Questions tagged [heteroskedasticity]

refers to non-constant variance of errors across different observations

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Is this weighted least squares or just weighting the dependent variable

I am a little confused as to what the following line means. Do the authors mean they run a weighted least squares using the sample size as weights, or just weight the dependent variable using the ...
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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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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., $...