Some Diagnostic Tools in Robust Econometrics

Kód výsledku v 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>

Výsledek na webu

<a href="http://dml.cz/dmlcz/141754" target="_blank" >http://dml.cz/dmlcz/141754</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Some Diagnostic Tools in Robust Econometrics

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Some Diagnostic Tools in Robust Econometrics

Popis výsledku anglicky

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

Druh

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

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2011

Kód důvěrnosti údajů

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

Název periodika

Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica

ISSN

0231-9721

e-ISSN

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Svazek periodika

50

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

13

Strana od-do

55-67

Kód UT WoS článku

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EID výsledku v databázi Scopus

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