Testing Heteroscedasticity in Robust Regression

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F11%3A00377392" target="_blank" >RIV/67985807:_____/11:00377392 - isvavai.cz</a>

Result on the web

<a href="http://www.researchjournals.co.uk/documents/Vol4/06%20Kalina.pdf" target="_blank" >http://www.researchjournals.co.uk/documents/Vol4/06%20Kalina.pdf</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Testing Heteroscedasticity in Robust Regression

Original language description

This work studies the phenomenon of heteroscedasticity and its consequences for various robust estimation methods for the linear regression, including the least weighted squares, regression quantiles and trimmed least squares estimators. We investigate hypothesis tests for these regression methods and removing heteroscedasticity from the linear regression model. The new asymptotic heteroscedasticity tests for robust regression are asymptotically equivalent to standard tests computed for the least squares regression. Also we describe an asymptotic approximation to the exact null distribution of the test statistics. We describe a robust estimation procedure for the linear regression with heteroscedastic errors.

Czech name

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Czech description

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Type

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

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

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Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2011

Confidentiality

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

Name of the periodical

Research Journal of Economics, Business and ICT

ISSN

2045-3345

e-ISSN

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Volume of the periodical

1

Issue of the periodical within the volume

4

Country of publishing house

GB - UNITED KINGDOM

Number of pages

4

Pages from-to

25-28

UT code for WoS article

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EID of the result in the Scopus database

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