999

In this paper we utilize Whites Reality Check bootstrap methodology (White (1997)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its… Expand

941 66- PDF

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