A small sample study of some sandwich estimators to handle heteroscedasticity
This simulation study sets out to investigate Heteroscedasticity-Consistent Covariance Matrix Estimation using the sandwich method in relatively small sample sizes. The different estimators are evaluated on how accurately they assign confidence intervals around a fixed, true coefficient, in the pres...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Statistiska institutionen
2021
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-430648 |