Questions tagged [variance]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
1
vote
1answer
48 views

Comparing degree of dispersion without calculating variance

There are two (price) distributions of the same class, but they differ in parameter values. One distribution has a smaller upper bound and a greater lower bound, so intuitively we know it has a ...
0
votes
2answers
50 views

Arch Model and $\sigma$

In my problem set about ARCH models I'm given that $\epsilon^2_{t}=\alpha\epsilon^2_{t-1}+v_{t}$ But then I'm asked to calculate $E(\sigma^2_{t+n}|I_{t-1})$. So is the same to calculate $E(\epsilon^2_{...
0
votes
0answers
36 views

variance of error term(econometrics)

I don't understand that the pointed part(with a red circle) is a negative sign. I expect it should be a positive sign since the whole parenthesis was squared. I don't know where I got wrong.
0
votes
0answers
14 views

how to adjust price data due to clock changes?

I'm trying to analyze the hourly price variation of the electricity market. However, because of clock changes, due to daylight saving time, we have a missing hour in March and an additional hour in ...
0
votes
0answers
81 views

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 ...
-2
votes
2answers
38 views

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 ...
0
votes
1answer
34 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 ...
3
votes
1answer
1k 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 ...
2
votes
1answer
58 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'\...