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Article: A comparison of two-stage procedures for testing least-squares coefficients under heteroscedasticity

TitleA comparison of two-stage procedures for testing least-squares coefficients under heteroscedasticity
Authors
Ng, MWilcox, RR
Issue Date2011
PublisherThe British Psychological Society. The Journal's web site is located at http://www.bps.org.uk/publications/jMS_1.cfm
Citation
British Journal Of Mathematical And Statistical Psychology, 2011, v. 64 n. 2, p. 244-258 How to Cite?
DOI: http://dx.doi.org/10.1348/000711010X508683
AbstractThis study explores the performance of several two-stage procedures for testing ordinary least-squares (OLS) coefficients under heteroscedasticity. A test of the usual homoscedasticity assumption is carried out in the first stage of the procedure. Subsequently, a test of the regression coefficients is chosen and performed in the second stage. Three recently developed methods for detecting heteroscedasticity are examined. In addition, three heteroscedastic robust tests of OLS coefficients are considered. A major finding is that performing a test of heteroscedasticity prior to applying a heteroscedastic robust test can lead to poor control over Type I errors. ©2010 The British Psychological Society.
Persistent Identifierhttp://hdl.handle.net/10722/135570
ISSN
0007-1102
2023 Impact Factor: 1.5
2023 SCImago Journal Rankings: 1.735
ISI Accession Number ID
WOS:000289631700004
Funding AgencyGrant Number
University of Southern California Center for High-Performance Computing and Communications
Funding Information:

Computation for the work described in this paper was supported by the University of Southern California Center for High-Performance Computing and Communications (www.usc.edu/hpcc).

References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorNg, Men_HK
dc.contributor.authorWilcox, RRen_HK
dc.date.accessioned2011-07-27T01:37:19Z-
dc.date.available2011-07-27T01:37:19Z-
dc.date.issued2011en_HK
dc.identifier.citationBritish Journal Of Mathematical And Statistical Psychology, 2011, v. 64 n. 2, p. 244-258en_HK
dc.identifier.issn0007-1102en_HK
dc.identifier.urihttp://hdl.handle.net/10722/135570-
dc.description.abstractThis study explores the performance of several two-stage procedures for testing ordinary least-squares (OLS) coefficients under heteroscedasticity. A test of the usual homoscedasticity assumption is carried out in the first stage of the procedure. Subsequently, a test of the regression coefficients is chosen and performed in the second stage. Three recently developed methods for detecting heteroscedasticity are examined. In addition, three heteroscedastic robust tests of OLS coefficients are considered. A major finding is that performing a test of heteroscedasticity prior to applying a heteroscedastic robust test can lead to poor control over Type I errors. ©2010 The British Psychological Society.en_HK
dc.languageengen_US
dc.publisherThe British Psychological Society. The Journal's web site is located at http://www.bps.org.uk/publications/jMS_1.cfmen_HK
dc.relation.ispartofBritish Journal of Mathematical and Statistical Psychologyen_HK
dc.subject.meshHumans-
dc.subject.meshLeast-Squares Analysis-
dc.subject.meshMathematical Computing-
dc.subject.meshRegression Analysis-
dc.subject.meshSoftware-
dc.titleA comparison of two-stage procedures for testing least-squares coefficients under heteroscedasticityen_HK
dc.typeArticleen_HK
dc.identifier.emailNg, M: marieng@hku.hken_HK
dc.identifier.authorityNg, M=rp01451en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1348/000711010X508683en_HK
dc.identifier.pmid21492131-
dc.identifier.scopuseid_2-s2.0-79954597892en_HK
dc.identifier.hkuros186134en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-79954597892&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume64en_HK
dc.identifier.issue2en_HK
dc.identifier.spage244en_HK
dc.identifier.epage258en_HK
dc.identifier.eissn2044-8317-
dc.identifier.isiWOS:000289631700004-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridNg, M=36155754200en_HK
dc.identifier.scopusauthoridWilcox, RR=7202527113en_HK
dc.identifier.citeulike9576247-
dc.identifier.issnl0007-1102-

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