A Heteroskedasticity-Consistent Covariance Matrix Estimator And A Direct Test For Heteroskedasticity (1980)
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BibTeX
@MISC{White80aheteroskedasticity-consistent,
author = {Halbert White},
title = {A Heteroskedasticity-Consistent Covariance Matrix Estimator And A Direct Test For Heteroskedasticity},
year = {1980}
}
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Abstract
This paper presents a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic. This estimator does not depend on a formal model of the structure of the heteroskedasticity. By comparing the elements of the new estimator to those of the usual covariance estimator, one obtains a direct test for heteroskedasticity, since in the absence of heteroskedasticity, the two estimators will be approximately equal, but will generally diverge otherwise. The test has an appealing least squares interpretation
