IDEAS home Printed from https://ideas.repec.org/a/spr/stpapr/v57y2016i1p55-68.html
   My bibliography  Save this article

Heteroscedasticity: multiple degrees of freedom vs. sandwich estimation

Author

Listed:
  • Mario Hasler

Abstract

This article addresses the problem of multiple contrast tests in the presence of heteroscedasticity. A procedure applying multiple degrees of freedom and a procedure based on sandwich estimation are described and compared concerning the familywise error type I. The former procedure seems to be most robust in this regard, especially for situations where high variances meet small sample sizes. Copyright Springer-Verlag Berlin Heidelberg 2016

Suggested Citation

  • Mario Hasler, 2016. "Heteroscedasticity: multiple degrees of freedom vs. sandwich estimation," Statistical Papers, Springer, vol. 57(1), pages 55-68, March.
    • Handle: RePEc:spr:stpapr:v:57:y:2016:i:1:p:55-68
    DOI: 10.1007/s00362-014-0640-4
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00362-014-0640-4
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00362-014-0640-4?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Wenguang Sun & Alexander C. McLain, 2012. "Multiple Testing of Composite Null Hypotheses in Heteroscedastic Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 673-687, June.
    2. Paul A. Games & John F. Howell, 1976. "Pairwise Multiple Comparison Procedures with Unequal N’s and/or Variances: A Monte Carlo Study," Journal of Educational and Behavioral Statistics, , vol. 1(2), pages 113-125, June.
    3. Bretz, Frank, 2006. "An extension of the Williams trend test to general unbalanced linear models," Computational Statistics & Data Analysis, Elsevier, vol. 50(7), pages 1735-1748, April.
    4. Freedman, David A., 2006. "On The So-Called "Huber-Sandwich Estimator" and "Robust Standard Errors"," The American Statistician, American Statistical Association, vol. 60, pages 299-302, November.
    5. Zeileis, Achim, 2004. "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 11(i10).
    6. Zeileis, Achim, 2006. "Object-oriented Computation of Sandwich Estimators," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 16(i09).
    7. Esther Herberich & Johannes Sikorski & Torsten Hothorn, 2010. "A Robust Procedure for Comparing Multiple Means under Heteroscedasticity in Unbalanced Designs," PLOS ONE, Public Library of Science, vol. 5(3), pages 1-8, March.
    8. Joachim Hartung & Dogan Argaç & Kepher Makambi, 2002. "Small sample properties of tests on homogeneity in one—way Anova and Meta—analysis," Statistical Papers, Springer, vol. 43(2), pages 197-235, April.
    9. Hong Li & Wei Ning, 2012. "Multiple comparisons with a control under heteroscedasticity," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(10), pages 2275-2283, June.
    10. MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hasler Mario, 2013. "Multiple Contrasts for Repeated Measures," The International Journal of Biostatistics, De Gruyter, vol. 9(1), pages 49-61, July.
    2. Philip Pallmann & Ludwig A. Hothorn, 2016. "Analysis of means: a generalized approach using R," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(8), pages 1541-1560, June.
    3. Sviták, Jan & Tichem, Jan & Haasbeek, Stefan, 2021. "Price effects of search advertising restrictions," International Journal of Industrial Organization, Elsevier, vol. 77(C).
    4. Ghislain B. D. Aïhounton & Arne Henningsen & Neda Trifkovic, 2021. "Pesticide Handling and Human Health: Conventional and Organic Cotton Farming in Benin," IFRO Working Paper 2021/06, University of Copenhagen, Department of Food and Resource Economics.
    5. Ghislain B. D. Aihounton & Arne Henningsen, 2023. "Does Organic Farming Jeopardize Food and Nutrition Security?," IFRO Working Paper 2023/02, University of Copenhagen, Department of Food and Resource Economics.
    6. repec:jss:jstsof:16:i09 is not listed on IDEAS
    7. Aihounton, Ghislain & Henningsen, Arne, 2021. "Organic Farming and Food and Nutrition Security," 2021 Conference, August 17-31, 2021, Virtual 315413, International Association of Agricultural Economists.
    8. Jochen Heberle & Cristina Sattarhoff, 2017. "A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators," Econometrics, MDPI, vol. 5(1), pages 1-16, January.
    9. Millo, Giovanni, 2014. "Robust standard error estimators for panel models: a unifying approach," MPRA Paper 54954, University Library of Munich, Germany.
    10. Adam C. Sales & Ben B. Hansen, 2020. "Limitless Regression Discontinuity," Journal of Educational and Behavioral Statistics, , vol. 45(2), pages 143-174, April.
    11. Ball, Laurence & Carvalho, Carlos & Evans, Christopher & Antonio Ricci, Luca, 2024. "Weighted Median Inflation Around the World: A Measure of Core Inflation," Journal of International Money and Finance, Elsevier, vol. 142(C).
    12. Stefan Seifert & Christoph Kahle & Silke Hüttel, 2021. "Price Dispersion in Farmland Markets: What Is the Role of Asymmetric Information?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(4), pages 1545-1568, August.
    13. Cheng, Tsung-Chi, 2012. "On simultaneously identifying outliers and heteroscedasticity without specific form," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2258-2272.
    14. Timo Dimitriadis & Xiaochun Liu & Julie Schnaitmann, 2020. "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary," Papers 2009.07341, arXiv.org.
    15. Christopher F. Parmeter, 2018. "Estimation of the two-tiered stochastic frontier model with the scaling property," Journal of Productivity Analysis, Springer, vol. 49(1), pages 37-47, February.
    16. Zeileis, Achim & Kleiber, Christian & Jackman, Simon, 2008. "Regression Models for Count Data in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i08).
    17. Vinícius B. P. Chagas & Pedro L. B. Chaffe & Günter Blöschl, 2022. "Climate and land management accelerate the Brazilian water cycle," Nature Communications, Nature, vol. 13(1), pages 1-10, December.
    18. repec:jss:jstsof:42:c01 is not listed on IDEAS
    19. Kleiber Christian & Zeileis Achim, 2010. "The Grunfeld Data at 50," German Economic Review, De Gruyter, vol. 11(4), pages 404-417, December.
    20. Lupi, Claudio, 2009. "Unit Root CADF Testing with R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 32(i02).
    21. Romano, Joseph P. & Wolf, Michael, 2017. "Resurrecting weighted least squares," Journal of Econometrics, Elsevier, vol. 197(1), pages 1-19.
    22. Wilms, Rafael & Dahan, Clara Seif el, 2022. "Are we on the same page? The moderating role of value congruence in charismatic signaling-charismatic effects relationship," OSF Preprints s5q6d, Center for Open Science.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:stpapr:v:57:y:2016:i:1:p:55-68. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.