Estimating Regression Models with Multiplicative Heteroscedasticity

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Cited In (97)

Flexible panel data models for risky production technologies with an application to salmon aquaculture
Tree-structured model diagnostics for linear regression
ADDING REGRESSORS TO OBTAIN EFFICIENCY
An improved lagrange multiplier test for heteroskedasticity
On simultaneously identifying outliers and heteroscedasticity without specific form
Statistical inference on heteroscedastic models based on regression quantiles
On the link between credibility and frequency premium
A conditionally heteroskedastic binary choice model for macro-financial time series
THE POWER AND SIZE OF NONPARAMETRIC TESTS FOR COMMON DISTRIBUTIONAL CHARACTERISTICS
Modelling conditional variance function in industrial data: a case study
Stochastic specification of production functions and economic implications
Unbiased condition of the dispersion effects estimator in unreplicated two-level factorial experiments
Corrected maximum likelihood estimators in heteroscedastic symmetric nonlinear models
A transformation for heteroscedastic error components regression models
Identification of dispersion effects in replicated two-level fractional factorial experiments
Model averaging in a multiplicative heteroscedastic model
Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models
Robust estimation and variable selection in heteroscedastic regression model using least favorable distribution
Computational issues with fitting joint location/dispersion models in unreplicated \(2^k\) factorials
Risk aversion and optimal forest replanting: a stochastic efficiency study
An improved correction for range restricted correlations under extreme, monotonic quadratic nonlinearity and heteroscedasticity
Heteroscedastic latent trait models for dichotomous data
Variable selection for joint mean and dispersion models of the inverse Gaussian distribution
Variable Selection in Heteroscedastic Regression Models Under General Skew-t Distributional Models Using Information Complexity
Bayes prediction in regressions with elliptical errors
Rapid penalized likelihood-based outlier detection via heteroskedasticity test
Joint modelling of location and scale parameters of the t distribution
Calibration of Inexact Computer Models with Heteroscedastic Errors
Generalized variance functions for infinitely divisible mixture distributions
Multi‐parameter regression survival modeling: An alternative to proportional hazards
Quantiles via moments
Heteroscedastic and heavy-tailed regression with mixtures of skew Laplace normal distributions
POSTERIOR ANALYSIS OF THE MULTIPLICATIVE HETEROSCEDASTICITY MODEL
An Application of a Mixed-Effects Location Scale Model for Analysis of Ecological Momentary Assessment (EMA) Data
Variable Selection Using a Smooth Information Criterion for Distributional Regression Models
Profiling heteroscedasticity in linear regression models
Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
Variable selection in joint location and scale models of the skew-normal distribution
Small sample properties of the two-step and three-step estimators in a heteroscedastic linear regression model and the Bayesian alternative
Monte Carlo power comparison of seven most commonly used heteroscedasticity tests
Robust methods for heteroskedastic regression
Testing for heteroscedasticity in simultaneous equation models
The multiplicative heteroscedastic von Bertalanffy model
Variable selection in joint mean and dispersion models via double penalized likelihood
Covariance matrices of S robust regression estimators
Testing for Heteroscedasticity in Nonlinear Regression Models
Bartlett-corrected tests for normal linear models when the error covariance matrix is nonscaiar
Joint modeling of location and scale parameters of the skew-normal distribution
A study of several new and existing tests for heteroscedasticity in the general linear model
Heteroscedastic symmetrical linear models
Variable selection for skew-normal mixture of joint location and scale models
Misspecification Testing in a Class of Conditional Distributional Models
Inferences of variance function – a parametric robust way
Robust diagnostics for the heteroscedastic regression model
An EM algorithm for the heteroscedastic regression models with censored data
Significance testing in non-sparse high-dimensional linear models
Improved estimators for a general class of beta regression models
Resurrecting weighted least squares
Bayesian estimation of a random effects heteroscedastic probit model
Covariance structure selection in general mixed models
A semiparametric Bayesian approach to joint mean and variance models
Testing for multiplicative heteroskedasticity
Estimating censored regression models in the presence of nonparametric multiplicative hetero\-skedasticity.
Degeneracy in heteroscedastic regression models
Variable selection in joint mean and variance models of Box–Cox transformation
A novel Bayesian framework to address unknown heteroscedasticity for the linear regression model
An alternative method correcting BDR type of heteroskedasticity by the weighting re-estimated absolute residuals
ESTIMATION OF COEFFICIENTS OF TIME SERIES REGRESSION WITH A NONSTATIONARY ERROR PROCESS
Emulation of Stochastic Simulators Using Generalized Lambda Models
Testing inference in heteroskedastic linear regressions: a comparison of two alternative approaches
Fast estimation of mixed-effects location-scale regression models
Evaluating investors' recognition abilities for risk and profit in online loan markets using nonlinear models and financial big data
The power and robustness properties of tests for heteroskedasticity when the regressors are trended
Discussion: A comparison of GAMLSS with quantile regression
A heteroscedastic generalized linear model with a non‐normal speed factor for responses and response times
Model averaging estimation for nonparametric varying-coefficient models with multiplicative heteroscedasticity
Testing multiple dispersion effects from unreplicated order-of-addition experiments
RCEV heteroscedasticity test based on the studentized residuals
Convergence to Normality of the Asymptotic Quasi-Score Function on a Linear Model
Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances
CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS
Skew-normal distribution for growth curve models in presence of a heteroscedasticity structure
A new test to detect monotonic and non-monotonic types of heteroscedasticity
Fulfillment by Amazon versus fulfillment by seller: An interpretable risk‐adjusted fulfillment model
Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities
Bayesian dose escalation with overdose and underdose control utilizing all toxicities in phase I/II clinical trials
A bias-corrected least-squares Monte Carlo for solving multi-period utility models
Leverage adjustments for dispersion modelling in generalized nonlinear models
Heteroscedastic additive models - Estimating the fixed effects and covariance matrix parameters
THE ET INTERVIEW: ADRIAN PAGAN
SOME ASYMPTOTIC PROPERTIES OF THE LEAST SQUARES ESTIMATORS OF A POLYNOMIAL REGRESSION WITH A HETEROSKEDASTIC ERROR
The \(k\)th power expectile estimation and testing
On inference in the presence of heteroskedasticity without replicated observations
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Generalized LM tests for functional form and heteroscedasticity
Double generalized linear model for tissue culture proportion data: a Bayesian perspective
Testing the equality of the variances of two linear models

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