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Three Contributions to Robust Regression Diagnostics
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SYSNO ASEP 0456162 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Three Contributions to Robust Regression Diagnostics Tvůrce(i) Kalina, Jan (UIVT-O) RID, SAI, ORCID Zdroj.dok. Journal of applied mathematics, statistics and informatics. - : Univerzita sv. Cyrila a Metoda v Trnave - ISSN 1336-9180
Roč. 11, č. 2 (2015), s. 69-78Poč.str. 10 s. Jazyk dok. eng - angličtina Země vyd. SK - Slovensko Klíč. slova robust regression ; robust econometrics ; hypothesis testing Vědní obor RIV BA - Obecná matematika Institucionální podpora UIVT-O - RVO:67985807 UT WOS 000216716500006 DOI 10.1515/jamsi-2015-0013 Anotace Robust regression methods have been developed not only as a diagnostic tool for standard least squares estimation in statistical and econometric applications, but can be also used as self-standing regression estimation procedures. Therefore, they need to be equipped by their own diagnostic tools. This paper is devoted to robust regression and presents three contributions to its diagnostic tools or estimating regression parameters under non-standard conditions. Firstly, we derive the Durbin-Watson test of independence of random regression errors for the regression median. The approach is based on the approximation to the exact null distribution of the test statistic. Secondly, we accompany the least trimmed squares estimator by a subjective criterion for selecting a suitable value of the trimming constant. Thirdly, we propose a robust version of the instrumental variables estimator. The new methods are illustrated on examples with real data and their advantages and limitations are discussed. Pracoviště Ústav informatiky Kontakt Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Rok sběru 2016 Elektronická adresa http://www.degruyter.com/view/j/jamsi.2015.11.issue-2/jamsi-2015-0013/jamsi-2015-0013.xml?format=INT
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