Empirical distribution function under heteroscedasticity
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F11%3A00365534" target="_blank" >RIV/67985556:_____/11:00365534 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/11:10100301
Result on the web
<a href="http://dx.doi.org/10.1080/02331881003768891" target="_blank" >http://dx.doi.org/10.1080/02331881003768891</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/02331881003768891" target="_blank" >10.1080/02331881003768891</a>
Alternative languages
Result language
angličtina
Original language name
Empirical distribution function under heteroscedasticity
Original language description
Neglecting heteroscedasticity of error terms may imply a wrong identification of regression. Employment of (heteroscedasticity resistent) White?s estimator of covariance matrix of estimates of regression coefficients may lead to the correct decision about significance of individual explanatory variables under heteroscedasticity. However, White?s estimator of covariance matrix was established for LS-regression analysis (in the case when error terms are normally distributed, LS- and ML-analysis coincide and hence then White?s estimate of covariance matrix is available for ML-regression analysis, too). To establish White?s-type estimate for another estimator of regression coefficients requires Bahadur representation of the estimator in question, under heteroscedasticity of error terms. The derivation of Bahadur representation for other (robust) estimators requires some tools.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA402%2F09%2F0557" target="_blank" >GA402/09/0557: Robustification of selected econometric methods</a><br>
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Statistics
ISSN
0233-1888
e-ISSN
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Volume of the periodical
45
Issue of the periodical within the volume
5
Country of publishing house
US - UNITED STATES
Number of pages
12
Pages from-to
497-508
UT code for WoS article
000299733400005
EID of the result in the Scopus database
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