Heteroscedasticity-Robust Inference in Linear Regression Models With Many Covariates

DOI10.1080/01621459.2020.1831924MaRDI QIDQ5885113zbMATH OpenOpenAlexFDO

Authors Koen Jochmans

Publication date 27 March 2023

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/1809.06136

zbMATH Keywords

heteroscedasticityinferencemany regressorsstatistical leverage

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Analysis of variance and covariance (ANOVA) (62J10)

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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Almost unbiased variance estimation in linear regressions with many covariates
• An unbalanced jackknife
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Comparison of Estimators of Heteroscedastic Variances in Linear Models
• Convergence rates and asymptotic normality for series estimators
• Double/debiased machine learning for treatment and structural parameters
• Estimating Heteroscedastic Variances in Linear Models
• Estimation and Testing of the Union Wage Effect Using Panel Data
• Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
• scientific article; zbMATH DE number 3346000 (Why is no real title available?)
• Inference in linear regression models with many covariates and heteroscedasticity
• Jackknifing in Unbalanced Situations
• Leave‐Out Estimation of Variance Components
• Necessary and Sufficient Conditions for MINQU-Estimation of Heteroskedastic Variances in Linear Models
• On some heteroskedasticity-robust estimators of variance-covariance matrix of the least-squares estimators
• Optimal convergence rates, Bahadur representation, and asymptotic normality of partitioning estimators
• Robust regression: Asymptotics, conjectures and Monte Carlo
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• The Hat Matrix in Regression and ANOVA
• Two-step estimation and inference with possibly many included covariates

Cited in

(14)

• Almost unbiased variance estimation in linear regressions with many covariates
• Comparing robust regression lines associated with two dependent groups when there is heteroscedasticity
• A Generalized Regression Methodology for Bivariate Heteroscedastic Data
• Robust Multivariate Regression When There is Heteroscedasticity
• Inference in linear regression models with many covariates and heteroscedasticity
• Alternative asymptotics and the partially linear model with many regressors
• Linear regression with many controls of limited explanatory power
• Inference in regression models with many regressors
• Robust estimation and variable selection in heteroscedastic linear regression
• STATISTICAL INFERENCE WITH F-STATISTICS WHEN FITTING SIMPLE MODELS TO HIGH-DIMENSIONAL DATA
• Testing many restrictions under heteroskedasticity
• Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators
• Heteroskedasticity-robust inference in linear regression models with many covariates
• Adjustments with many regressors under covariate-adaptive randomizations

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