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Publication details

Exact Inference In Robust Econometrics under Heteroscedasticity

Conference Paper (international conference)

Kalina Jan, Peštová B.

serial: The 11th International Days of Statistics and Economics Conference Proceedings, p. 636-645 , Eds: Löster T., Pavelka T.

action: International Days of Statistics and Economics /11./, (Prague, CZ, 20170914)

project(s): GA17-07384S, GA ČR

keywords: heteroscedasticity, robust statistics, regression, diagnostic tools, economic data

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abstract (eng):

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


2012-12-21 16:10