822
Views
66
CrossRef citations to date
0
Altmetric
Original Articles

Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing

&
Pages 211-228 | Published online: 21 Mar 2007

References

  • Bera , A. , Bubnys , E. and Park , H. 1988 . Conditional heteroskedasticity in the market model and efficient estimation of betas. . The Financial Review , 23 : 201 – 214 .
  • Breusch , T. S. and Pagan , A. R. 1979 . A simple test for heteroskedasticity and random coefficient variation. . Econornetrica , 47 : 1287 – 1294 .
  • Chen , C. R. and Keown , A. J. 1981 . Risk decomposition and portfolio diversification when beta is nonstationary: a note . Journal of Finance , 36 : 941 – 947 .
  • Chesher , A. and Jewitt , I. 1987 . The bias of a heteroskedasticity consistent covariance matrix estimator . Econometrica , 55 : 1217 – 1222 .
  • Chesher , A. and Smith , R. J. 1997 . Likelihood ratio specification tests . Econornetrica , 65 : 627 – 646 .
  • Chesher , A. and SPADY , R. H. 1991 . Asymptotic expansions of the information matrix test . Econometrica , 59 : 787 – 816 .
  • COOK , R. D. and Weisberg , S. 1983 . Diagnostics for heteroscedasticity in regression . Biometrika , 70 : 1 – 10 .
  • Cribari-neto , F. 1997 . On the corrections to information matrix tests . Econometric Reviews , 16 : 39 – 53 .
  • Cribari-neto , F. and Cordeiro , G. M. 1996 . On Bartlett and Bartlett-type corrections . Econometric Reviews , 15 : 339 – 367 .
  • Cribari-neto , F. and Ferrari , S. L. P. 1995 . An improved Lagrange multiplier test for heteroskedasticity . Communications in Statistics-Simulation and Computation , 24 : 31 – 44 .
  • Efron , B. 1979 . Bootstrap methods: another look at the jackknife . Annals of Statistics , 7 : 1 – 26 .
  • Eicker , F. 1963 . Asymptotic normality and consistency of the least squares estimators for families of linear regressions . Annals of Mathematical Statistics , 34 : 447 – 456 .
  • Engle , R. F. 1982 . Autoregresive conditional heteroscedasticity with estimates of the variance of U.K. inflation . Econometrica , 50 : 987 – 1008 .
  • 1978 . Testing for multiplicative heteroskedasticity . Journal of Econometrics , 8 : 227 – 236 .
  • Granger , C. W. J. and Newbold , P. 1974 . Spurious regressions in econometrics . Journal of Econometrics , 2 : 111 – 120 .
  • 1977 . Jackknifing in unbalanced situations . Technometrics , 19 : 285 – 292 .
  • Honda , Y. 1988 . A size correction for the Lagrange multiplier test for heteroskedasticity . Journal of Econometrics , 38 : 375 – 386 .
  • Jarque , C. M. and Bera , A. K. 1987 . A test for normality of observations and regression residuals . International Statistical Review , 55 : 163 – 172 .
  • Koenker , R. 1981 . A note on Studentizing a test for heteroskedasticity . Journal of Econometrics , 17 : 107 – 112 .
  • Liu , R. 1988 . Bootstrap procedures under some non i.i.d. models . Annals of Statistics , 16 : 1696 – 1708 .
  • Mackinnon , J. G. and White , H. 1985 . Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties . Journal of Econometrics , 29 : 305 – 325 .
  • Mishkin , F. S. 1990 . Does correcting for heteroskedasticity help? . Economics Letters , 34 : 351 – 356 .
  • NG , S. and Perron , P. 1995 . Unit roots in ARMA models with data-dependent methods for the selection of the truncation lag . Journal of the American Statistical Association , 90 : 268 – 281 .
  • Rao , C. R. 1970 . Estimation of heteroskedastic variances in linear models . Journal of the American Statistical Association , 65 : 161 – 172 .
  • Shao , J. 1988 . On resampling methods for variance and bias estimation in linear models . Annals of Statistics , 16 : 986 – 1008 .
  • Simonoff , J. S. and Tsai , C. -H. 1994 . Use of modified profile likelihood for improved tests of constancy of variance in regression . Applied Statistics , 43 : 357 – 370 .
  • White , H. 1980 . A heteroskedasticity-consistent covariance matrix and a direct test for heteroskedasticity . Econometrica , 48 : 817 – 838 .
  • Wu , C. F. J. 1986 . Jackknife, bootstrap and other resampling methods in regression analysis . Annals of Statistics , 14 : 1261 – 1295 .

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.