Heteroskedasticity in regression: detection and correction
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Los Angeles [u.a.]
Sage
2013
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| Schriftenreihe: | Quantitative applications in the social sciences
172 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | XIV, 97 S. graph. Darst. |
| ISBN: | 9781452234953 9781452270128 |
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Datensatz im Suchindex
| _version_ | 1804151349810561024 |
|---|---|
| adam_text | Titel: Heteroskedasticity in regression
Autor: Kaufman, Robert L
Jahr: 2013
TABLE OF CONTENTS
Acknowledgments ix
About the Author xi
Series Editor s Introduction xiii
1. What Is Heteroskedasticiry and Why Should We Care 1
Consequences of Heteroskedasticity 3
Common Forms of Heteroskedasticity 6
Application Examples 10
2. Detecting and Diagnosing Heteroskedasticiry 13
Informal Diagnostics: Scatterplots and Tabulations
of Mean Squared Residuals 14
Formal Statistical Tests: Breusch-Pagan, White, and
Goldfeld-Quandt 16
Cautionary Note on Model Misspecification and
Heteroskedasticity Testing 22
Application to the Other Examples 23
3. Variance-Stabilizing Transformations to Correct for
Heteroskedasticiry 31
Box-Cox Transformation 31
Signed Modulus Power Transformation 37
4. Heteroskedasticity-Consistent (Robust) Standard Errors 43
Applications 47
Summary and Limitations 50
5. (Estimated) Generalized Least Squares Regression
Model for Heteroskedasticity 51
Background on GLS 51
Estimating the EGLS Model for Heteroskedasticity 55
Application to Examples 60
Summary and Limitations 69
6. Choosing Among Correction Options 71
VST Versus HCCM or EGLS 71
HCCM Versus EGLS 72
Overall Recommendations and Extensions 74
Appendix: Miscellaneous Derivations and Tables 77
Derivation of Equation 1.5 77
Derivation of Equation 1.7 78
Derivation of Equation 2.7 81
Derivation of Equation 5.5 82
Derivation of Equation 5.9 82
Proof of the Equivalency of GLS to OLS Regression
With Transformed Variables 83
References 89
Author Index 91
Subject Index 93
|
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| id | DE-604.BV041287087 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:53:25Z |
| institution | BVB |
| isbn | 9781452234953 9781452270128 |
| language | English |
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| physical | XIV, 97 S. graph. Darst. |
| publishDate | 2013 |
| publishDateSearch | 2013 |
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| publisher | Sage |
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| series | Quantitative applications in the social sciences |
| series2 | Quantitative applications in the social sciences |
| spelling | Kaufman, Robert L. Verfasser (DE-588)170205649 aut Heteroskedasticity in regression detection and correction Robert L. Kaufman heteroscedasticity Los Angeles [u.a.] Sage 2013 XIV, 97 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Quantitative applications in the social sciences 172 Regressionsanalyse (DE-588)4129903-6 gnd rswk-swf Heteroskedastizität (DE-588)4159750-3 gnd rswk-swf Heteroskedastizität (DE-588)4159750-3 s Regressionsanalyse (DE-588)4129903-6 s b DE-604 Erscheint auch als Online-Ausgabe Kaufman, Robert L. Heteroskedasticity in regression Quantitative applications in the social sciences 172 (DE-604)BV000005102 172 http://srmo.sagepub.com/view/heteroskedasticity-in-regression/SAGE.xml Inhaltsverzeichnis HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026736146&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kaufman, Robert L. Heteroskedasticity in regression detection and correction Quantitative applications in the social sciences Regressionsanalyse (DE-588)4129903-6 gnd Heteroskedastizität (DE-588)4159750-3 gnd |
| subject_GND | (DE-588)4129903-6 (DE-588)4159750-3 |
| title | Heteroskedasticity in regression detection and correction |
| title_alt | heteroscedasticity |
| title_auth | Heteroskedasticity in regression detection and correction |
| title_exact_search | Heteroskedasticity in regression detection and correction |
| title_full | Heteroskedasticity in regression detection and correction Robert L. Kaufman |
| title_fullStr | Heteroskedasticity in regression detection and correction Robert L. Kaufman |
| title_full_unstemmed | Heteroskedasticity in regression detection and correction Robert L. Kaufman |
| title_short | Heteroskedasticity in regression |
| title_sort | heteroskedasticity in regression detection and correction |
| title_sub | detection and correction |
| topic | Regressionsanalyse (DE-588)4129903-6 gnd Heteroskedastizität (DE-588)4159750-3 gnd |
| topic_facet | Regressionsanalyse Heteroskedastizität |
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| volume_link | (DE-604)BV000005102 |
| work_keys_str_mv | AT kaufmanrobertl heteroskedasticityinregressiondetectionandcorrection AT kaufmanrobertl heteroscedasticity |
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