Leave‐Out Estimation of Variance Components.

We propose leave‐out estimators of quadratic forms designed for the study of linear models with unrestricted heteroscedasticity. Applications include analysis of variance and tests of linear restrictions in models with many regressors. An approximation algorithm is provided that enables accurate com...

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Detalles Bibliográficos

Publicado en:	Econometrica Vol. 88; no. 5; pp. 1859 - 1899
Autores principales:	Kline, Patrick, Saggio, Raffaele, Sølvsten, Mikkel
Formato:	Artículo
Publicado:	Wiley-Blackwell Sep2020
Materias:	Analysis of variance Monte Carlo method Quadratic forms Variances Random variables Big data
Acceso en línea:	Ver este registro en EBSCOhost