Questions tagged [heteroskedasticity]

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24 views

How to correct an error correction model

I have found ARCH effects at the 10% significance level. What could I do to correct this?
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1answer
21 views

Understanding General Least Squares

From what I understand, we have our OLS estimator in matrix form which is, $$\beta_{OLS} = (X'X)^{-1}X'Y$$ What we want to do is transform this, as the assumption that we have constant variance is ...
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2answers
61 views

Heteroskedasticity assumption in fGLS into linear form?

I am following Chapter 8 ("Heteroskedasticity" p. 259) in the 6th edition of Woolridge Introductory Econometrics: A Modern Approach and I don't understand one piece of the transformation of our model. ...
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93 views

Asymptotic variance under heteroskedasticity

I want to find an expression for the asymptotic variance of the OLS estimator given that the errors are heteroskedastic. I have understood the derivation using CLT for the homoskedastic case. I.e., $...
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1answer
160 views

Heteroscedasticity and weighted least square estimator

"In presence of heteroscedasticity, OLS estimators are unbiased but inefficient" Showing the unbiased part is relatively easy. Some authors have explained the inefficiency with the help of new ...
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1answer
122 views

possible Heteroskedasticity?

Based on the graph, would you say that there is some sort of heteroscedasticity in the data? Y-axis is residual squared and X-axis is predicted values of Y
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1answer
6k views

Testing for heteroskedasticity in panel data vs time series?

I watched this video on how to check for heteroskedasticity using Stata, and it helped me a lot. But the data example in the video was time series data. He used the Bruesh-Pagan test. ...