Heteroskedasticity-Robust Inference in Linear Regressions

DOI10.1080/03610910903402572zbMath1183.62117OpenAlexW2066200344MaRDI QIDQ5305502

Tatiene C. Souza, Gilênio B. Fernandes, Verônica M. C. Lima, Francisco Cribari-Neto

Publication date: 22 March 2010

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910903402572

zbMATH Keywords

tableslinear regressionleverage pointrobust estimationheteroskedasticityquasi-\(t\) test

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05)

Related Items (4)

Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form ⋮ Asymptotic Properties and Variance Estimators of the M-quantile Regression Coefficients Estimators ⋮ A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models ⋮ A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity

Uses Software

• Ox

Cites Work

• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic inference under heteroskedasticity of unknown form
• Least Median of Squares Regression
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator
• Inference Under Heteroskedasticity and Leveraged Data

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