We consider inference in linear regression models that is robust to heteroscedasticity and the presence of many control variables. When the number of control variables increases at the same rate as the sample size the usual heteroscedasticity-robust estimators of the covariance matrix are inconsistent....
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The behaviors of the robust proposed and classical ANOVA tests are examined by simulation study. The results shows that the proposed robust tests have good performance especially in the presence of heteroscedasticity and contamination. 展开 关键词: Brown-Forsythe Modified Brown-Forsythe ANOVA Weibull ...
(1986a). A robust procedure for comparing several means under heteroscedasticity and nonnormality. Communications in Statistics: Simulation and Computation, 15(3), 733-745.Tan, W.Y., Tabatabai, M.A., 1986. A robust procedure for comparing several means under heteroscedasticity and nonnormality. ...
This paper proposes estimators of the first-order autocorrelation that are based on suitably transformed ratios of successive observations. The new estimators are given by simple functions of the observations. Numerical optimization is not required. Simulations show that they are highly robust against ...
robust statisticslinear regressiondiagnosticsThis work studies the phenomenon of heteroscedasticity and its consequences for various methods of linear regression, including the least squares, least weighted squares and regression quantiles. We focus on hypothesis tests for these regression methods. The new ...
(2013), `Heteroscedasticity-robust Cp model averaging', The Econometrics Journal 16(3), 463-472.Liu, Q. and R. Okui (2013): "Heteroscedasticity-Robust Cp Model Averaging," The Econo- metrics Journal, 16, 463-472.Liu, Q. and R. Okui (2013). Heteroscedasticity-robust cp model averaging....
Heteroscedasticity-robust model screening: A useful toolkit for model averaging in big data analyticsModel screeningModel averagingBig data analyticsFrequentist model averaging has been demonstrated as an efficient tool to deal with model uncertainty in big data analysis. In contrast with a conventional ...
Okui (2013): "Heteroscedasticity-Robust Cp Model Averaging," The Econo- metrics Journal, 16, 463-472.Liu, Q. and R. Okui (2013). Heteroscedasticity-robust cp model averaging. Econometrics Journal 16, 462-473.Heteroscedasticity‐robust Cp model averaging[J] . Qingfeng Liu,Ryo Okui.The ...