Original title: Autocorrelated residuals of robust regression
Authors: Kalina, Jan
Document type: Papers
Conference/Event: International Days of Statistics and Economics /7./, Prague (CZ), 2013-09-19 / 2013-09-21
Year: 2013
Language: eng
Abstract: The work is devoted to the Durbin-Watson test for robust linear regression methods. First we explain consequences of the autocorrelation of residuals on estimating regression parameters. We propose an asymptotic version of the Durbin-Watson test for regression quantiles and trimmed least squares and derive an asymptotic approximation to the exact null distribution of the test statistic, exploiting the asymptotic representation for both regression estimators. Further, we consider the least weighted squares estimator, which is a highly robust estimator based on the idea to down-weight less reliable observations. We compare various versions of the Durbin-Watson test for the least weighted squares estimator. The asymptotic test is derived using two versions of the asymptotic representation. Finally, we investigate a weighted Durbin-Watson test using the weights determined by the least weighted squares estimator. The exact test is described and also an asymptotic approximation to the distribution of the weighted statistic under the null hypothesis is obtained.
Keywords: autocorrelation; diagnostics; linear regression; robust statistics
Project no.: GA13-01930S (CEP)
Funding provider: GA ČR
Host item entry: The 7th International Days of Statistics and Economics, ISBN 978-80-86175-87-4

Institution: Institute of Computer Science AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://msed.vse.cz/files/2013/1-Kalina-Jan-paper.pdf
Original record: http://hdl.handle.net/11104/0225427

Permalink: http://www.nusl.cz/ntk/nusl-161354


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