J. (2004). Robust regression methods: Achieving small standard errors when there is heteroscedasticity. Understanding Statistics, 3(4), 349-364.Wilcox, R. R. and Keselman, H. J. (2004). Robust regression methods: achieving small standard errors when there is heteroscedasticity. Understanding ...
Hi, I tested my fixed effects panel model for heteroscedasticity using the Huber-White robust standard errors. The commands used are: xtreg AverChangeROEadj2 strategy_01 duration_stability_t1 ceo_change ceo_int_t1 tmt_turnover_t1 sizelnempl age prior_slack_avail2 ROEadj_1 external_change_dumm...
The new approach consists in deriving asymptotic heteroscedasticity tests for robust regression, which are asymptotically equivalent to standard tests computed for the least squares regression. One approach to modeling heteroscedasticity assumes a prior knowledge or specific model for the variability of ...
As a consequence, although the LS method gives unbiased estimate of parameters but it gives biased estimates of the standard errors of the parameters. To overcome this problem of LS method, the Feasible Generalized Least Squares (FGLS) estimator is often suggested in the literature. The FLGS ...