Robust heteroskedasticity-robust tests
Sign Up to like & getrecommendations! Published in 2017 at "Economics Letters"
DOI: 10.1016/j.econlet.2017.07.008
Abstract: Hausman and Palmer (2012) suggest using the Edgeworth corrected critical values of Rothenberg (1988) along with a pairs bootstrap covariance matrix estimator in order to obtain second order correct heteroskedasticity-robust inferences. According to their simulations,… read more here.
Keywords: heteroskedasticity robust; robust tests; robust heteroskedasticity; heteroskedasticity ... See more keywords
Robust tests of the equality of two high-dimensional covariance matrices
Sign Up to like & getrecommendations! Published in 2020 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2020.1788085
Abstract: Abstract It is of great importance in both theory and application to test the equality of two covariance matrices and . This article proposes a new robust test based on spatial sign statistic regarding in… read more here.
Keywords: robust tests; high dimensional; covariance matrices; tests equality ... See more keywords