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Theory and Method

Estimating Heteroscedastic Variances in Linear Models

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Pages 380-385 | Received 01 Aug 1973, Published online: 06 Apr 2012

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Koen Jochmans. (2022) Heteroscedasticity-Robust Inference in Linear Regression Models With Many Covariates. Journal of the American Statistical Association 117:538, pages 887-896.
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Eric S. Lin & Ta-Sheng Chou. (2018) Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form. Econometric Reviews 37:1, pages 1-28.
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Patrick Richard. (2017) Heteroskedasticity–robust tests with minimum size distortion. Communications in Statistics - Theory and Methods 46:13, pages 6463-6477.
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Shunyong Li, Nahui Zhang, Xiaoqin Zhang & Guannan Wang. (2017) A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity. Journal of Statistical Computation and Simulation 87:1, pages 198-210.
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Muhammad Aslam. (2014) Using Heteroscedasticity-Consistent Standard Errors for the Linear Regression Model with Correlated Regressors. Communications in Statistics - Simulation and Computation 43:10, pages 2353-2373.
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Muhammad Aslam, Tahira Riaz & Saima Altaf. (2013) Efficient Estimation and Robust Inference of Linear Regression Models in the Presence of Heteroscedastic Errors and High Leverage Points. Communications in Statistics - Simulation and Computation 42:10, pages 2223-2238.
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Munir Ahmed, Muhammad Aslam & G.R. Pasha. (2011) Inference under Heteroscedasticity of Unknown Form Using an Adaptive Estimator. Communications in Statistics - Theory and Methods 40:24, pages 4431-4457.
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Jørgen Lauridsen & Reinhold Kosfeld. (2011) Spurious spatial regression and heteroscedasticity. Journal of Spatial Science 56:1, pages 59-72.
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Francisco Cribari-Neto & Maria da Glória A. Lima. (2010) Approximate inference in heteroskedastic regressions: A numerical evaluation. Journal of Applied Statistics 37:4, pages 591-615.
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Francisco Cribari-Neto & Maria da Glória A. Lima. (2009) Heteroskedasticity-consistent interval estimators. Journal of Statistical Computation and Simulation 79:6, pages 787-803.
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Francisco Cribari-Neto, TatieneC. Souza & KlausL. P. Vasconcellos. (2007) Inference Under Heteroskedasticity and Leveraged Data. Communications in Statistics - Theory and Methods 36:10, pages 1877-1888.
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Francisco Cribari-Neto, SilviaL. P. Ferrari & WaldemarA. S. C. Oliveira. (2005) Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators. Journal of Statistical Computation and Simulation 75:8, pages 611-628.
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S Cook & N Manning. (2004) Unit Root Testing Using Heteroscedasticity Consistent Covariance Matrix Estimators: Finite- Sample Evidence. Studies in Economics and Econometrics 28:3, pages 27-41.
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Francisco Cribari-Neto & Nila M. S. Galvão. (2003) A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators. Communications in Statistics - Theory and Methods 32:10, pages 1951-1980.
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J. Scott Long & LaurieH. Ervin. (2000) Using Heteroscedasticity Consistent Standard Errors in the Linear Regression Model. The American Statistician 54:3, pages 217-224.
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Rongshin Hsu. (1999) Approximate estimations of variance components in an adjustment computation. Journal of the Chinese Institute of Engineers 22:1, pages 69-77.
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Syed Shahadat Hossain & Azmeri Khan. (1994) Maximum likelihood estimation of variance components of heteroscedastic random anova model. Communications in Statistics - Theory and Methods 23:9, pages 2449-2467.
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Richard Valliant. (1986) Mem squared error estimation in finite populations under nonlinear models. Communications in Statistics - Theory and Methods 15:6, pages 1975-1993.
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WilliamC. Louv. (1984) Adaptive Filtering. Technometrics 26:4, pages 399-409.
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Ardavan Nozari. (1984) Generalized and oxdinary least squakes with estimated and unequal variances. Communications in Statistics - Simulation and Computation 13:4, pages 521-537.
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I.N. Vuchkov & L.N. Boyadjieva. (1981) Errors in the factor levels and estimation of regression model parameters. Journal of Statistical Computation and Simulation 13:1, pages 1-12.
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RichardM. Royall & WilliamG. Cumberland. (1978) Variance Estimation in Finite Population Sampling. Journal of the American Statistical Association 73:362, pages 351-358.
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KennethG. Brown. (1978) Estimation of Variance Components Using Residuals. Journal of the American Statistical Association 73:361, pages 141-146.
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SusanD. Horn & RogerA. Horn. (1975) Comparison of Estimators of Heteroscedastic Variances in Linear Models. Journal of the American Statistical Association 70:352, pages 872-879.
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