Questions tagged [variance]

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Covariance between regression coefficient and residual

Given regression equation Y=Xβ + ε which satisfies all classical assumptions including those of homoscadasticity Estimated regression equation using OLS is the following - Y=Xb + e Where, b is ...
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14 views

GARCH(10,10) model

I try to find an easy and understandable description of How to calculate a short-term variance in garch model, when p and q are not equal 1. Let's have a look at this video: https://www.youtube.com/...
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Why can we replace dependent variable y with the residuals e?

I don't understand why we can replace y with e: Mainly, why can we simply replace y with e, given that y is defined as: Thanks ...
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1answer
26 views

Ttest and heteroscedasticity problem in no intercept model

I was running a t test over two regression betas with the assumption of equal variance. I know that if the condition of homoscedasticity do not hold then there are chances to have type 2 error but ...
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1answer
987 views

Sample weights in Stata: fweight vs. pweight

I'm working with IPUMS ACS and Census data in Stata. I'm interested in learning about income distributions and variability for specific subpopulations defined by education level, occupation, race and ...
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1answer
52 views

Variance of Quantile Regression

I have been looking at quantile regression (since it is a much better method when trying to quantify welfare effects), and I am struggling with the following, standard model: $\textbf{Model:}$ $y=x'\...