Misspecified skedastic functions in grouped-data models

被引：7

作者：

Blackburn, ML

机构：

[1] Department of Economics, University of South Carolina, Columbia

来源：

ECONOMICS LETTERS | 1997年 / 55卷 / 01期

关键词：

heteroskedasticity; generalized least squares;

D O I：

10.1016/S0165-1765(97)00050-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Common procedures for incorporating heteroskedasticity in models estimated with grouped data may use an incorrect specification of the skedastic function. Sampling experiments suggest that there may be severe costs, both in a loss of efficiency and in biased hypothesis tests. (C) 1997 Elsevier Science S.A.

引用

页码：1 / 8

页数：8

共 9 条

[1] A NOTE ON THE UNBIASEDNESS OF FEASIBLE GLS, QUASI-MAXIMUM LIKELIHOOD, ROBUST, ADAPTIVE, AND SPECTRAL ESTIMATORS OF THE LINEAR-MODEL [J].