# Questions tagged [variance]

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### Independent variables that don't vary much but are essential for the theoretical framework, what to do?

I'm working on finding out the impact of Covid.19 on commuting so income and distance will be relevant variables to include. However, these variables dont change from period to period, so it's ...
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1 vote
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### What is the proper way to derive risk definitions from utility functions?

In typical mean-variance analysis, the risk-adjusted relative value of an individual asset takes the general form $\frac{\mu}{\sigma^2}$ with further weighting and normalization depending on the ...
• 11
1 vote
63 views

### Clustering Degrees of Freedom Correction

In a regression model estimated with $n$ observations, $$y_i = \beta_0 +\beta_1 x_{1i}+...+\beta_k x_{ki} +u_i$$ the baseline degrees of freedom adjustment when calculating standard errors is to ...
• 3,663
1 vote
158 views

### WLS or Feasible GLS?

For a question like this, would I use WLS or Feasible GLS? I am leaning towards WLS but my lecture slides tell me GLS is used when there is more than one variable that drives the residual variance.
65 views

### Variance of OLS Error Variance Estimator

Consider a model $Y=X\beta+e$ and define the OLS error variance estimator as $\hat{\sigma^2}=1/n\sum_{i=1}^n \hat{e}_i^2$, assuming that $E[e_i^2]=\sigma^2$ More precisely I want to derive the ...
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### Do market volatility and optimal trade confirmation strength correlate?

In this video, it is suggested that in high volatility markets, trading algorithms which wait for more confirmation to buy perform better than trading algorithms which buy more quickly, while in low ...
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105 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.