heteroskedasticity - Heteroskedasticity Heteroskedasticity...

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Heteroskedasticity Heteroskedasticity text: S text: S -W 4.9, 15.3~5, 16.3 W 4.9, 15.3~5, 16.3
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A. Consequence A. Consequence violating MLR/5: consequences: No effect on the unbiasedness of OLS estimators the appropriateness of R-squared/ adjusted R-square as goodness- of-fit measure Has effect on is biased the usual t-stat, F-stat invalid, even in large samples, with or without normality. OLS is no longer BLUE 2 1 var( | ,..., ) ik i ux x σ = m var( ) j β
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B. Remedy : B. Remedy : Heteroskedasticity Heteroskedasticity -robust Procedure robust Procedure MLR/1~4 hold; form of heteroskedasticity is unknown simple model OLS estimate A valid estimator of var ( β -hat ): 01 ii i yx u β = ++ l 11 2 () i xx u ββ =+ l 22 1 2 2 var( ) i σ = l 2 2 1 2 var( ) i ≠= l n l 2 2 1 2 2 var( ) i u =
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how valid ? general model: l 2 22 2 () ix i ii p E xu nxx u xx µ σ −⋅   01 1 , 2 2 , 1 , ...
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This note was uploaded on 08/27/2011 for the course ECON 7043 taught by Professor Projim during the Three '11 term at University of Adelaide.

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heteroskedasticity - Heteroskedasticity Heteroskedasticity...

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