کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
416221 681302 2006 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Tests for regression models with heteroskedasticity of unknown form
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Tests for regression models with heteroskedasticity of unknown form
چکیده انگلیسی

Evidence is presented on the finite sample performance of tests that are robust to heteroskedasticity. In contrast to previous work, the focus is on testing several restrictions on the coefficients of a linear regression model, rather than on a quasi-tt test of a single restriction. Tests based upon different forms of a heteroskedasticity-consistent covariance matrix estimator are examined, as are the relative merits of asymptotic and wild bootstrap critical values. As an alternative to such tests, procedures using the classical FF statistic are investigated. These procedures use single and double wild bootstraps to assess the significance of the FF statistic. The costs of using heteroskedasticity-robust tests when the errors are actually homoskedastic are discussed.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 50, Issue 10, 20 June 2006, Pages 2715–2733
نویسندگان
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