Leverage-adjusted heteroskedastic bootstrap methods

DOI10.1080/0094965031000115411MaRDI QIDQ4825492zbMATH OpenOpenAlexFDO

Authors Francisco Cribari-Neto, Spyros G. Zarkos

Publication date 28 October 2004

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/0094965031000115411

zbMATH Keywords

bootstrapheteroskedasticitycovariance matrix estimationleverageinfluential points

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Diagnostics, and linear inference and regression (62J20) Nonparametric statistical resampling methods (62G09) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 1375595 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• Bootstrap methods: another look at the jackknife
• Bootstrapping time series models
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• Improved heteroscedasticity-consistent covariance matrix estimators
• Jackknife, bootstrap and other resampling methods in regression analysis
• Recent developments in bootstrapping time series
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator

Cited in

(7)

• The Effect of Estimating Weights in Weighted Least Squares
• On simultaneously identifying outliers and heteroscedasticity without specific form
• An effective approach towards efficient estimation of general linear model in case of heteroscedastic errors
• Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
• Inference Under Heteroskedasticity and Leveraged Data
• Efficient estimation and robust inference of linear regression models in the presence of heteroscedastic errors and high leverage points

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Uses Software

• Ox

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