Artigo em revista científica Q1
The heteroskedasticity-consistent covariance estimator in accounting
José Curto (Curto, J.); José Pinto (Pinto, J.); Ana Morais (Morais, A.); Isabel Lourenço (Lourenço, I.);
Título Revista
Review of Quantitative Finance and Accounting
Ano (publicação definitiva)
2011
Língua
Inglês
País
Estados Unidos da América
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Abstract/Resumo
The main purpose of this paper is to compare the White (1980) heteroskedasticity-consistent (HC) covariance matrix estimator with alternative estimators. Many regression packages compute the White (1980) heteroskedasticity-consistent (HC) covariance matrix estimator. The common procedure in Accounting and Finance research to deal with the heteroskedasticity problem is based on this estimator, despite its worse finite-samples properties when compared with other consistent estimators. In this paper we compare several HC covariance matrix estimators based on a sample of 3706 European listed companies from Austria, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden and the United Kingdom. We conclude that HC standard errors increase when finite-samples more appropriate estimators are considered and in the most part of countries the Ohlson (1995) model coefficients estimates became statistically insignificant. This can be explained by the high leverage points in the design matrix. To the best of our knowledge it is the first time that these alternative estimators are compared with the one of White (1980) in accounting research
Agradecimentos/Acknowledgements
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Palavras-chave
Consistent estimator; Heteroskedasticity; Ohlson model
  • Economia e Gestão - Ciências Sociais