The Heteroscedastic Linear Model: Exact Finite Sample Results

DOI10.2307/1914239zbMath0372.62087OpenAlexW1976809005MaRDI QIDQ4148863

William E. Taylor

Publication date: 1978

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1914239

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (13)

Exact finite-sample relative efficiency of suboptimally weighted least squares estimators in models with ordered heteroscedasticity ⋮ The density function and the MSE dominance of the pre-test estimator in a heteroscedastic linear regression model with omitted variables ⋮ Measuring the degree of severity of heteroskedasticity and the choice between the ols estimator and the 2sae ⋮ Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss ⋮ The degree of severity of heteroskedasticity and the traditional goldfeld and quandt pretest estimator ⋮ Small sample considerations in estimation from panel data ⋮ Estimation of regression coefficients after a preliminary test for homoscedasticity ⋮ The exact risk performance of a pre-test estimator in a heteroskedastic linear regression model under the balanced loss function ⋮ Some improved estimators in the case of possible heteroscedasticity ⋮ Some risk results for a two-stage pre-test estimator in the case of possible heteroskedasticity ⋮ Double shrinkage estimation of common coefficients in two regression equations with hetersocedasticity ⋮ Minimax estimation of common coefficients of several regression models under quadratic loss ⋮ A method for approximations to the PDF's and CDF's of GLSE's and its application to the seemingly unrelated regression model

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