Název:
Exact Inference In Robust Econometrics under Heteroscedasticity
Autoři:
Kalina, Jan ; Peštová, B. Typ dokumentu: Příspěvky z konference Konference/Akce: International Days of Statistics and Economics /11./, Prague (CZ), 20170914
Rok:
2017
Jazyk:
eng
Abstrakt: 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. Theoretical results may be simply extended to the context of multivariate quantiles
Klíčová slova:
diagnostic tools; economic data; heteroscedasticity; regression; robust statistics Číslo projektu: GA17-07384S (CEP) Poskytovatel projektu: GA ČR Zdrojový dokument: The 11th International Days of Statistics and Economics Conference Proceedings, ISBN 978-80-87990-12-4