Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap

By Francisco Cribari‐Neto, Spyros G. Zarkos. 2001

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Asymptotic inference under heteroskedasticity of unknown form (2004, background): “…in the previous section tend to display poor -nite-sample behavior in small samples when the design matrix X contains points of high leverage, leading to associated quasi-t tests that are liberal, i.e., that overreject the null hypothesis when it is true; see, e.g., Cribari-Neto and Zarkos (2001).”