Mallows criterion for heteroskedastic linear regressions with many regressors
Sign Up to like & getrecommendations! Published in 2021 at "Economics Letters"
DOI: 10.1016/j.econlet.2021.109864
Abstract: Abstract We present a feasible generalized Mallows criterion for model selection for a linear regression setup with conditional heteroskedasticity and possibly numerous explanatory variables. The feasible version exploits unbiased individual variance estimates from recent literature.… read more here.
Keywords: many regressors; heteroskedastic linear; criterion heteroskedastic; regressions many ... See more keywords
Testing inference in heteroskedastic linear regressions: a comparison of two alternative approaches
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Statistical Computation and Simulation"
DOI: 10.1080/00949655.2019.1586902
Abstract: We consider the issue of performing testing inferences on the parameters that index the linear regression model under heteroskedasticity of unknown form. Quasi-t test statistics use asymptotically correct standard errors obtained from heteroskedasticity-consistent covariance matrix… read more here.
Keywords: linear regressions; regressions comparison; heteroskedastic linear; inference heteroskedastic ... See more keywords