Properties of the OLS estimator under numerous patterns of heteroskedasticity

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F16%3A43909258" target="_blank" >RIV/62156489:43110/16:43909258 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1063/1.4951810" target="_blank" >http://dx.doi.org/10.1063/1.4951810</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1063/1.4951810" target="_blank" >10.1063/1.4951810</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Properties of the OLS estimator under numerous patterns of heteroskedasticity

Popis výsledku v původním jazyce

Favourable properties of the Ordinary Least Squares estimator are known to depend upon compliance with a set of restrictive conditions, often referred to as classical assumptions. This paper discusses evidence from Monte Carlo simulation schemes aimed at verifying occurrence of bias and minimum variance property of OLS estimator in presence of various patterns of heteroskedasticity. Three independent MC simulation schemes were prepared to investigate consequences of error term variance changing with power of the proportionality factor or depending upon the variance multiplication constant applied to a subset of observations. Several finite sample properties of the OLS estimator were shown to vary according to the simulated form of the skedastic function, but to a much lesser scope with the sample size.

Název v anglickém jazyce

Properties of the OLS estimator under numerous patterns of heteroskedasticity

Popis výsledku anglicky

Favourable properties of the Ordinary Least Squares estimator are known to depend upon compliance with a set of restrictive conditions, often referred to as classical assumptions. This paper discusses evidence from Monte Carlo simulation schemes aimed at verifying occurrence of bias and minimum variance property of OLS estimator in presence of various patterns of heteroskedasticity. Three independent MC simulation schemes were prepared to investigate consequences of error term variance changing with power of the proportionality factor or depending upon the variance multiplication constant applied to a subset of observations. Several finite sample properties of the OLS estimator were shown to vary according to the simulated form of the skedastic function, but to a much lesser scope with the sample size.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

—

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

AIP Conference Proceedings 1738

ISBN

978-0-7354-1392-4

ISSN

0094-243X

e-ISSN

—

Počet stran výsledku

4

Strana od-do

"Nestrankovano"

Název nakladatele

American Institute of Physics (AIP)

Místo vydání

Melville

Místo konání akce

Rhodos

Datum konání akce

23. 9. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000380803300064