Standard errors estimation in the presence of high leverage point and heteroscedastic errors in multiple linear regression
In this study, the Robust Heteroscedastic Consistent Covariance Matrix (RHCCM) was proposed in order to estimate standard errors of regression coefficients in the presence of high leverage points and heteroscedastic errors in multiple linear regression. Robust Heteroscedastic Consistent Covariance M...
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Online Access: | http://eprints.utm.my/id/eprint/59947/1/RobiahAdnan2017_StandardErrorsEstimationinthepresence.pdf http://eprints.utm.my/id/eprint/59947/ http://dx.doi.org/10.11113/mjfas.v10n3.279 |
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my.utm.599472022-04-07T03:43:54Z http://eprints.utm.my/id/eprint/59947/ Standard errors estimation in the presence of high leverage point and heteroscedastic errors in multiple linear regression Adnan, Robiah Ahmad, Maizah Hura QA Mathematics In this study, the Robust Heteroscedastic Consistent Covariance Matrix (RHCCM) was proposed in order to estimate standard errors of regression coefficients in the presence of high leverage points and heteroscedastic errors in multiple linear regression. Robust Heteroscedastic Consistent Covariance Matrix (RHCCM) is the combination of a robust method and Heteroscedasticit Consistent Covariance Matrix (HCCM). The robust method is used to eliminate the effect of high leverage points while HCCM is mainly used to eliminate the effect of heteroscedastic errors. The performance of RHCCM was assessed through an empirical study and compared with results obtained when the original Heteroscedastic Consistent Covariance Matrix was used. Penerbit UTM Press 2014 Article PeerReviewed application/pdf en http://eprints.utm.my/id/eprint/59947/1/RobiahAdnan2017_StandardErrorsEstimationinthepresence.pdf Adnan, Robiah and Ahmad, Maizah Hura (2014) Standard errors estimation in the presence of high leverage point and heteroscedastic errors in multiple linear regression. Malaysian Journal of Fundamental and Applied Sciences, 10 (3). pp. 134-138. ISSN 2289-5981 http://dx.doi.org/10.11113/mjfas.v10n3.279 DOI:10.11113/mjfas.v10n3.279 |
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QA Mathematics Adnan, Robiah Ahmad, Maizah Hura Standard errors estimation in the presence of high leverage point and heteroscedastic errors in multiple linear regression |
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In this study, the Robust Heteroscedastic Consistent Covariance Matrix (RHCCM) was proposed in order to estimate standard errors of regression coefficients in the presence of high leverage points and heteroscedastic errors in multiple linear regression. Robust Heteroscedastic Consistent Covariance Matrix (RHCCM) is the combination of a robust method and Heteroscedasticit Consistent Covariance Matrix (HCCM). The robust method is used to eliminate the effect of high leverage points while HCCM is mainly used to eliminate the effect of heteroscedastic errors. The performance of RHCCM was assessed through an empirical study and compared with results obtained when the original Heteroscedastic Consistent Covariance Matrix was used. |
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Article |
author |
Adnan, Robiah Ahmad, Maizah Hura |
author_facet |
Adnan, Robiah Ahmad, Maizah Hura |
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Adnan, Robiah |
title |
Standard errors estimation in the presence of high leverage point and heteroscedastic errors in multiple linear regression |
title_short |
Standard errors estimation in the presence of high leverage point and heteroscedastic errors in multiple linear regression |
title_full |
Standard errors estimation in the presence of high leverage point and heteroscedastic errors in multiple linear regression |
title_fullStr |
Standard errors estimation in the presence of high leverage point and heteroscedastic errors in multiple linear regression |
title_full_unstemmed |
Standard errors estimation in the presence of high leverage point and heteroscedastic errors in multiple linear regression |
title_sort |
standard errors estimation in the presence of high leverage point and heteroscedastic errors in multiple linear regression |
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Penerbit UTM Press |
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2014 |
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http://eprints.utm.my/id/eprint/59947/1/RobiahAdnan2017_StandardErrorsEstimationinthepresence.pdf http://eprints.utm.my/id/eprint/59947/ http://dx.doi.org/10.11113/mjfas.v10n3.279 |
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