Halbert White
1 paper in the Anchorcite directory, published in 1980, cited 26,384 times in total.
Research topics
- Statistical Methods and Inference · 1 paper
- Statistical Methods and Bayesian Inference · 1 paper
- Advanced Statistical Methods and Models · 1 paper
Papers
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for HeteroskedasticityEconometrica · 1980 · 26,384 citations
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…
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