Ass 4_Econometrics - ECONOMETRICS 30C00200 Fall 2013 EXERCISES 4 DATE 07.10.2013 NAME STUDENT NUMBER Pham Quoc Bao 362683 Mark here the problems you

# Ass 4_Econometrics - ECONOMETRICS 30C00200 Fall 2013...

This preview shows page 1 - 3 out of 5 pages.

ECONOMETRICS 30C00200 Fall 2013 EXERCISES 4 DATE 07.10.2013 NAME STUDENT NUMBER Pham Quoc Bao 362683 Mark here the problems you have done 1 2 3 4 5
Problem 1: a/ Gauss-Markov assumptions for cross sectional regression state that all errors have the same variance . Heteroscedasticity occurs if the errors of different observations have different variances . Because heteroscedasticity violates Gauss-Markov assumptions, the OLS estimators of the coefficients are not BLUE (one word). In this case, OLS estimators are unbiased (biased/unbiased) and consistent (consistent/inconsistent). The OLS standard errors are incorrect (correct/incorrect), therefore statistical inference is invalid . b/ The homoskedascity assumption: Var(u|x 1 ,x 2 ,…,x k ) = σ 2 can be replaced with the weaker assumption that the squared error, u 2 , is uncorrelated with all the independent variables (x j ), their squared (x j 2 ) and all cross products (x j xx h , j≠h). All in all, the White test is to test whether the squared error (u 2 ) is correlated with the variables, squared variables and their cross products or not. c/ Some remedies for the heteroskedascity:

#### You've reached the end of your free preview.

Want to read all 5 pages?

### What students are saying

• As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

Kiran Temple University Fox School of Business ‘17, Course Hero Intern

• I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

Dana University of Pennsylvania ‘17, Course Hero Intern

• The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

Jill Tulane University ‘16, Course Hero Intern