Heteroscedasticity testing after outlier removal

DOI10.1080/07474938.2020.1735749MaRDI QIDQ5861048zbMATH OpenOpenAlexFDO

Authors 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

asymptotic theoryheteroscedasticitymarked and weighted empirical processesoutlier detectionrobust statisticsWhite test

Mathematics Subject Classification ID

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

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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A journey in single steps: robust one-step M-estimation in linear regression
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• A study of several new and existing tests for heteroscedasticity in the general linear model
• An outlier-resistant test for heteroscedasticity in linear models
• 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
• Corrigendum to: ``Analysis of the forward search using some new results for martingales and empirical processes
• scientific article; zbMATH DE number 5145287
• Exponential inequalities for self-normalized martingales with applications
• High breakdown-point and high efficiency robust estimates for regression
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• Least Median of Squares Regression
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Resurrecting weighted least squares
• Robust Statistics
• Robust Statistics
• Robustifying Glejser test of heteroskedasticity
• Testing for fundamental vector moving average representations
• Valid Inference Corrected for Outlier Removal
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression

Cited in

(6)

• Correcting double outward box distributed residuals by WCEV
• An outlier-resistant test for heteroscedasticity in linear models
• Extending the Hausman test to check for the presence of outliers
• A robust modification of the Goldfeld-Quandt test for the detection of heteroscedasticity in the presence of outliers
• Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change
• On simultaneously identifying outliers and heteroscedasticity without specific form

Describes a project that uses

Uses Software

• outference
• robustbase

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