Robust heteroscedasticity consistent covariance matrix estimator based on robust mahalanobis distance and diagnostic robust generalized potential weighting methods in linear regression
The violation of the assumption of homoscedasticity and the presence of high leverage points (HLPs) are common in the use of regression models. The weighted least squares can provide the solution to heteroscedastic regression model if the heteroscedastic error structures are known. Based on Furno (1...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
JMASM
2018
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| Online Access: | http://psasir.upm.edu.my/id/eprint/73815/1/Robust%20heteroscedasticity%20consistent%20covariance%20matrix%20estimator%20based%20on%20robust%20mahalanobis%20distance%20and%20diagnostic%20robust%20generalized%20potential%20weighting%20methods%20in%20linear%20regression.pdf |