4-15-09 - against the residuals error terms and look for a...

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Economic Statistics – Class Notes – 4/15/09 9.) b.) Heteroskedasticity – “different spread” = a situation in which the variance of errors (the true variance of errors from our population model ) is not constant 1. Effect : OLS (Ordinary Least Squares) estimators are still unbiased but NO LONGER most efficient this means that there are other estimators that are out there a. Least squares = minimize the sum of squared errors 2. Detection – graphical techniques a. Plot the predicted values of “y” , (predicted value of y are those values of y that appear on the regression line
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Unformatted text preview: against the residuals error terms and look for a pattern: Note heteroskedasticity is most often associated with cross sectional data Two types of data: Time series (data collected over a period of time) over a series of times Cross sectional (data collected over a single time period across a group of individuals) YOU ARE RESPONSIBLE FOR KNOWING THE FOLLOWING: What the problem is, its EFFECT and its DETECTION 3. Correction Use generalized least squares (deals with the topic of econometrics )...
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This note was uploaded on 06/03/2009 for the course ECON 203 taught by Professor Casler during the Spring '09 term at Allegheny.

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4-15-09 - against the residuals error terms and look for a...

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