Inference Under Heteroskedasticity and Leveraged Data

DOI10.1080/03610920601126589zbMath1315.62059OpenAlexW2055434604MaRDI QIDQ5421542

Tatiene C. Souza, Klaus L. P. Vasconcellos, Francisco Cribari-Neto

Publication date: 24 October 2007

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920601126589

zbMATH Keywords

linear regressionheteroskedasticitycovariance matrix estimationleverage points

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Point estimation (62F10)

Related Items (17)

Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form ⋮ Comparing the variances or robust measures of scale of two dependent variables ⋮ 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 ⋮ Alternative HAC covariance matrix estimators with improved finite sample properties ⋮ Heteroskedasticity-robust inference in finite samples ⋮ Cluster-robust estimators for multivariate mixed-effects meta-regression ⋮ Some improvements in confidence intervals for standardized regression coefficients ⋮ New heteroskedasticity-robust standard errors for the linear regression model ⋮ Linear regression: robust heteroscedastic confidence bands that have some specified simultaneous probability coverage ⋮ A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models ⋮ A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model ⋮ Improved inference for the panel data model with unknown unit-specific heteroscedasticity: A Monte Carlo evidence ⋮ A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity ⋮ VIF-based adaptive matrix perturbation method for heteroskedasticity-robust covariance estimators in the presence of multicollinearity ⋮ Comparing Pearson Correlations: Dealing with Heteroscedasticity and Nonnormality ⋮ Heteroscedastic Global Tests that the Regression Parameters for Two or More Independent Groups are Identical

Uses Software

• Ox

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
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Estimating Heteroscedastic Variances in Linear Models
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• Leverage-adjusted heteroskedastic bootstrap methods

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