Search
3 articles for “Heteroscedasticity”
-
Comparison between Generalized Least Square Method and Quantile Regression in Dealing with Heteroscedastic Data
Abstract: Heteroscedastic data arise from a population whose sub-populations have different variabilities from one another. In presence of heteroscedasticity, the OLS estimators no longer remain the BLUEs, giving rise to wider acceptance regions and confidence intervals for the model parameters. The generalized least square technique, specifically weighted least square method is the conventional way of eliminating heteroscedasticity. However, quantile regression can also be used in dealing with this kind of data. …
Published in Research & Reviews : Journal of Statistics · Vol. 7, Issue 3, 2018 · pp. 12–16 Read article
-
Modified Joint Test of Heteroscedasticity and Serial Correlation in a Random Effect Panel Data Model under Restricted Alternatives
Abstract: AbstractIn time series econometric theory, the sign of the parameter may be pre-assigned, that is the parameter may be ordered or restricted. Estimation of this restricted parameter is then a vital problem. If we know the parameters are restricted by some constraints, it is reasonable to expect that we should be able to do better by incorporating such additional information than by ignoring them. The paper concerned with estimating and …
Published in Research & Reviews : Journal of Statistics · Vol. 2, Issue 3, 2013 · pp. 41–49 Read article
-
Heteroscedasticity in Survey Data and Model Selection based on Weighted Schwarz-Bayesian Information Criterion
Abstract: AbstractThis paper proposed Weighted Schwarz Bayesian Information criterion for the purpose of selecting a best model from various competing models, when heteroscedasticity is present in the survey data. The authors found that the information loss between the true model and fitted models are equally weighted, instead of giving unequal weights. The computation of weights purely depends on the differential entropy of each sample observation and traditional Schwarz Bayesian information criterion …
Published in Research & Reviews : Journal of Statistics · Vol. 2, Issue 3, 2013 · pp. 8–23 Read article