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.

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Year of publication:	2011
Authors:	Poirier, Dale J.
Published in:	Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 30.2011, 4, p. 457-468
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009228567