The performance of robust heteroscedasticity consistent covariance matrix estimator
The weighted least squares (WLS) method together with heteroscedasticity consistent covariance matrix (HCCM) estimator is often used to estimate the parameters of a heteroscedastic regression model when the form of errors structure is unknown. However, WLS based on weight determined by hat matrix su...
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| Format: | Article |
| Language: | English |
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Universiti Putra Malaysia Press
2019
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| Online Access: | http://psasir.upm.edu.my/id/eprint/70697/ http://psasir.upm.edu.my/id/eprint/70697/1/7.pdf |
| _version_ | 1848856765739827200 |
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| author | Sani, Muhammad Midi, Habshah Arasan, Jayanthi |
| author_facet | Sani, Muhammad Midi, Habshah Arasan, Jayanthi |
| author_sort | Sani, Muhammad |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | The weighted least squares (WLS) method together with heteroscedasticity consistent covariance matrix (HCCM) estimator is often used to estimate the parameters of a heteroscedastic regression model when the form of errors structure is unknown. However, WLS based on weight determined by hat matrix suffers much set back in the presence of high leverage points (HLPs) in a data set. Moreover, the use of WLS requires an efficient weighting method that will successfully down weight HLPs. In this paper, we proposed new weighting method based on HLPs detection measure in which the good leverage points are allowed to contribute in the estimation of parameters and the bad leverage points are down weighted as they are responsible for the deviation of the model fit. In the proposed method we employed modified generalized studentized residuals (MGt) with diagnostic robust generalized potentials based on index set equality (DRGPISE) termed FMGt on HCCM estimator. The performance of the proposed weighting method is assessed by generated artificial data set. |
| first_indexed | 2025-11-15T11:46:52Z |
| format | Article |
| id | upm-70697 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T11:46:52Z |
| publishDate | 2019 |
| publisher | Universiti Putra Malaysia Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-706972019-09-06T02:43:42Z http://psasir.upm.edu.my/id/eprint/70697/ The performance of robust heteroscedasticity consistent covariance matrix estimator Sani, Muhammad Midi, Habshah Arasan, Jayanthi The weighted least squares (WLS) method together with heteroscedasticity consistent covariance matrix (HCCM) estimator is often used to estimate the parameters of a heteroscedastic regression model when the form of errors structure is unknown. However, WLS based on weight determined by hat matrix suffers much set back in the presence of high leverage points (HLPs) in a data set. Moreover, the use of WLS requires an efficient weighting method that will successfully down weight HLPs. In this paper, we proposed new weighting method based on HLPs detection measure in which the good leverage points are allowed to contribute in the estimation of parameters and the bad leverage points are down weighted as they are responsible for the deviation of the model fit. In the proposed method we employed modified generalized studentized residuals (MGt) with diagnostic robust generalized potentials based on index set equality (DRGPISE) termed FMGt on HCCM estimator. The performance of the proposed weighting method is assessed by generated artificial data set. Universiti Putra Malaysia Press 2019 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/70697/1/7.pdf Sani, Muhammad and Midi, Habshah and Arasan, Jayanthi (2019) The performance of robust heteroscedasticity consistent covariance matrix estimator. Malaysian Journal of Mathematical Sciences, 13 (spec. Apr.). pp. 71-88. ISSN 1823-8343; ESSN: 2289-750X http://einspem.upm.edu.my/journal/fullpaper/vol13sapril/7.pdf |
| spellingShingle | Sani, Muhammad Midi, Habshah Arasan, Jayanthi The performance of robust heteroscedasticity consistent covariance matrix estimator |
| title | The performance of robust heteroscedasticity consistent covariance matrix estimator |
| title_full | The performance of robust heteroscedasticity consistent covariance matrix estimator |
| title_fullStr | The performance of robust heteroscedasticity consistent covariance matrix estimator |
| title_full_unstemmed | The performance of robust heteroscedasticity consistent covariance matrix estimator |
| title_short | The performance of robust heteroscedasticity consistent covariance matrix estimator |
| title_sort | performance of robust heteroscedasticity consistent covariance matrix estimator |
| url | http://psasir.upm.edu.my/id/eprint/70697/ http://psasir.upm.edu.my/id/eprint/70697/ http://psasir.upm.edu.my/id/eprint/70697/1/7.pdf |