Robust diagnostics for the heteroscedastic regression model
The assumption of equal variance in the normal regression model is not always appropriate.Â Cook and Weisberg (1983) provide a score test to detect heteroscedasticity, whileÂ Patterson and Thompson (1971) propose the residual maximum likelihood (REML) estimation to estimate variance components in the context of an unbalanced incomplete-block design. REML is often preferred to the maximum likelihood estimation as a method of estimating covariance parameters in a linear model. However, outliers may have some effect on the estimate of the variance function. This paper incorporates the maximum trimming likelihood estimation ([Hadi and Luceño, 1997] and [Vandev and Neykov, 1998]) in REML to obtain a robust estimation of modelling variance heterogeneity. Both the forward search algorithm ofÂ Atkinson (1994) and the fast algorithm of Neykov etÂ al. (2007) are employed to find the resulting estimator. Simulation and real data examples are used to illustrate the performance of the proposed approach.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cheng, Tsung-Chi, 2005. "Robust regression diagnostics with data transformations," Computational Statistics & Data Analysis, Elsevier, vol. 49(3), pages 875-891, June.
- Hadi, Ali S. & Luceno, Alberto, 1997. "Maximum trimmed likelihood estimators: a unified approach, examples, and algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 25(3), pages 251-272, August.
- Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
- Zaman, Asad & Rousseeuw, Peter J. & Orhan, Mehmet, 2001.
"Econometric applications of high-breakdown robust regression techniques,"
Elsevier, vol. 71(1), pages 1-8, April.
- Zaman, Asad & Rousseeuw, Peter J. & Orhan, Mehmet, 2000. "Econometric applications of high-breakdown robust regression techniques," MPRA Paper 41529, University Library of Munich, Germany.
- Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-65, May.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Vandev, D., 1993. "A note on the breakdown point of the least median of squares and least trimmed squares estimators," Statistics & Probability Letters, Elsevier, vol. 16(2), pages 117-119, January.
- Neykov, N. & Filzmoser, P. & Dimova, R. & Neytchev, P., 2007. "Robust fitting of mixtures using the trimmed likelihood estimator," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 299-308, September.
- Peide Shi & Chih-Ling Tsai, 2002. "Regression model selection-a residual likelihood approach," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 237-252.
- Cizek, P., 2004.
"General Trimmed Estimation : Robust Approach to Nonlinear and Limited Dependent Variable Models,"
2004-130, Tilburg University, Center for Economic Research.
- Čížek, Pavel, 2008. "General Trimmed Estimation: Robust Approach To Nonlinear And Limited Dependent Variable Models," Econometric Theory, Cambridge University Press, vol. 24(06), pages 1500-1529, December.
- Wen, Miin-Jye & Chen, Shun-Yi & Chen, Hubert J., 2007. "On testing a subset of regression parameters under heteroskedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5958-5976, August.
- Cheng, Tsung-Chi & Biswas, Atanu, 2008. "Maximum trimmed likelihood estimator for multivariate mixed continuous and categorical data," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 2042-2065, January.
When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:55:y:2011:i:4:p:1845-1866. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.