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Accounting for Heteroscedasticity in the Transform Both Sides Regression Model
Author(s) -
Kettl Stena
Publication year - 1991
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2347591
Subject(s) - heteroscedasticity , econometrics , statistics , regression analysis , mathematics
SUMMARY The transform both sides regression model is combined with a power‐of‐the‐mean variance model to produce a flexible model that will simultaneously account for both heteroscedasticity and skewness. An estimation procedure is outlined and approximate confidence regions are constructed. An example is included to demonstrate the model.