Asymptotic inference under heteroskedasticity of unknown form

DOI10.1016/S0167-9473(02)00366-3MaRDI QIDQ90759zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

bootstrapheteroskedasticityregressionhigh leverage pointsquasi-\(t\) tests

Mathematics Subject Classification ID

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

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• Improved heteroscedasticity-consistent covariance matrix estimators
• Jackknife, bootstrap and other resampling methods in regression analysis
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• The Hat Matrix in Regression and ANOVA

Cited in

(75)

• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• New heteroskedasticity-robust standard errors for the linear regression model
• Tests for regression models with heteroskedasticity of unknown form
• A bootstrap study of variance estimation under heteroscedasticity using genetic algorithm
• A novel Bayesian framework to address unknown heteroscedasticity for the linear regression model
• Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators
• A nonparametric measure of heteroskedasticity
• On some heteroskedasticity-robust estimators of variance-covariance matrix of the least-squares estimators
• Cluster-robust estimators for multivariate mixed-effects meta-regression
• Forbidden Knowledge and Specialized Training: A Versatile Solution for the Two Main Sources of Overfitting in Linear Regression
• Testing inference in heteroskedastic linear regressions: a comparison of two alternative approaches
• Heteroscedasticity consistent ridge regression estimators in linear regression model
• On simultaneously identifying outliers and heteroscedasticity without specific form
• A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models
• Approximate inference in heteroskedastic regressions: a numerical evaluation
• Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
• Improved inference for the panel data model with unknown unit-specific heteroscedasticity: a Monte Carlo evidence
• Efficient estimation of distributed lag model in presence of heteroscedasticity of unknown form: a Monte Carlo evidence
• Optimal design robust to a misspecified model
• Comparing the variances of two dependent variables
• Robust heteroskedasticity-robust tests
• Heteroskedasticity-robust inference in finite samples
• Addressing the distributed lag models with heteroscedastic errors
• Heteroskedasticity-robust inference in linear regressions
• Robust confidence intervals for meta-regression with interaction effects
• Asymptotic confidence intervals for the Pearson correlation via skewness and kurtosis
• 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
• Performance of Kibria's method for the heteroscedastic ridge regression model: some Monte Carlo evidence
• On size and power of heteroskedasticity and autocorrelation robust tests
• Exact distribution of the F-statistic under heteroskedasticity of unknown form for improved inference
• GMM inference in the matrix exponential spatial specification
• Heteroskedasticity-consistent interval estimators
• A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity
• Multivariate and multiple contrast testing in general covariate-adjusted factorial designs
• skedastic
• 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
• Heteroscedastic global tests that the regression parameters for two or more independent groups are identical
• A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators
• Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
• 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
• Bootstrapping heteroskedasticity consistent covariance matrix estimator
• On testing a subset of regression parameters under heteroskedasticity
• A moment-based representation for heteroskedasticity robust standard errors
• Moderation analysis using a two-level regression model
• Leverage-adjusted heteroskedastic bootstrap methods
• Valid heteroskedasticity robust testing
• Inference under heteroscedasticity of unknown form using an adaptive estimator
• Implementing a class of structural change tests: an econometric computing approach
• Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
• A review and comparison of methods of parameter estimation and inference for heteroskedastic linear regression models
• New strategies for detecting atypical observations based on the information matrix equality
• Inference Under Heteroskedasticity and Leveraged Data
• Ridge estimation in linear models with heteroskedastic errors
• On inference in the presence of heteroskedasticity without replicated observations
• Robust wild bootstrap for stabilizing the variance of parameter estimates in heteroscedastic regression models in the presence of outliers
• Efficient estimation and robust inference of linear regression models in the presence of heteroscedastic errors and high leverage points
• Comparing Pearson correlations: dealing with heteroscedasticity and nonnormality
• Theory and computational tool for interval estimation in linear regressions under heteroscedasticity of unknown form using double bootstrap methods
• Bayesian estimation of the biasing parameter for ridge regression: A novel approach
• Some improvements in confidence intervals for standardized regression coefficients
• 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
• How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
• Multivariate analysis of covariance with potentially singular covariance matrices and non-normal responses
• Resurrecting weighted least squares
• More Efficient Tests Robust to Heteroskedasticity of Unknown Form
• Testing inference in heteroskedastic fixed effects models
• A sequence of improved standard errors under heteroskedasticity of unknown form
• Testing inference in inflated beta regressions under model misspecification
• Linear regression: robust heteroscedastic confidence bands that have some specified simultaneous probability coverage

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• bootstrap

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