Leverage-adjusted heteroskedastic bootstrap methods

DOI10.1080/0094965031000115411zbMath1048.62063OpenAlexW2056440782MaRDI QIDQ4825492

Francisco Cribari-Neto, Spyros G. Zarkos

Publication date: 28 October 2004

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0094965031000115411

zbMATH Keywords

bootstrapleverageheteroskedasticitycovariance matrix estimationinfluential points

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Nonparametric statistical resampling methods (62G09) Diagnostics, and linear inference and regression (62J20)

Related Items

Efficient Estimation and Robust Inference of Linear Regression Models in the Presence of Heteroscedastic Errors and High Leverage Points ⋮ An effective approach towards efficient estimation of general linear model in case of heteroscedastic errors ⋮ On simultaneously identifying outliers and heteroscedasticity without specific form ⋮ A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model ⋮ Inference Under Heteroskedasticity and Leveraged Data ⋮ Using Heteroscedasticity-Consistent Standard Errors for the Linear Regression Model with Correlated Regressors

Uses Software

• Ox

Cites Work

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• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• Recent developments in bootstrapping time series
• Bootstrapping time series models

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