Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors

DOI10.1080/03610918.2012.750354zbMATH Open1462.62436OpenAlexW1975097801MaRDI QIDQ2876149FDOQ2876149

Authors: Muhammad Aslam 

Publication date: 18 August 2014

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.750354

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zbMATH Keywords

ridge regressionmulticollinearityheteroscedasticity-consistent covariance estimatorheteroscedasticity-consistent interval estimatornull rejection rate

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

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• Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators
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• Inference under heteroscedasticity of unknown form using an adaptive estimator

Cited In (8)

• VIF-based adaptive matrix perturbation method for heteroskedasticity-robust covariance estimators in the presence of multicollinearity
• Addressing the distributed lag models with heteroscedastic errors
• New heteroscedasticity-adjusted ridge estimators in linear regression model
• An effective approach towards efficient estimation of general linear model in case of heteroscedastic errors
• Performance of Kibria's method for the heteroscedastic ridge regression model: some Monte Carlo evidence
• Robust regression: testing global hypotheses about the slopes when there is multicollinearity or heteroscedasticity
• A Monte Carlo study of heteroscedasticity consistent covariance matrix estimator methods in linear regression models
• Ridge estimation in linear models with heteroskedastic errors

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