Heteroskedasticity and neglected parameter heterogeneity

Article Abstract:

If model parameters are not heterogenous, changing from a linear regression method to White's heteroskedasticity-condistent matric estimator will not remove the error.

Statistical Data Included, Research, Error analysis (Mathematics), Linear models (Statistics), Parameter estimation

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Regression models with data-based indicator variables

Article Abstract:

Impulse-indicator regression coefficient which has inconsistent least squares estimation is evaluated by using Monte Carlo based indicator variables.

Evaluation, Regression analysis

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Regression-based tests for a change in persistence

Article Abstract:

A method for determining change in persistence of recursive tests is presented.

Analysis, Mathematical statistics, Recursive functions

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