703 Lecture 16 - Res E c 703: Econometrics O rder o f...

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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 Goldfeld-Quandt test Problem 15.7: Application of the Goldfeld-Quandt test and the Breusch-Pagan test Computer 198-202 Complete SAS statements and explanations for doing a Handbook Goldfeld-Quandt test and a Breusch-Pagan 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 ofblank BMpage 85.) 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 ofhis 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. 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.
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Examples of Different Heteroscedasticity Tests SHAZAM Manual (Pages 93-94): 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.
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This note was uploaded on 12/08/2011 for the course ECON 703 taught by Professor Bernardmorzuch during the Fall '10 term at UMass (Amherst).

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703 Lecture 16 - Res E c 703: Econometrics O rder o f...

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