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}
}
  • H. White
  • Published 1 May 1980
  • Mathematics, Economics
  • Econometrica
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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