We examine several modified versions of the heteroskedasticity-consistent covariance matrix estimator of Hinkley and White. On the basis of sampling experiments which compare the performance of quasi t statistics, we find that one estimator, based on the jackknife, performs better in small...

We examine several modified versions of the heteroskedasticity-consistent covariance matrix estimator of Hinkley and White. On the basis of sampling experiments which compare the performance of quasi t statistics, we find that one estimator, based on the jackknife, performs better in small...

Davidson and MacKinnon (1981) proposed a simple procedure for testing the specification of a non-linear regression model against the evidence provided by a non-nested alternative. We extend their results in several directions. First, we relax a number of assumptions of the previous paper: We...