Testing inference in heteroskedastic linear regressions: a comparison of two alternative approaches

DOI10.1080/00949655.2019.1586902OpenAlexW2919541857WikidataQ128302234 ScholiaQ128302234MaRDI QIDQ5107402

Inara F. S. Pereira, Francisco Cribari-Neto

Publication date: 27 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://repositorio.ufpe.br/handle/123456789/30408

zbMATH Keywords

linear regressiongeneralized least squaresordinary least squaresBox-Cox transformationheteroskedasticityquasi-\(t\) test\(z\) test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Uses Software

• car
• Ox
• carData

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic inference under heteroskedasticity of unknown form
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
• Robust methods for heteroskedastic regression
• Heteroskedasticity-consistent interval estimators
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Estimating Heteroscedastic Variances in Linear Models
• Estimating Regression Models with Multiplicative Heteroscedasticity
• Approximate inference in heteroskedastic regressions: A numerical evaluation

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