The sensitivity of OLS when the variance matrix is (partially) unknown

DOI10.1016/S0304-4076(98)00093-1zbMATH Open0951.62050WikidataQ126340661 ScholiaQ126340661MaRDI QIDQ1806696FDOQ1806696

Authors: Anurag N. Banerjee, Jan R. Magnus 

Publication date: 8 November 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Recommendations

• On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification
• On the sensitivity of pre-test estimators to covariance misspecification
• On the sensitivity of the restricted least squares estimators to covariance misspecification
• On the sensitivity of the one-sided \(t\) test to covariance misspecification

zbMATH Keywords

sensitivityautocorrelationleast squaresDurbin-Watson test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Cites Work

• Title not available (Why is that?)
• Computing the distribution of quadratic forms in normal variables
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• When are Gauss-Markov and Least Squares Estimators Identical? A Coordinate-Free Approach
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Title not available (Why is that?)
• Title not available (Why is that?)
• The alternative Durbin-Watson test. An assessment of Durbin and Watson's choice of test statistic
• The Power of the Durbin-Watson Test
• The power of the Durbin-Watson test for regressions without an intercept
• Title not available (Why is that?)
• Global Sensitivity Results for Generalized Least Squares Estimates
• The Durbin-Watson Test for Serial Correlation when there is no Intercept in the Regression
• Testing for Fourth Order Autocorrelation in Quarterly Regression Equations
• Properties of ordinary least squares estimators in regression models with nonspherical disturbances
• The effects of autocorrelation among errors on the consistency property of OLS estimator

Cited In (14)

• Impact factors
• Sensitivity of GLS estimators in random effects models
• Covariance miss-specification and the local influence approach in sensitivity analyses of longitudinal data with drop-outs
• Robustness of Stein-type estimators under a non-scalar error covariance structure
• On the sensitivity of pre-test estimators to covariance misspecification
• Optimization of the size of nonsensitivness regions.
• Sensitivity analysis in linear models
• On the sensitivity of the one-sided \(t\) test to covariance misspecification
• On the sensitivity of the restricted least squares estimators to covariance misspecification
• A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted
• On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification
• The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions
• The sensitivity of detrended long-memory processes
• Local sensitivity and diagnostic tests

Uses Software

• NAG
• nag

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