Practical 6

# Practical 6 - Pr act i cal 6 Febr uar y 10 2010 Per f ect M...

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Pr act i cal 6 Febr uar y 10, 2010

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2 Per f ect MC Use POE [ qui zzes. gdt ] Make a var i abl e at t end = 30 m i ssed Tr y r unni ng m i dt er m on m i ssed and at t end Not e ( m i ssed and at t end ar e l i near l y dependent …> i . e. per f ect mul t i col l i near i t y)
3 Het er oskedast i ci t y POE [ f ood. gdt ] Recal l t he consol e ? ol s y const x ? gnupl ot y x Whi t e’ s Test H 0 : Homoskdast i ci t y ? l mt est –whi t e OR l ook under “ t est s”

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4 Gol df el d- Quandt t est Gol df el d- Quandt t est H 0 : Homoskdast i ci t y Spl i t sampl e i nt o “ Lower ” and “ Upper ” Do an F- t est =( RSS_upper / d. f ) / ( RSS_l ower / d. f ) I f obser ved F > cr i t i cal val ue t he r ej ect nul l
5 Remedy f or Het er oskedast i ci t y Assume: WLS ( i n consol e) : ? genr w = 1/ x [ use squar e as wei ght s] ? wl s w y const x OR vi a menu; “ Add var i abl e” t hen use “ wei ght ed l east

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6 Mul t i pi cat i ve
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Practical 6 - Pr act i cal 6 Febr uar y 10 2010 Per f ect M...

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