Adapting for heteroscedasticity in linear models
From MaRDI portal
Publication:1061431
DOI10.1214/aos/1176345987zbMath0571.62058OpenAlexW2014608908WikidataQ59486677 ScholiaQ59486677MaRDI QIDQ1061431
Publication date: 1982
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176345987
Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)
Related Items
\(M\)-estimators for regression with changing scale, Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form, On variance function estimation with quadratic forms, Monetary policy and interest rates. An adaptive estimator approach, Inference under Heteroscedasticity of Unknown Form Using an Adaptive Estimator, Adaptive estimation of autoregressive models with time-varying variances, Exact finite-sample relative efficiency of suboptimally weighted least squares estimators in models with ordered heteroscedasticity, Empirical Likelihood for a Heteroscedastic Partial Linear Errors-in-Variables Model, Joint estimation and variable selection for mean and dispersion in proper dispersion models, EfficientL1estimation and related inferences in linear regression with unknown form of heteroscedasticity, A note on the construction of asymptotically linear estimators, Efficient Estimation and Robust Inference of Linear Regression Models in the Presence of Heteroscedastic Errors and High Leverage Points, Efficiency for heteroscedastic regression with responses missing at random, Iterated weighted least squares in heteroscedastic lineaipmod%81è, Efficient estimates in linear and nonlinear regression with heteroscedastic errors, Asymptotic Normality of Estimators in Heteroscedastic Semi-Parametric Model with Strong Mixing Errors, Adaptive nonparametric estimation of a multivariate regression function, SEMIPARAMETRIC ESTIMATION OF A HETEROSKEDASTIC SAMPLE SELECTION MODEL, Estimating functionals of the error distribution in parametric and nonparametric regression, Iterative weighted estimation based on variance modelling in linear regression models, Strong consistency rate of estimators in heteroscedastic errors-in-variables model for negative association samples, Econometric analysis of volatile art markets, ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY, Rejoinder on: A review on empirical likelihood methods for regression, Forward detrending for heteroskedasticity-robust panel unit root testing, Variance function additive partial linear models, An adaptive weighted least squares ratio approach for estimation of heteroscedastic linear regression model in the presence of outliers, Nonlinear regression models with single‐index heteroscedasticity, Weighted least squares estimation with missing responses: an empirical likelihood approach, Asymptotic theory in heteroscedastic nonlinear models, Feasible generalized least squares using support vector regression, Robust estimation of nonlinear regression with autoregressive errors., Second order approximation in a linear regression with heteroskedasticity of unknown form, Semiparametric efficient estimators in heteroscedastic error models, Empirical Likelihood for a Heteroscedastic Partial Linear Model, Testing increasing dispersion, Variance estimation in nonparametric regression via the difference sequence method, EFFICIENT SEMIPARAMETRIC SEEMINGLY UNRELATED QUANTILE REGRESSION ESTIMATION, Convergence to Normality of the Asymptotic Quasi-Score Function on a Linear Model, Performance of Kibria's Method for the Heteroscedastic Ridge Regression Model: Some Monte Carlo Evidence, Calculating the (local) semiparametric efficiency bounds for the generated regressors problem, Doubly penalized likelihood estimator in heteroscedastic regression, Testing for constant variance in a linear model, Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators, ADAPTIVE ESTIMATION OF HETEROSKEDASTIC ERROR COMPONENT MODELS, A semi-parametric approach to dual modeling when no replication exists, Asymptotics of estimators in semi-parametric model under NA samples, Heteroskedastic Linear Regression: Steps Towards Adaptivity, Efficiency, and Robustness, Berry-Esseen type bounds in heteroscedastic semi-parametric model, Efficient estimation of distributed lag model in presence of heteroscedasticity of unknown form: A Monte Carlo evidence, Asymptotic distribution of the weighted least squares estimator, Una aplicacion de la estimacion no parametrica al modelo lineal general con varianza no homogenea, A generalized partially linear framework for variance functions, Generalized variance functions for infinitely divisible mixture distributions, Statistical inference for autoregressive models under heteroscedasticity of unknown form, Asymptotic normality in partial linear models based on dependent errors, Ordinary and weighted least-squares estimators, On the asymptotics of \(Z\)-estimators indexed by the objective functions, On the estimation of a monotone conditional variance in nonparametric regression, IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE, Asymptotic normality of generalized functional estimators dependent on covariables, Adaptive estimation of regression models via moment restrictions, Small area estimation under Fay–Herriot models with non-parametric estimation of heteroscedasticity, EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION, Some results for robust GM-based estimators in heteroscedastic regression models, Improving weighted least-squares estimates in heteroscedastic linear regression when the variance is a function of the mean response, Empirical Likelihood for Semiparametric Varying-Coefficient Heteroscedastic Partially Linear Errors-in-Variables Models, Convenient estimators for the panel probit model, Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets, Bayesian regression with nonparametric heteroskedasticity, Fully Data-Driven Nonparametric Variance Estimators, An empirical process central limit theorem for dependent non-identically distributed random variables, Jackknifing type weighted least squares estimators in partially linear regression models.
