Heteroscedasticity Resistant Robust Covariance Matrix Estimator

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10050545" target="_blank" >RIV/00216208:11230/10:10050545 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/67985556:_____/10:00365723

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Heteroscedasticity Resistant Robust Covariance Matrix Estimator

Popis výsledku v původním jazyce

It is straightforward that breaking the orthogonality condition implies biased and inconsistent estimates by means of the ordinary least squares. If moreover, the data are contaminated it may worsen the data processing, even if it is performed by instrumental variables or the total least squares . That is why the method of instrumental weighted variables based of weighting down order statistics of squared residuals was proposed. The main underlying idea of this method is recalled and discussed. So, if the test of heteroscedasticity rejects the hypothesis of homoscedasticity, we need an estimator of covariance matrix resistant to heteroscedasticity . The proposal of such an estimator is the main result of the paper. At the end of paper the numerical study of the proposed estimator is included.

Název v anglickém jazyce

Heteroscedasticity Resistant Robust Covariance Matrix Estimator

Popis výsledku anglicky

It is straightforward that breaking the orthogonality condition implies biased and inconsistent estimates by means of the ordinary least squares. If moreover, the data are contaminated it may worsen the data processing, even if it is performed by instrumental variables or the total least squares . That is why the method of instrumental weighted variables based of weighting down order statistics of squared residuals was proposed. The main underlying idea of this method is recalled and discussed. So, if the test of heteroscedasticity rejects the hypothesis of homoscedasticity, we need an estimator of covariance matrix resistant to heteroscedasticity . The proposal of such an estimator is the main result of the paper. At the end of paper the numerical study of the proposed estimator is included.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BA - Obecná matematika

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F09%2F0557" target="_blank" >GA402/09/0557: Robustifikace vybraných ekonometrických metod</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název periodika

Bulletin of the Czech Econometric Society

ISSN

1212-074X

e-ISSN

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Svazek periodika

17

Číslo periodika v rámci svazku

27

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

17

Strana od-do

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Kód UT WoS článku

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EID výsledku v databázi Scopus

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