Some Diagnostic Tools in Robust Econometrics
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F11%3A00372068" target="_blank" >RIV/67985807:_____/11:00372068 - isvavai.cz</a>
Result on the web
<a href="http://dml.cz/dmlcz/141754" target="_blank" >http://dml.cz/dmlcz/141754</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Some Diagnostic Tools in Robust Econometrics
Original language description
Highly robust statistical and econometric methods have been developed not only as a diagnostic tool for standard methods, but they can be also used as self-standing methods for valid inference. Therefore the robust methods need to be equipped by their own diagnostic tools. This paper describes diagnostics for robust estimation of parameters in two econometric models derived from the linear regression. Both methods are special cases of the generalized method of moments estimator based on implicit weighting of individual observations. This has the effect of down-weighting less reliable observations and ensures a high robustness and low sub-sample sensitivity of the methods. Firstly, for a robust regression method efficient under heteroscedasticity we derive the Durbin?Watson test of independence of random regression errors, which is based on the approximation to the exact null distribution of the test statistic. Secondly we study the asymptotic behavior of the Durbin?Watson test statisti
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
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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
Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica
ISSN
0231-9721
e-ISSN
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Volume of the periodical
50
Issue of the periodical within the volume
2
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
13
Pages from-to
55-67
UT code for WoS article
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EID of the result in the Scopus database
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