Bayesian interpretations of heteroskedastic consistent covariance estimators using the informed bayesian bootstrap

Citation
J. Poirier, Dale, Bayesian interpretations of heteroskedastic consistent covariance estimators using the informed bayesian bootstrap, Econometric reviews , 30(4), 2011, pp. 457-468
Journal title
ISSN journal
07474938
Volume
30
Issue
4
Year of publication
2011
Pages
457 - 468
Database
ACNP
SICI code
Abstract
This article provides Bayesian interpretations for White's heteroskedastic consistent (HC) covariance estimator, and various modifications of it, in linear regression models. An informed Bayesian bootstrap provides a useful framework.