DOES CORRECTING FOR HETEROSCEDASTICITY HELP

被引：10

作者：

MISHKIN, FS ^{[1
]}

机构：

[1] NATL BUR ECON RES,CAMBRIDGE,MA 02138

来源：

ECONOMICS LETTERS | 1990年 / 34卷 / 04期

关键词：

D O I：

10.1016/0165-1765(90)90144-P

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper conducts Monte Carlo simulation experiments for a particular example in the literature using the Hansen-Hodrick-Newey-West-White methodology and concludes that correcting for heteroscedasticity can substantially worsen statistical inference even when heteroscedasticity is present in the data. © 1990.

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页码：351 / 356

页数：6

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