A sequence of improved standard errors under heteroskedasticity of unknown form

DOI10.1016/J.JSPI.2011.05.015MaRDI QIDQ2276193zbMATH OpenOpenAlexFDO

Authors Maria da Glória A. Lima, Francisco Cribari-Neto

Publication date 1 August 2011

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2011.05.015

zbMATH Keywords

biascovariance matrix estimationlinear regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)

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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic inference under heteroskedasticity of unknown form
• Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators
• Computing the distribution of quadratic forms in normal variables
• Improved heteroscedasticity-consistent covariance matrix estimators
• Linear Statistical Inference and its Applications
• Objective Bayesian analysis for the Student-t regression model
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator

Cited in

(10)

• New heteroskedasticity-robust standard errors for the linear regression model
• Some improved estimators in the case of possible heteroscedasticity
• Inference in linear regression models with many covariates and heteroscedasticity
• Analytic bias correction for maximum likelihood estimators when the bias function is non-constant
• Heteroskedasticity-consistent interval estimators
• A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity
• A constrained interval-valued linear regression model: a new heteroscedasticity estimation method
• A computationally simple heteroskedasticity and serial correlation robust standard error for the linear regression model
• Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
• Heteroskedastic linear regression: steps towards adaptivity, efficiency, and robustness

Describes a project that uses

Uses Software

• Ox

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