An outlier-resistant test for heteroscedasticity in linear models

DOI10.1080/02664763.2015.1004623MaRDI QIDQ5130277

Ekele Alih, Hong Choon Ong

Publication date: 4 November 2020

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

Full work available at URL: https://doi.org/10.1080/02664763.2015.1004623

zbMATH Keywords

heteroscedasticity; contamination; robustifying; Gaussian paradigm; robust Goldfeld-Quandt test

Mathematics Subject Classification ID

62-XX: Statistics

Related Items

Back propagation neural networks and multiple regressions in the case of heteroskedasticity, Heteroscedasticity testing after outlier removal, An automated robust algorithm for clustering multivariate data, Appraisal of excess Kurtosis through outlier-modified GARCH-type models, An adaptive weighted least squares ratio approach for estimation of heteroscedastic linear regression model in the presence of outliers, Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances

Uses Software

• mvBACON

Cites Work

• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• Diagnostics for heteroscedasticity in regression
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Robust diagnostic regression analysis
• BACON: blocked adaptive computationally efficient outlier nominators.
• UNIT ROOT TESTING IN THE PRESENCE OF HEAVY-TAILED GARCH ERRORS
• SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
• JACKKNIFE TESTS FOR HETEROSCEDASTICITY IN THE GENERAL LINEAR MODEL
• Residuals from deletion in added variable plots
• Alternatives to the Median Absolute Deviation
• Robustness Against Inequality of Variances
• Multiple comparisons with a control under heteroscedasticity
• Regression Analysis by Example
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item