Similar Search Results

Nonparametric Generalized Least Squares in Applied Regression Analysis

O'Hara, Michael E. - 2013

variants of heteroscedasticity robust standard error estimators (HRSEs) in an applied setting. Given myriad alternative HRSEs … various approaches to handling heteroscedasticity to data on professor rankings obtained from ratemyprofessor.com and find not … only heteroscedasticity to be prevalent but NPGLS and FGLS provide different insights and the statistical significance of …

Persistent link: https://www.econbiz.de/10013077989

Consistent Hac Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - 2003

A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run variance (LRV) estimation and robust regression testing. The kernels are constructed by taking powers of the Bartlett kernel and are intended to be used with no truncation (or...

Persistent link: https://www.econbiz.de/10014088395

Risk vs upside uncertainty : application of quantile regression in investment analysis

Rehman, Seema; Khilji, Jameel Ahmed; Sharif, Saqib - In: Macroeconomics and finance in emerging market economies 16 (2023) 2, pp. 264-284

Persistent link: https://www.econbiz.de/10014319833

GLS under monotone heteroskedasticity

Arai, Yoichi; Otsu, Taisuke; Xu, Mengshan - 2022

Persistent link: https://www.econbiz.de/10014430084

Tests for serial correlation of unknown form in dynamic least squares regression with wavelets

Li, Meiyu; Gençay, Ramazan - In: Economics letters 155 (2017), pp. 104-110

Persistent link: https://www.econbiz.de/10011821626

Nonlinear cointegrating power function regression with endogeneity

Hu, Zhishui; Phillips, Peter C. B.; Wang, Qiying - 2019

Persistent link: https://www.econbiz.de/10012132062

Random effects panel data models with known heteroskedasticity

Schäper, Julius; Winkelmann, Rainer - 2024

The paper introduces two estimators for the linear random effects panel data model with known heteroskedasticity. Examples where heteroskedasticity can be treated as given include panel regressions with averaged data, meta regressions and the linear probability model. While one estimator builds...

Persistent link: https://www.econbiz.de/10014551389

A Bias Test for Heteroscedastic Linear Least Squares Regression

Blankmeyer, Eric - 2023

A correlation between regressors and disturbances presents challenging problems in linear regression. Issues like omitted variables, measurement error and simultaneity render ordinary least squares (OLS) biased and inconsistent. In the context of heteroscedastic linear regression, this note...

Persistent link: https://www.econbiz.de/10014260355

Testing many restrictions under heteroskedasticity

Anatolyev, Stanislav; Sølvsten, Mikkel - In: Journal of econometrics 236 (2023) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10014332346

Random effects panel data models with known heteroskedasticity

Schäper, Julius; Winkelmann, Rainer - 2024 - Revised version, September 2024

The paper considers two estimators for the linear random effects panel data model with known heteroskedasticity. Examples where heteroskedasticity can be treated as given include panel regression with averaged data, meta regression and the linear probability model. While one estimator builds on...

Persistent link: https://www.econbiz.de/10015062188