A Comparison Study of Least Squares and Ridge Estimators in the Presence of Heteroscedasticity and Multicollinearity Under Normal and Nonnormal Disturbances

Author:

Donatos George S.,Michailidis George C.

Publisher

Springer International Publishing

Reference27 articles.

1. Bickel, P.J. (1978). Using Residuals Robustly I: Test for Heteroscedasticity, Nonlinearity. The Annuals of Statistics, 6: 266–291.

2. Box, G.E.P. and G.C.Tiao (1962). A Further Look at Robustness via Bayes’s Theorem. Biometrica, 49: 419–432.

3. Caroll, R.J. (1982). Adapting for Heteroscedasticity in Linear Models. The Annuals of Statistics, 10: 1224–1233.

4. Casella, G. (1985). Condition Numbers and Minimax Ridge Regression Estimators. Journal of the American Statistical Association, 80: 753–758.

5. Cragg, J.G. (1983). More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form. Econometrica, 51: 751–764.

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