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Persistent link: https://www.econbiz.de/10005078821
In this paper, I investigate the finite sample performance of a test robust to heteroskedasticity of unknown form, based on the consistent covariance matrix estimator proposed in Eicker (1963) and White (1980). The simulation results suggest that, as often used in practice, this test could be...
Persistent link: https://www.econbiz.de/10005065847