Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing

DOI10.1080/07474939908800440zbMATH Open0928.62049OpenAlexW1987967768MaRDI QIDQ4246599FDOQ4246599

Authors: Francisco Cribari-Neto, Spyros G. Zarkos 

Publication date: 11 January 2000

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939908800440

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zbMATH Keywords

bootstrapheteroskedasticityEdgeworth expansionscore testLagrange multiplier testweighted bootstrapBartlett-type correction

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Nonparametric statistical resampling methods (62G09)

Cites Work

• A Test for Normality of Observations and Regression Residuals
• Bootstrap methods: another look at the jackknife
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Bootstrap procedures under some non-i.i.d. models
• A note on Studentizing a test for heteroscedasticity
• Testing for multiplicative heteroskedasticity
• Jackknife, bootstrap and other resampling methods in regression analysis
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• On bartlett and bartlett-type corrections francisco cribari-neto
• Use of Modified Profile Likelihood for Improved Tests of Constancy of Variance in Regression
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• Diagnostics for heteroscedasticity in regression
• Likelihood Ratio Specification Tests
• Asymptotic Expansions of the Information Matrix Test Statistic
• Spurious regressions in econometrics
• On resampling methods for variance and bias estimation in linear models
• An improved lagrange multiplier test for heteroskedasticity
• On the corrections to information matrix tests

Cited In (43)

• Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
• Tests for regression models with heteroskedasticity of unknown form
• Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators
• Tests of random walk: A comparison of bootstrap approaches
• Bootstrap tests for generalized least squares regression models
• An empirical study of PLAD regression using the bootstrap
• On some heteroskedasticity-robust estimators of variance-covariance matrix of the least-squares estimators
• A better way to bootstrap pairs.
• Bootstrapping stochastic regression models under homoskedasticity: wild bootstrapvs. pairs bootstrap
• Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
• Title not available (Why is that?)
• The Finite-Sample Performance of White's Test for Heteroskedasticity Under Stochastic Regressors
• Heteroskedasticity-robust inference in linear regressions
• Detection of latent heteroscedasticity and group-based regression effects in linear models via Bayesian model selection
• The bootstrap does not always work for heteroscedastic models
• Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances
• Bootstrapped White's test for heteroskedasticity in regression models
• Title not available (Why is that?)
• A bootstrap based on the estimating equations of the linear model
• Heteroskedasticity-consistent interval estimators
• A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity
• A note on bootstrapped White's test for heteroskedasticity in regression models
• The Effect of Non Independence of Explanatory Variables and Error Term and Heteroskedasticity in Stochastic Regression Models
• A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators
• Bootstrapping in least absolute value regression: an application to hypothesis testing
• Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
• Bootstrapping heteroskedasticity consistent covariance matrix estimator
• Leverage-adjusted heteroskedastic bootstrap methods
• A Parametric Bootstrap Test for Comparing Heteroscedastic Regression Models
• Inference under heteroscedasticity of unknown form using an adaptive estimator
• Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors
• Approximate inference in heteroskedastic regressions: A numerical evaluation
• Inference Under Heteroskedasticity and Leveraged Data
• On inference in the presence of heteroskedasticity without replicated observations
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
• Asymptotic inference under heteroskedasticity of unknown form
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
• Application of robust wild bootstrap estimation of linear model in econometric
• Efficient estimation and robust inference of linear regression models in the presence of heteroscedastic errors and high leverage points
• Robust wild bootstrap for stabilizing the variance of parameter estimates in heteroscedastic regression models in the presence of outliers
• Simulation‐based tests for heteroskedasticity in linear regression models: Some further results
• Bootstrap hypothesis testing in regression models
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗

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