Small sample properties of the two-step and three-step estimators in a heteroscedastic linear regression model and the Bayesian alternative

DOI10.1016/0165-1765(82)90068-4MaRDI QIDQ356647zbMATH OpenOpenAlexFDO

Authors Kazuhiro Ohtani

Publication date 26 July 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(82)90068-4

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

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Cites work

• scientific article; zbMATH DE number 3428352 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• A Monte Carlo Investigation of the Box-Cox Transformation in Small Samples
• A comparison of the power of some tests for heteroskedasticity in the general linear model
• A note on the Bayesian estimation of Solow's distributed lag model
• Estimating Regression Models with Multiplicative Heteroscedasticity
• Joint estimation and testing for functional form and heteroskedasticity
• Testing for multiplicative heteroskedasticity

Cited in

(4)

• A novel Bayesian framework to address unknown heteroscedasticity for the linear regression model
• Two-step estimation in a heteroscedastic linear regression model
• POSTERIOR ANALYSIS OF THE MULTIPLICATIVE HETEROSCEDASTICITY MODEL
• Bayesian two-stage regression with parametric heteroscedasticity

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