Počet záznamů: 1
Heteroscedasticity resistant robust covariance matrix estimator
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SYSNO ASEP 0365723 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Ostatní články Název Heteroscedasticity resistant robust covariance matrix estimator Tvůrce(i) Víšek, Jan Ámos (UTIA-B) ORCID Celkový počet autorů 1 Zdroj.dok. Bulletin of the Czech Econometric Society - ISSN 1212-074X
Roč. 17, č. 27 (2010), s. 33-49Poč.str. 17 s. Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova Regression ; Covariance matrix ; Heteroscedasticity ; Resistant Vědní obor RIV BB - Aplikovaná statistika, operační výzkum CEZ AV0Z10750506 - UTIA-B (2005-2011) Anotace 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 significantly worsen the data processing, even if it is performed by instrumental variables or the (scaled) 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. Then it is also recalled that neglecting heteroscedasticity may end up in significantly wrong specification and identification of regression model, just due to wrong evaluation of significance of the explanatory variables. 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. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2012
Počet záznamů: 1