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

@article{White1980AHC, title={A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity}, author={Halbert L. White}, journal={Econometrica}, year={1980}, volume={48}, pages={817-838} }

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…

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