Inference under Heteroscedasticity of Unknown Form Using an Adaptive Estimator

DOI10.1080/03610926.2010.513793zbMath1239.62066OpenAlexW1983696930MaRDI QIDQ2892643

G. R. Pasha, Munir Ahmed, Muhammad Aslam

Publication date: 19 June 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.513793

zbMATH Keywords

size distortionheteroscedasticity-consistent interval estimatornull rejection rateestimated weighted least squaresHCCMEkernel weighted least squares

Mathematics Subject Classification ID

Related Items (10)

Efficient Estimation and Robust Inference of Linear Regression Models in the Presence of Heteroscedastic Errors and High Leverage Points ⋮ Addressing the distributed lag models with heteroscedastic errors ⋮ The Almon M-estimator for the distributed lag model in the presence of outliers ⋮ An effective approach towards efficient estimation of general linear model in case of heteroscedastic errors ⋮ An adaptive weighted least squares ratio approach for estimation of heteroscedastic linear regression model in the presence of outliers ⋮ Performance of Kibria's Method for the Heteroscedastic Ridge Regression Model: Some Monte Carlo Evidence ⋮ Improved inference for the panel data model with unknown unit-specific heteroscedasticity: A Monte Carlo evidence ⋮ Efficient estimation of distributed lag model in presence of heteroscedasticity of unknown form: A Monte Carlo evidence ⋮ A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity ⋮ Using Heteroscedasticity-Consistent Standard Errors for the Linear Regression Model with Correlated Regressors

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic inference under heteroskedasticity of unknown form
• Adapting for heteroscedasticity in linear models
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• Bootstrap methods: another look at the jackknife
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• Heteroskedasticity-consistent interval estimators
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Estimating Heteroscedastic Variances in Linear Models
• Jackknifing in Unbalanced Situations
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form
• A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators
• Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function
• More Efficient Tests Robust to Heteroskedasticity of Unknown Form
• Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators

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