A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

✍ Scribed by Halbert White

• Book ID: 120031040
• Publisher: John Wiley and Sons
• Year: 1980
• Tongue: English
• Weight: 450 KB
• Volume: 48
• Category: Article
• ISSN: 0012-9682
• DOI: 10.2307/1912934

✦ Synopsis

BY HALBERT WHITE1

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.