Authors
Halbert White
Publication date
1980/5/1
Journal
Econometrica: journal of the Econometric Society
Pages
817-838
Publisher
The Econometric Society
Description
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 generally diverge otherwise. The test has an appealing least squares interpretation.
Total citations
Scholar articles
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
H White - Econometrica: journal of the Econometric Society, 1980