The sensitivity of OLS when the variance matrix is (partially) unknown

DOI10.1016/S0304-4076(98)00093-1zbMath0951.62050WikidataQ126340661 ScholiaQ126340661MaRDI QIDQ1806696

Jan R. Magnus, Anurag N. Banerjee

Publication date: 8 November 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

sensitivityleast squaresautocorrelationDurbin-Watson test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Related Items

Impact factors, Sensitivity analysis in linear models, A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted, The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions, On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification, Sensitivity of GLS estimators in random effects models, On the sensitivity of pre-test estimators to covariance misspecification, On the sensitivity of the restricted least squares estimators to covariance misspecification, Local sensitivity and diagnostic tests, Covariance miss-specification and the local influence approach in sensitivity analyses of longitudinal data with drop-outs, On the sensitivity of the one-sided \(t\) test to covariance misspecification, Robustness of Stein-type estimators under a non-scalar error covariance structure, The Sensitivity of Detrended Long-Memory Processes

Uses Software

• NAG
• nag

Cites Work

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