Heteroscedasticity testing after outlier removal

DOI10.1080/07474938.2020.1735749zbMath1490.62172OpenAlexW3012419371MaRDI QIDQ5861048

Vanessa Berenguer-Rico, Ines Wilms

Publication date: 4 March 2022

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

Full work available at URL: https://cris.maastrichtuniversity.nl/ws/files/65505213/Wilms_2021_heteroscedasticity_testing_after_outlier_removal.pdf

zbMATH Keywords

heteroscedasticityrobust statisticsasymptotic theoryoutlier detectionmarked and weighted empirical processesWhite test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (1)

Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change

Uses Software

• robustbase
• outference

Cites Work

• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Analysis of the forward search using some new results for martingales and empirical processes
• Resurrecting weighted least squares
• High breakdown-point and high efficiency robust estimates for regression
• A study of several new and existing tests for heteroscedasticity in the general linear model
• Exponential inequalities for self-normalized martingales with applications
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
• Robustifying Glejser test of heteroskedasticity
• A journey in single steps: robust one-step \(M\)-estimation in linear regression
• Corrigendum to: ``Analysis of the forward search using some new results for martingales and empirical processes
• Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models
• Least Median of Squares Regression
• Valid Inference Corrected for Outlier Removal
• Testing for fundamental vector moving average representations
• An outlier-resistant test for heteroscedasticity in linear models
• Robust Statistics
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Robust Statistics
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