Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing

DOI10.1080/07474939908800440zbMath0928.62049OpenAlexW1987967768MaRDI QIDQ4246599

Francisco Cribari-Neto, Spyros G. Zarkos

Publication date: 11 January 2000

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939908800440

zbMATH Keywords

bootstrapweighted bootstrapscore testEdgeworth expansionBartlett-type correctionheteroskedasticityLagrange multiplier test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)

Related Items (26)

Inference under Heteroscedasticity of Unknown Form Using an Adaptive Estimator ⋮ Efficient Estimation and Robust Inference of Linear Regression Models in the Presence of Heteroscedastic Errors and High Leverage Points ⋮ Heteroskedasticity-Robust Inference in Linear Regressions ⋮ Leverage-adjusted heteroskedastic bootstrap methods ⋮ Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances ⋮ Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form ⋮ Approximate inference in heteroskedastic regressions: A numerical evaluation ⋮ Robust wild bootstrap for stabilizing the variance of parameter estimates in heteroscedastic regression models in the presence of outliers ⋮ Bootstrapping heteroskedasticity consistent covariance matrix estimator ⋮ Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators ⋮ Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap ⋮ Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗ ⋮ Tests for regression models with heteroskedasticity of unknown form ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ Asymptotic inference under heteroskedasticity of unknown form ⋮ A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model ⋮ The Finite-Sample Performance of White's Test for Heteroskedasticity Under Stochastic Regressors ⋮ A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators ⋮ Bootstrapping stochastic regression models under homoskedasticity: wild bootstrapvs. pairs bootstrap ⋮ A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity ⋮ Heteroskedasticity-consistent interval estimators ⋮ The Effect of Non Independence of Explanatory Variables and Error Term and Heteroskedasticity in Stochastic Regression Models ⋮ Tests of random walk: A comparison of bootstrap approaches ⋮ Inference Under Heteroskedasticity and Leveraged Data ⋮ On some heteroskedasticity-robust estimators of variance-covariance matrix of the least-squares estimators ⋮ Using Heteroscedasticity-Consistent Standard Errors for the Linear Regression Model with Correlated Regressors

Cites Work

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