Measuring the degree of severity of heteroskedasticity and the choice between the ols estimator and the 2sae

DOI10.1080/03610928908830101zbMath0696.62274OpenAlexW2085840830MaRDI QIDQ3474058

Senyo B.-S. K. Adjibolosoo

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1080/03610928908830101

zbMATH Keywords

Monte Carlo studymean square errorposterior probabilitylog-normal distributionheteroskedasticitypretesttwo-stage Aitken estimatorestimated generalized least squares estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Related Items (2)

A nonparametric measure of heteroskedasticity ⋮ The power and robustness properties of tests for heteroskedasticity when the regressors are trended

Cites Work

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• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• A Test for Heteroscedasticity Based on Ordinary Least Squares Residuals
• Estimation of regression coefficients after a preliminary test for homoscedasticity
• Finite Sample Moments of a Preliminary Test Estimator in the Case of Possible Heteroscedasticity
• Small Sample Properties of a Class of Two Stage Aitken Estimators
• The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present
• The Heteroscedastic Linear Model: Exact Finite Sample Results

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