Exact Inference In Robust Econometrics under Heteroscedasticity

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F17%3A00475084" target="_blank" >RIV/67985807:_____/17:00475084 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/17:00483082
Result on the web
<a href="https://msed.vse.cz/msed_2017/article/6-Kalina-Jan-paper.pdf" target="_blank" >https://msed.vse.cz/msed_2017/article/6-Kalina-Jan-paper.pdf</a>
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Exact Inference In Robust Econometrics under Heteroscedasticity
Original language description
The paper is devoted to the least weighted squares estimator, which is one of highly robust estimators for the linear regression model. Novel permutation tests of heteroscedasticity are proposed. Also the asymptotic behavior of the permutation test statistics of the Goldfeld-Quandt and Breusch-Pagan tests is investigated. A numerical experiment on real economic data is presented, which also shows how to perform a robust prediction model under heteroscedasticity. Theoretical results may be simply extended to the context of multivariate quantiles
Czech name
—
Czech description
—

Project
<a href="/en/project/GA17-07384S" target="_blank" >GA17-07384S: Nonparametric (statistical) methods in modern econometrics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
The 11th International Days of Statistics and Economics Conference Proceedings
ISBN
978-80-87990-12-4
ISSN
—
e-ISSN
—
Number of pages
10
Pages from-to
636-645
Publisher name
Melandrium
Place of publication
Slaný
Event location
Prague
Event date
Sep 14, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
—

Similar results(10)