On Exact Heteroscedasticity Testing for Robust Regression

0467756 - ÚI 2017 CZ eng V - Research Report
Kalina, Jan - Peštová, Barbora
On Exact Heteroscedasticity Testing for Robust Regression.
Prague: ICS CAS, 2016. 10 s. Technical Report, V-1242.
Grant - others:GA ČR(CZ) GA13-01930S
Institutional support: RVO:67985807
Keywords : robust estimation * outliers * variance * diagnostic tools * heteroscedasticity
Subject RIV: BB - Applied Statistics, Operational Research

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.
Permanent Link: http://hdl.handle.net/11104/0265795