Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap

This paper provides Bayesian rationalizations for White’s heteroskedastic consistent (HC) covariance estimator and various modifications of it. An informed Bayesian bootstrap provides the statistical framework.

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Year of publication:	2008-09
Authors:	Poirier, Dale
Institutions:	Department of Economics, University of California-Irvine

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 080905 13 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004975557