'White test' diaporamas de présentation

EC 532 Advanced Econometrics Lecture 1 : Heteroscedasticity Prof. Burak Saltoglu

EC 532 Advanced Econometrics Lecture 1 : Heteroscedasticity Prof. Burak Saltoglu. Outline. What is Heteroscedasticty Graphical Illustration of Heteroscedasticity Reasons for Heteroscedastic errors Consequneces of Heteroscedasticity Generalized Least Squares GLS in Matrix Notation

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8. Heteroskedasticity

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MGMG 522 : Session #8 Heteroskedasticity

MGMG 522 : Session #8 Heteroskedasticity. (Ch. 10). Heteroskedasticity. Heteroskedasticity is a violation of the classical assumption #5 (observations of the error term are drawn from a distribution that has a constant variance). (See Figure 10.1 on p. 348)

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Heteroskedasticity

Heteroskedasticity. Definition Consequences of heteroscedasticity Testing for Heteroskedasticity Breusch-Pagan White test (2 forms) Fixing the problem Robust standard errors Weighted Least Squares Fixing heteroskedasticity in LPM model. Heteroskedasticity.

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AAEC 4302 ADVANCED STATISTICAL METHODS IN AGRICULTURAL RESEARCH

AAEC 4302 ADVANCED STATISTICAL METHODS IN AGRICULTURAL RESEARCH. Chapter 15.1 Heteroscedasticity. Heteroscedasticity. Assumptions of a normal regression model: The disturbances are independent random variables The standard deviations of all disturbances are equal:

239 views • 10 slides