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EnglishThe Lagrange multiplier test, often adopted to detect heteroscedasticity, suffers from severe size distortion and has low power. An existing robust test based on a forward search algorithm has shown better performance than many existing robust methods. Nevertheless, such a forward robust test relies on con¯dence bands based on the Student's-t distribution which hold only approximately. The robust forward weighted Lagrange multiplier test can be improved through extensive simulation of forward search con¯dence bands, which are set up under the hypothesis of no outlier in the data.
| Titolo: | Robust Lagrange multiplier test with forward search simulation envelopes |
| Autori: | |
| Data di pubblicazione: | 2009 |
| Abstract: | The Lagrange multiplier test, often adopted to detect heteroscedasticity, suffers from severe size distortion and has low power. An existing robust test based on a forward search algorithm has shown better performance than many existing robust methods. Nevertheless, such a forward robust test relies on con¯dence bands based on the Student's-t distribution which hold only approximately. The robust forward weighted Lagrange multiplier test can be improved through extensive simulation of forward search con¯dence bands, which are set up under the hypothesis of no outlier in the data. |
| Handle: | http://hdl.handle.net/11562/332520 |
| ISBN: | 9785965103546 |
| Appare nelle tipologie: | 04.01 Contributo in atti di convegno |
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