VIF-based adaptive matrix perturbation method for heteroskedasticity-robust covariance estimators in the presence of multicollinearity

Chien Chia Liäm Huang*, Yow Jen Jou, Hsun-Jung Cho

*Corresponding author for this work

研究成果: Article同行評審

3 引文 斯高帕斯(Scopus)

摘要

In this study, we investigate linear regression having both heteroskedasticity and collinearity problems. We discuss the properties related to the perturbation method. Important observations are summarized as theorems. We then prove the main result that states the heteroskedasticity-robust variances can be improved and that the resulting bias is minimized by using the matrix perturbation method. We analyze a practical example for validation of the method.

原文English
頁(從 - 到)3255-3263
頁數9
期刊Communications in Statistics - Theory and Methods
46
發行號7
DOIs
出版狀態Published - 3 四月 2017

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