DiCiccio, Cyrus J.; Romano, Joseph P.; Wolf, Michael - 2016
standard errors. Similarly, even when the true form of heteroskedasticity is unknown, heteroskedasticity consistent standard …-in standard errors often have coverage that is below the nominal level, especially for small sample sizes. In this paper, it is … errors can be used to base valid inference on a weighted least squares estimator. Using a weighted least squares estimator …