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

DOI10.1080/03610926.2015.1060340zbMATH Open1368.62194OpenAlexW2340922188MaRDI QIDQ4976207FDOQ4976207

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

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zbMATH Keywords

optimizationlinear regressionmatrix theorycollinearity

Mathematics Subject Classification ID

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

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Inference Under Heteroskedasticity and Leveraged Data
• The Collinearity Problem in Linear Regression. The Partial Least Squares (PLS) Approach to Generalized Inverses
• Title not available (Why is that?)
• Using Liu-Type Estimator to Combat Collinearity
• VIF regression: a fast regression algorithm for large data
• Performance of Kibria's method for the heteroscedastic ridge regression model: some Monte Carlo evidence
• Inequalities for the trace of matrix product
• Ridge estimation in linear models with heteroskedastic errors
• New heteroskedasticity-robust standard errors for the linear regression model
• A new asymmetric interaction ridge (AIR) regression method
• Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors

Cited In (3)

• New approaches for choosing the ridge parameters
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• Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors

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