Asymptotic inference under heteroskedasticity of unknown form

DOI10.1016/S0167-9473(02)00366-3zbMATH Open1429.62184OpenAlexW2046561947MaRDI QIDQ90759FDOQ90759

Authors: Francisco Cribari-Neto, Francisco Cribari-Neto 

Publication date: March 2004

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(02)00366-3

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zbMATH Keywords

bootstrapheteroskedasticityregressionhigh leverage pointsquasi-\(t\) tests

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)

Cites Work

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• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
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• An adaptive permutation test procedure for several common tests of significance.

Cited In (66)

• A bootstrap study of variance estimation under heteroscedasticity using genetic algorithm
• Tests for regression models with heteroskedasticity of unknown form
• Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators
• Cluster-robust estimators for multivariate mixed-effects meta-regression
• Testing inference in heteroskedastic linear regressions: a comparison of two alternative approaches
• A nonparametric measure of heteroskedasticity
• On some heteroskedasticity-robust estimators of variance-covariance matrix of the least-squares estimators
• Performance of Kibria's Method for the Heteroscedastic Ridge Regression Model: Some Monte Carlo Evidence
• Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
• On simultaneously identifying outliers and heteroscedasticity without specific form
• A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models
• Optimal design robust to a misspecified model
• Robust heteroskedasticity-robust tests
• Comparing the variances of two dependent variables
• Testing Inference in Inflated Beta Regressions under Model Misspecification
• Heteroskedasticity-robust inference in finite samples
• Addressing the distributed lag models with heteroscedastic errors
• Heteroskedasticity-robust inference in linear regressions
• Asymptotic confidence intervals for the Pearson correlation via skewness and kurtosis
• On size and power of heteroskedasticity and autocorrelation robust tests
• Exact distribution of the F-statistic under heteroskedasticity of unknown form for improved inference
• Efficient Estimation and Robust Inference of Linear Regression Models in the Presence of Heteroscedastic Errors and High Leverage Points
• Heteroskedasticity-consistent interval estimators
• A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity
• Alternative HAC covariance matrix estimators with improved finite sample properties
• The Effect of Non Independence of Explanatory Variables and Error Term and Heteroskedasticity in Stochastic Regression Models
• A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators
• Heteroskedastic linear regression model with compositional response and covariates
• A data transformation to deal with constant under/over-dispersion in Poisson and binomial regression models
• Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
• Bootstrapping heteroskedasticity consistent covariance matrix estimator
• Leverage-adjusted heteroskedastic bootstrap methods
• On testing a subset of regression parameters under heteroskedasticity
• Moderation analysis using a two-level regression model
• Inference under heteroscedasticity of unknown form using an adaptive estimator
• Approximate inference in heteroskedastic regressions: A numerical evaluation
• Implementing a class of structural change tests: an econometric computing approach
• Inference Under Heteroskedasticity and Leveraged Data
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
• skedastic
• Ridge estimation in linear models with heteroskedastic errors
• Robust wild bootstrap for stabilizing the variance of parameter estimates in heteroscedastic regression models in the presence of outliers
• Comparing Pearson correlations: dealing with heteroscedasticity and nonnormality
• Bayesian estimation of the biasing parameter for ridge regression: A novel approach
• Comparing the variances or robust measures of scale of two dependent variables
• Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
• Some improvements in confidence intervals for standardized regression coefficients
• Multivariate analysis of covariance with potentially singular covariance matrices and non-normal responses
• How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
• More Efficient Tests Robust to Heteroskedasticity of Unknown Form
• Resurrecting weighted least squares
• Testing inference in heteroskedastic fixed effects models
• A sequence of improved standard errors under heteroskedasticity of unknown form
• Using Heteroscedasticity-Consistent Standard Errors for the Linear Regression Model with Correlated Regressors
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• New heteroskedasticity-robust standard errors for the linear regression model
• A novel Bayesian framework to address unknown heteroscedasticity for the linear regression model
• Forbidden Knowledge and Specialized Training: A Versatile Solution for the Two Main Sources of Overfitting in Linear Regression
• Heteroscedastic Global Tests that the Regression Parameters for Two or More Independent Groups are Identical
• Robust testing procedures for scale differences in paired data
• 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
• On inference in the presence of heteroskedasticity without replicated observations
• Efficient estimation of distributed lag model in presence of heteroscedasticity of unknown form: A Monte Carlo evidence
• Improved inference for the panel data model with unknown unit-specific heteroscedasticity: A Monte Carlo evidence
• Linear regression: robust heteroscedastic confidence bands that have some specified simultaneous probability coverage

Uses Software

• bootstrap
• bootlib

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