Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
This article provides Bayesian interpretations for White's <italic>heteroskedastic consistent</italic> (HC) covariance estimator, and various modifications of it, in linear regression models. An informed Bayesian bootstrap provides a useful framework.
Year of publication: |
2011
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Authors: | Poirier, Dale J. |
Published in: |
Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 30.2011, 4, p. 457-468
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Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
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