Efficient Estimation and Robust Inference of Linear Regression Models in the Presence of Heteroscedastic Errors and High Leverage Points

DOI10.1080/03610918.2012.695847zbMath1302.62153OpenAlexW2034759201MaRDI QIDQ5299959

Saima Altaf, Tahira Riaz, Muhammad Aslam

Publication date: 24 June 2013

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.695847

zbMATH Keywords

adaptive estimatorsize distortionnull rejection rateestimated weighted least squaresadaptive heteroscedasticity-consistent interval estimatorheteroscedasticity consistent interval estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Fuzziness, and linear inference and regression (62J86)

Related Items (7)

Bootstrap Liu estimators for Poisson regression model ⋮ An effective approach towards efficient estimation of general linear model in case of heteroscedastic errors ⋮ An adaptive weighted least squares ratio approach for estimation of heteroscedastic linear regression model in the presence of outliers ⋮ An alternative method correcting BDR type of heteroskedasticity by the weighting re-estimated absolute residuals ⋮ Stabilizing heteroscedasticity for butterfly-distributed residuals by the weighting absolute centered external variable ⋮ Improved inference for the panel data model with unknown unit-specific heteroscedasticity: A Monte Carlo evidence ⋮ Efficient estimation of distributed lag model in presence of heteroscedasticity of unknown form: A Monte Carlo evidence

Cites Work

• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic inference under heteroskedasticity of unknown form
• Adapting for heteroscedasticity in linear models
• Robust estimation in heteroscedastic linear models
• Estimation for a linear regression model with unknown diagonal covariance matrix
• Bootstrap methods: another look at the jackknife
• Relations between vector continuous-time program and vector variational-type inequality
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• Inference under Heteroscedasticity of Unknown Form Using an Adaptive Estimator
• Heteroskedasticity-consistent interval estimators
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE
• Leverage-adjusted heteroskedastic bootstrap methods
• Inference Under Heteroskedasticity and Leveraged Data
• More Efficient Tests Robust to Heteroskedasticity of Unknown Form
• Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators

This page was built for publication: Efficient Estimation and Robust Inference of Linear Regression Models in the Presence of Heteroscedastic Errors and High Leverage Points