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A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. (English) Zbl 0459.62051


MSC:

62J05 Linear regression; mixed models
62P20 Applications of statistics to economics
62H12 Estimation in multivariate analysis
62G05 Nonparametric estimation
62G10 Nonparametric hypothesis testing
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