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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 ...
Zhihua Sun, Feifei Chen, Hua Liang, David Ruppert, A PROJECTION-BASED CONSISTENT TEST INCORPORATING DIMENSION-REDUCTION IN PARTIALLY LINEAR MODELS, Statistica Sinica, Vol. 31, No. 3 (2021), pp.