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A New Heteroskedastic Consistent Covariance Matrix Estimator using Deviance Measure


Heteroscedasticity, Covariance Matrix, Deviance


In this article we propose a new heteroskedastic consistent covariance matrix estimator, HC6, based on deviance measure. We have studied and compared the finite sample behavior of the new test and compared it with other this kind of estimators, HC1, HC3 and HC4m, which are used in case of leverage observations. Simulation study is conducted to study the effect of various levels of heteroskedasticity on the size and power of quasi-t test with HC estimators. Results show that the test statistic based on our new suggested estimator has better asymptotic approximation and less size distortion as compared to other estimators for small sample sizes when high level of
heteroskedasticity is present in data.





Pakistan Journal of Statistics and Operation Research; Vol. 12 No. 2, 2016

Print ISSN: 1816-2711 | Electronic ISSN: 2220-5810