Testing under a special form of heteroscedasticity
Testing under a special form of heteroscedasticity
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在特殊形式的异方差下进行测试
DOI：
10.1080/13504851.2016.1181827
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发表时间：
2017
影响因子：
1.6
通讯作者：
Heinrich Kögel
中科院分区：
文献类型：
--
作者：
Helmut Farbmacher;Heinrich Kögel
摘要在异方差存在的情况下，传统的标准误差（假设同方差）可以偏上或偏下。最常见的异方差形式导致传统的标准误差太小。在这项研究中，我们讨论的条件下，传统的标准误差过大。在这种情况下，异方差的标准测试可能会失败，并留下异方差未被发现。这是特别成问题的，因为在这种设置中测试因果效应时可以实现功率增益。
ABSTRACT In the presence of heteroscedasticity, conventional standard errors (which assume homoscedasticity) can be biased up or down. The most common form of heteroscedasticity leads to conventional standard errors that are too small. In this study, we discuss the conditions under which conventional standard errors are too large. In such settings, standard tests of heteroscedasticity may fail and leave the heteroscedasticity undetected. This is particularly problematic as power gains can be achieved when testing for the causal effect in such settings.