633
Views
5
CrossRef citations to date
0
Altmetric
Article

Heteroscedasticity testing after outlier removal

&

References

  • Akhtaruzzaman, M., Hajzler, C., Owen, P. D. (2018). Does institutional quality resolve the lucas paradox? Applied Economics 50(5):455–474.
  • Ali, M. M., Giaccotto, C. (1984). A study of several new and existing tests for heteroscedasticity in the general linear model. Journal of Econometrics 26(3):355–373. doi:10.1016/0304-4076(84)90026-5
  • Alih, E., Ong, C. O. (2015). An outlier-resistant test for heteroscedasticity in linear models. Journal of Applied Statistics 42(8):1617–1634. doi:10.1080/02664763.2015.1004623
  • Atalla, T., Joutz, F., Pierru, A. (2016). Does disagreement among oil price forecasters reflect volatility? Evidence from ECB surveys. International Journal of Forecasting 32(4):1178–1192. doi:10.1016/j.ijforecast.2015.09.009
  • Bauer, C., Neuenkirch, M. (2017). Forecast uncertainty and the Taylor rule. Journal of International Money and Finance 77:99–116. doi:10.1016/j.jimonfin.2017.07.017
  • Bercu, B., Touati, A. (2008). Exponential inequalities for self-normalized martingales with applications. The Annals of Applied Probability 18(5):1848–1869. doi:10.1214/07-AAP506
  • Berenguer-Rico, V., Johansen, S., Nielsen, B. (2019a). Uniform consistency of marked and weighted empirical distribution functions of residuals. Department of Economics, Discussion Paper Series. University of Oxford.
  • Berenguer-Rico, V., Johansen, S., Nielsen, B. (2019b). The analysis of marked and weighted empirical processes of estimated residuals. Department of Economics, Discussion Paper Series. University of Oxford.
  • Berenguer-Rico, V., Nielsen, B. (2018). Marked and weighted empirical processes of residuals with applications to robust regressions. Department of Economics, Discussion Paper Series. Univesity of Oxford.
  • Bold, T., Kaizzi, K. C., Svensson, J., Yanagizawa-Drott, D. (2017). Lemon technologies and adoption: measurement, theory, and evidence from agricultural markets in Uganda. The Quarterly Journal of Economics 132(3):1055–1100. doi:10.1093/qje/qjx009
  • Breusch, T. S., Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica 47(5):1287–1294. doi:10.2307/1911963
  • Carrera, N., Sohail, T., Carmona, S. (2017). Audit committees’ social capital and financial reporting quality. Accounting and Business Research 47(6):633–672. doi:10.1080/00014788.2017.1299617
  • Chen, S., Bien, J. (2019). Valid inference corrected for outlier removal. Journal of Computational and Graphical Statistics 1–12. doi:10.1080/10618600.2019.1660180
  • Chen, B., Choi, J. H., Escanciano, J. C. (2017). Testing for fundamental vector moving average representations. Quantitative Economics 8(1):149–180. doi:10.3982/QE393
  • Goldfeld, S. M., Quandt, R. E. (1965). Some tests for homoscedasticity. Journal of the American Statistical Association 61(310):539–547. doi:10.1080/01621459.1965.10480811
  • Hendry, D. F., Nielsen, B. (2007). Econometric Modeling: A Likelihood Approach. Princeton, NJ: Princeton University Press.
  • Hendry, D. F., Santos, C. (2005). Regression models with data-based indicator variables. Oxford Bulletin of Economics and Statistics 67(5):571–595. doi:10.1111/j.1468-0084.2005.00132.x
  • Hendry, D. F., Santos, C. (2010). An automatic test of super exogeneity. In: Bollerslev, T., Russell, J. R., Watson, M. W., eds., Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, Oxford: Oxford University Press, pp. 164–193.
  • Hirvonen, K., Hoddinott, J., Minten, B., Stifel, D. (2017). Children’s diets, nutrition knowledge, and access to markets. World Development 95:303–315. doi:10.1016/j.worlddev.2017.02.031
  • Hoover, K. D., Perez, S. J. (1999). Data mining reconsidered: encompassing and the general-to-specific approach to specification search (with discussion). The Econometrics Journal 2(2):167–191. doi:10.1111/1368-423X.00025
  • Huber, P. J., Ronchetti, E. M. (2009). Robust statistic. In: Wiley Series in Probability and Statistics, 2nd Edition, Hoboken: John Wiley & Sons, Inc.
  • Im, K. S. (2000). Robustifying glejser test of heteroskedasticity. Journal of Econometrics 97(1):179–188. doi:10.1016/S0304-4076(99)00061-5
  • Johansen, S., Nielsen, B. (2009). An analysis of the indicator saturation estimator as a robust regression estimator. The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry. Oxford: Oxford University Press.
  • Johansen, S., Nielsen, B. (2016a). Analysis of the forward search using some new results for martingales and empirical processes. Bernoulli 22(2):1131–1183. doi:10.3150/14-BEJ689
  • Johansen, S., Nielsen, B. (2016b). Asymptotic theory of outlier detection algorithms for linear time series regression models. Scandinavian Journal of Statistics 43(2):321–348. doi:10.1111/sjos.12174
  • Kalina, J. (2011). Testing heteroscedasticity in robust regression. Research Journal of Economics Business and ICT 4:25–28.
  • Koul, H. L., Ossiander, M. (1994). Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression. The Annals of Statistics 22(1):540–562. doi:10.1214/aos/1176325383
  • Leeb, H., Pötscher, B. M. (2005). Model selection and inference: facts and fiction. Econometric Theory 21(01):21–59. doi:10.1017/S0266466605050036
  • Ling, T. W., Wahab, N. S. A. (2018). Roles of tax planning in market valuation of corporate social responsibility. Cogent Business & Management 5:1482595.
  • Lyon, J. D., Tsai, C. (1996). A comparison of tests for heteroscedasticity. The Statistician 45(3):337–349. doi:10.2307/2988471
  • Maronna, R. A., Martin, R. D., Yohai, V. J. (2006). Robust Statistics: Theory and Methods. Hoboken, NJ: John Wiley & Sons.
  • Montagnoli, A., Napolitano, A., Siliverstovs, B. (2016). Regional interest rate pass-through in Italy. Regional Studies 50(8):1404–1419. doi:10.1080/00343404.2015.1022311
  • Pötscher, B. M. (1991). Effects of model selection on inference. Econometric Theory 7(2):163–185. doi:10.1017/S0266466600004382
  • Rojas, M. G. A., Solis, E. R. R., Edgar, R., Zhu, J. J. (2018). Innovation and network multiplexity: R&D and the concurrent effects of two collaboration networks in an emerging economy. Research Policy 47(6):1111–1124. doi:10.1016/j.respol.2018.03.018
  • Romano, J. P., Wolf, M. (2017). Resurrecting weighted least squares. Journal of Econometrics 197(1):1–19. doi:10.1016/j.jeconom.2016.10.003
  • Rousseeuw, P. J. (1984). Least median of squares regression. Journal of the American Statistical Association 79(388):871–880. doi:10.1080/01621459.1984.10477105
  • Shea, J. M., Brown, K. H. (2018). wooldridge: 111 data sets from “introductory econometrics: a modern approach, 6e” by Jeffrey M. Wooldridge, R package version 1.3.1. Available at: https://CRAN.R-project.org/package=wooldridge. Last accessed 19 July 2019.
  • Stanko, M. A., Henard, D. H. (2017). Toward a better understanding of crowdfunding, openness and the consequences for innovation. Research Policy 46(4):784–798. doi:10.1016/j.respol.2017.02.003
  • Van Dijk, D., Franses, P. H., Lucas, A. (1999). Testing for ARCH in the presence of additive outliers. Journal of Applied Econometrics 14(5):539–562. doi:10.1002/(SICI)1099-1255(199909/10)14:5<539::AID-JAE526>3.0.CO;2-W
  • Víšek, J. Á. (1999). The least trimmed squares – random carriers. Bulletin of the Czech Econometric Society 10:1–30.
  • White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48(4):817–838. doi:10.2307/1912934
  • Welsh, A. H., Ronchetti, E. (2002). A journey in single steps: robust one-step M-estimation in linear regression. Journal of Statistical Planning and Inference 103(1–2):287–310. doi:10.1016/S0378-3758(01)00228-2
  • Wooldridge, J. M. (2013). Introductory Econometrics: A Modern Approach, 5th Edition. South-Western, Cengae Learning.
  • Yohai, V. J. (1987). High breakdown-point and high efficiency estimates for regression. The Annals of Statistics 15(2):642–656. doi:10.1214/aos/1176350366

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.