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

DOI10.1080/03610928908830101MaRDI QIDQ3474058zbMATH OpenOpenAlexFDO

Authors 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

heteroskedasticitymean square errorMonte Carlo studylog-normal distributionposterior probabilitypretesttwo-stage Aitken estimatorestimated generalized least squares estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

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Cites work

• scientific article; zbMATH DE number 3366405 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• scientific article; zbMATH DE number 3189754 (Why is no real title available?)
• 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 Heteroscedastic Linear Model: Exact Finite Sample Results
• The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present

Cited in

(3)

• A nonparametric measure of heteroskedasticity
• The power and robustness properties of tests for heteroskedasticity when the regressors are trended
• A rule of thumb for mixed heteroskedasticity

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