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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

  • Czech description

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

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

  • 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