A procedure foe improving upon the performance of the traditional heteroskedast1c1ty pretest estimator

Senyo, B.; Adjibolosoo, S. K.

doi:10.1080/03610929008830299

Communications in Statistics - Theory and Methods

1990

DOI: 10.1080/03610929008830299

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A procedure foe improving upon the performance of the traditional heteroskedast1c1ty pretest estimator

B. Senyo

S. K. Adjibolosoo

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1991

1993

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Cited by 3 publications

References 12 publications

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The power and robustness properties of tests for heteroskedasticity when the regressors are trended

Senyo

Adjibolosoo

1991

Communications in Statistics - Simulation and Computation

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Even though it is widely known c hat heteroskedasticity reduces the efficiency of t,he OLS estimator, very little is known about what the impact trends have upon the power and robustness (to different trends in the data) of tests for heteroskedasticity. Research in this area fails to build the degree of severity of heteroskedasticity into tests designed to detect its presence. This paper evaluates the impacts of various trends in the regressors on the power and robustness of tests for heteroskedasticity through Monte Carlo studies and suggests that the power of each test increases when the degree of severity of'heteroskedasticity is built into the test statislic. 927

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The power and robustness properties of tests for heteroskedasticity when the regressors are trended

Senyo

Adjibolosoo

1991

Communications in Statistics - Simulation and Computation

Self Cite

View full text Add to dashboard Cite

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Pre‐test Estimation and Testing in Econometrics: Recent Developments

Giles

1993

Journal of Economic Surveys

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This paper surveys a range of important developments in the area of preliminary-test inference in the context of econometric modelling. Both pre-test estimation and pre-test testing are discussed. Special attention is given to recent contributions and results. These include analyses of pre-test strategies under model mis-specification and generalised regression errors; exact sampling distribution results; and pre-testing inequality constraints on the model's parameters. In many cases, practical advice is given to assist applied econometricians in appraising the relative merits of pre-testing. It is shown that there are situations where pre-testing can be advantageous in practice

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Estimation of Parameters of Heteroscedastic Error Models Under Various Hypothesized Error Structures

Adjibolosoo¹

1993

The Statistician

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In estimating heteroscedastic error models, researchers usually hypothesize what they think may be the approximate functional structure of the error term. Since very little is known about the impacts of this approximation on the efficiency of estimators, further investigation of the role of the assumption that the functional structure of heteroscedasticity is known seems warranted. Monte Carlo study results reveal that in estimating heteroscedastic error models, the exponential modelling of the true unknown underlying error structure may produce more attractive estimation results. Based on this result, further suggestions are made for estimating heteroscedastic error models.

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A procedure foe improving upon the performance of the traditional heteroskedast1c1ty pretest estimator

Cited by 3 publications

References 12 publications

The power and robustness properties of tests for heteroskedasticity when the regressors are trended

The power and robustness properties of tests for heteroskedasticity when the regressors are trended

Pre‐test Estimation and Testing in Econometrics: Recent Developments

Estimation of Parameters of Heteroscedastic Error Models Under Various Hypothesized Error Structures

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