Heteroscedasticity Resistant Robust Covariance Matrix Estimator

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10050545" target="_blank" >RIV/00216208:11230/10:10050545 - isvavai.cz</a>

Alternative codes found

RIV/67985556:_____/10:00365723

Result on the web

—

DOI - Digital Object Identifier

—

Result language

angličtina

Original language name

Heteroscedasticity Resistant Robust Covariance Matrix Estimator

Original language description

It is straightforward that breaking the orthogonality condition implies biased and inconsistent estimates by means of the ordinary least squares. If moreover, the data are contaminated it may worsen the data processing, even if it is performed by instrumental variables or the total least squares . That is why the method of instrumental weighted variables based of weighting down order statistics of squared residuals was proposed. The main underlying idea of this method is recalled and discussed. So, if the test of heteroscedasticity rejects the hypothesis of homoscedasticity, we need an estimator of covariance matrix resistant to heteroscedasticity . The proposal of such an estimator is the main result of the paper. At the end of paper the numerical study of the proposed estimator is included.

Czech name

—

Czech description

—

Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BA - General mathematics

OECD FORD branch

—

Project

<a href="/en/project/GA402%2F09%2F0557" target="_blank" >GA402/09/0557: Robustification of selected econometric methods</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2010

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Bulletin of the Czech Econometric Society

ISSN

1212-074X

e-ISSN

—

Volume of the periodical

17

Issue of the periodical within the volume

27

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

17

Pages from-to

—

UT code for WoS article

—

EID of the result in the Scopus database

—