Article ID Journal Published Year Pages File Type
5060561 Economics Letters 2012 4 Pages PDF
Abstract
► Popular robust standard error estimators over-reject severely in small samples. ► We apply an Edgeworth expansion to the distribution of the test statistic. ► Hypothesis testing using the adjusted critical value shows marked improvement in size and power.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Heteroskedasticity-robust inference in finite samples
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