The Effect of Non Independence of Explanatory Variables and Error Term and Heteroskedasticity in Stochastic Regression Models

DOI10.1080/03610910600591776MaRDI QIDQ5481625zbMATH OpenOpenAlexFDO

Authors Jiro Hodoshima, Masakazu Ando

Publication date 10 August 2006

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

Full work available at URL https://doi.org/10.1080/03610910600591776

zbMATH Keywords

bootstrapheteroskedasticitysimulationstochastic explanatory variablesnon independence of explanatory variables and error terms

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Statistical tables (62Q05)

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Cites work

• scientific article; zbMATH DE number 3782216 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Asymptotic inference under heteroskedasticity of unknown form
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• Bootstrap methods: another look at the jackknife
• Bootstrap procedures under some non-i.i.d. models
• Bootstrapping regression models
• Heteroscedasticity in Models with Lagged Dependent Variables
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• Jackknife, bootstrap and other resampling methods in regression analysis
• Jackknifing in Unbalanced Situations

Cited in

(3)

• Bootstrapping stochastic regression models under homoskedasticity: wild bootstrapvs. pairs bootstrap
• The Finite-Sample Performance of White's Test for Heteroskedasticity Under Stochastic Regressors
• Heteroscedasticity in Models with Lagged Dependent Variables

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