Approximate inference in heteroskedastic regressions: a numerical evaluation

DOI10.1080/02664760902803271OpenAlexW1981971260MaRDI QIDQ5123554FDOQ5123554

Authors: Maria da Glória A. Lima, Francisco Cribari-Neto 

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760902803271

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zbMATH Keywords

heteroskedasticitycovariance matrix estimationlinear regressionquasi-\(t\) testleverage point

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Algorithm AS 256: The Distribution of a Quadratic Form in Normal Variables
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Improved heteroscedasticity-consistent covariance matrix estimators
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• Heteroskedasticity-consistent interval estimators
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Estimating Heteroscedastic Variances in Linear Models
• Jackknifing in Unbalanced Situations
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• Title not available (Why is that?)
• Computing the distribution of quadratic forms in normal variables
• Asymptotic inference under heteroskedasticity of unknown form
• Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators
• Econometric and statistical computing using Ox
• Errata: Inference Under Heteroskedasticity and Leveraged Data,Communications in Statistics, Theory and Methods, 36, 1877–1888, 2007

Cited In (8)

• Testing inference in heteroskedastic linear regressions: a comparison of two alternative approaches
• Heteroskedasticity-robust inference in linear regressions
• Heteroskedasticity-consistent interval estimators
• A computationally simple heteroskedasticity and serial correlation robust standard error for the linear regression model
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
• A note on a posterior approximation in a heteroscedastic model
• Testing inference in heteroskedastic fixed effects models
• New heteroskedasticity-robust standard errors for the linear regression model

Uses Software

• Ox
• AS 256

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