Using Heteroscedasticity-Consistent Standard Errors for the Linear Regression Model with Correlated Regressors

DOI10.1080/03610918.2012.750354zbMath1462.62436OpenAlexW1975097801MaRDI QIDQ2876149

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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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Related Items (3)

Addressing the distributed lag models with heteroscedastic errors ⋮ An effective approach towards efficient estimation of general linear model in case of heteroscedastic errors ⋮ VIF-based adaptive matrix perturbation method for heteroskedasticity-robust covariance estimators in the presence of multicollinearity

Cites Work

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