Počet záznamů: 1  

Exact Inference In Robust Econometrics under Heteroscedasticity

  1. 1.
    0483082 - ÚTIA 2018 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
    Kalina, Jan - Peštová, B.
    Exact Inference In Robust Econometrics under Heteroscedasticity.
    The 11th International Days of Statistics and Economics Conference Proceedings. Slaný: Melandrium, 2017 - (Löster, T.; Pavelka, T.), s. 636-645. ISBN 978-80-87990-12-4.
    [International Days of Statistics and Economics /11./. Prague (CZ), 14.09.2017-16.09.2017]
    Grant CEP: GA ČR GA17-07384S
    Institucionální podpora: RVO:67985556
    Klíčová slova: heteroscedasticity * robust statistics * regression * diagnostic tools * economic data
    Obor OECD: Statistics and probability; Statistics and probability (UIVT-O)
    http://library.utia.cas.cz/separaty/2017/SI/kalina-0483082.pdf

    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
    Trvalý link: http://hdl.handle.net/11104/0278495

     
     
Počet záznamů: 1  

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