VIF-based adaptive matrix perturbation method for heteroskedasticity-robust covariance estimators in the presence of multicollinearity

DOI10.1080/03610926.2015.1060340MaRDI QIDQ4976207zbMATH OpenOpenAlexFDO

Authors Chien-Chia Liäm Huang, Yow-Jen Jou, Hsun-Jung Cho

Publication date 27 July 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2015.1060340

zbMATH Keywords

optimizationlinear regressionmatrix theorycollinearity

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Diagnostics, and linear inference and regression (62J20)

Recommendations

• Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors
• A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity
• Robust regression: testing global hypotheses about the slopes when there is multicollinearity or heteroscedasticity
• Difference-based matrix perturbation method for semi-parametric regression with multicollinearity
• A Robust Heteroskedasticity Consistent Covariance Matrix Estimator

Cites work

• scientific article; zbMATH DE number 3753890 (Why is no real title available?)
• A new asymmetric interaction ridge (AIR) regression method
• Generalized autoregressive conditional heteroscedasticity
• Inequalities for the trace of matrix product
• Inference Under Heteroskedasticity and Leveraged Data
• New heteroskedasticity-robust standard errors for the linear regression model
• Performance of Kibria's method for the heteroscedastic ridge regression model: some Monte Carlo evidence
• Ridge estimation in linear models with heteroskedastic errors
• The Collinearity Problem in Linear Regression. The Partial Least Squares (PLS) Approach to Generalized Inverses
• Using Liu-Type Estimator to Combat Collinearity
• Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors
• VIF regression: a fast regression algorithm for large data

Cited in

(3)

• New approaches for choosing the ridge parameters
• Difference-based matrix perturbation method for semi-parametric regression with multicollinearity
• Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors

This page was built for publication: VIF-based adaptive matrix perturbation method for heteroskedasticity-robust covariance estimators in the presence of multicollinearity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4976207)