A simulation-based evidence on the improved performance of a new modified leverage adjusted heteroskedastic consistent covariance matrix estimator in the linear regression model

In this paper, we present a new heteroskedastic consistent (HC) covariance matrix estimator which considers the effect of leverage observations and which has a better approximation of its true asymptotic distribution. We point out that the basic motivation behind this new modified HC estimator is t...

Full description

Saved in:
Bibliographic Details
Main Authors: Nuzhat Aftab, Sohail Chand
Format: Article
Language:English
Published: Elsevier 2018-08-01
Series:Kuwait Journal of Science
Subjects:
Online Access:https://journalskuwait.org/kjs/index.php/KJS/article/view/1962
Tags: Add Tag
No Tags, Be the first to tag this record!