Abstract

http://ssrn.com/abstract=2308126
 


 



Nonparametric Generalized Least Squares in Applied Regression Analysis


Michael O'Hara


Colgate University

Christopher Parmeter


University of Miami

August 23, 2013

Forthcoming, Pacific Economic Review

Abstract:     
This paper compares a nonparametric generalized least squares (NPGLS) estimator to parametric feasible GLS (FGLS) and variants of heteroscedasticity robust standard error estimators (HRSEs) in an applied setting. Given myriad alternative HRSEs, a clear consensus on which version to use does not exist, and using alternative HRSEs can result in differing statistical conclusions. Further, FGLS is prone to model misspecification of the the scedastic function. Here we apply these various approaches to handling heteroscedasticity to data on professor rankings obtained from ratemyprofessor.com and find not only heteroscedasticity to be prevalent but NPGLS and FGLS provide different insights and the statistical significance of key variables varies across the seven versions of HRSEs.

Number of Pages in PDF File: 20

Keywords: Heteroscedasticity, nonparametric, generalized least squares

JEL Classification: C13, C14

Accepted Paper Series


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Date posted: August 11, 2013 ; Last revised: August 24, 2013

Suggested Citation

O'Hara, Michael and Parmeter, Christopher, Nonparametric Generalized Least Squares in Applied Regression Analysis (August 23, 2013). Forthcoming, Pacific Economic Review. Available at SSRN: http://ssrn.com/abstract=2308126 or http://dx.doi.org/10.2139/ssrn.2308126

Contact Information

Michael O'Hara (Contact Author)
Colgate University ( email )
13 Oak Drive
Hamilton NY 13346, NY 13346
United States
Christopher Parmeter
University of Miami ( email )
Coral Gables, FL 33124
United States
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