Original title: Exact Inference In Robust Econometrics under Heteroscedasticity
Authors: Kalina, Jan ; Peštová, B.
Document type: Papers
Conference/Event: International Days of Statistics and Economics /11./, Prague (CZ), 20170914
Year: 2017
Language: eng
Abstract: 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
Keywords: diagnostic tools; economic data; heteroscedasticity; regression; robust statistics
Project no.: GA17-07384S (CEP)
Funding provider: GA ČR
Host item entry: The 11th International Days of Statistics and Economics Conference Proceedings, ISBN 978-80-87990-12-4

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2017/SI/kalina-0483082.pdf
Original record: http://hdl.handle.net/11104/0278495

Permalink: http://www.nusl.cz/ntk/nusl-370692


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