Res
Ec
703: Econometrics
Order
of
Topics
And
Readings
For
Lecture
16, November 2, 2010
Source
Exam 2
Tuesday, November 23, 2010
Starting time: 6:00 p.m.
or
7:00 p.m.
Final
Exam
Tuesday, December 14, 2010, 10:30 a.m.
12:30 p.m., Stockbridge 114
Assignment
6
The first page is the assignment itself.
It
is taken from the text
Due
November
4,
201
0
and deals with the following.
Problem 15.4: Application
of
the GoldfeldQuandt test
Problem 15.7: Application
of
the GoldfeldQuandt test and
the BreuschPagan test
Computer
198202
Complete SAS statements and explanations for doing a
Handbook
GoldfeldQuandt test and a BreuschPagan test
(This is a
separate
pdf. Download this in
the
Lectures section.)
The
following
four
pages
are
attached
to this Topics page. All
are
part
of
the
same pdf.
BM
Top
85
Examples
of
different heteroscedasticity tests; an
ad
hoc
selection.
What is one to do? (This handout is to
be
inserted
in
place
of
blank
BMpage
85.)
BM
Bottom 85
White comes along with a polynomial expansion specification
as
the
form for heteroscedasticity.
The
steps
in
White's
test are summarized
at the bottom
ofBM
page 85.
White proved the consistency
of
his estimator in his classic paper (1980).
Does SAS provide assistance with getting this estimator?
SAS
1431
Testing
For
Heteroscedasticity (The
Reg
Procedure):
If
you suspect heteroscedasticity, get the "nice", i.e., the
consistent, estimators
of
the standard errors
of
the regression
coefficients. The
ACOV
option is the answer.
BM
9
This page (specifically, equation 16) is revisited because it
provides justification for what is done on SAS p. 1431.
Kennedy
130
Kennedy's blurb about White along with
BM's
"long
hand"
calculation
of
consistent standard errors. Compare these to
the
ACOV
output.
This preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
Examples
of
Different Heteroscedasticity
Tests
SHAZAM
Manual
(Pages
9394):
Sequential
Chow
Tests
and
Tests
for
Heteroscedasticity
(Note
the
CHOWTEST
~nd
HET
options
under
the
DIAGNOS
command)
D1AGNOS .
options
where
options
is
a list of desked options.
This is the end of the preview.
Sign up
to
access the rest of the document.
 Fall '10
 BernardMorzuch
 Econometrics, Regression Analysis, Covariance matrix, Heteroscedasticity, CONSISTENT COVARIANCE MATRIX, GoldfeldQuandt test

Click to edit the document details