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Assumed: Good understanding of basics (and this is vital!) Moving Forward: Model B Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Setup Of Review Lectures Sick Regressions: The Key Questions Common pattern in econometrics: start with basic OLS regression and then
analyse what’s wrong
Deﬁnition: What’s the disease?
Consequences: What does it do to my OLS output?
Detection: How can I ﬁnd out if my regression is suffering from the
disease?
Remedy: What can I do to get rid of the disease? Introduction Heteroscedasticity Past Exam Practice Question Today’s Lecture Assumptions of Model A Below are the 6 assumptions of Model A:
A.1 The model is linear in parameters and correctly speciﬁed. Moving Forward: Model B Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Today’s Lecture Assumptions of Model A Below are the 6 assumptions of Model A:
A.1 The model is linear in parameters and correctly speciﬁed.
A.2 There is some variation in each regressor and no exact linear relationship
between regressors in the sample. Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Today’s Lecture Assumptions of Model A Below are the 6 assumptions of Model A:
A.1 The model is linear in parameters and correctly speciﬁed.
A.2 There is some variation in each regressor and no exact linear relationship
between regressors in the sample.
A.3 The disturbance term has zero expectation. Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Today’s Lecture Assumptions of Model A Below are the 6 assumptions of Model A:
A.1 The model is linear in parameters and correctly speciﬁed.
A.2 There is some variation in each regressor and no exact linear relationship
between regressors in the sample.
A.3 The disturbance term has zero expectation.
A.4 The disturbance term is homoscedastic. Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Today’s Lecture Assumptions of Model A Below are the 6 assumptions of Model A:
A.1 The model is linear in parameters and correctly speciﬁed.
A.2 There is some variation in each regressor and no exact linear relationship
between regressors in the sample.
A.3 The disturbance term has zero expectation.
A.4 The disturbance term is homoscedastic.
A.5 The values of the disturbance term have independent distributions. Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Today’s Lecture Assumptions of Model A Below are the 6 assumptions of Model A:
A.1 The model is linear in parameters and correctly speciﬁed.
A.2 There is some variation in each regressor and no exact linear relationship
between regressors in the sample.
A.3 The disturbance term has zero expectation.
A.4 The disturbance term is homoscedastic.
A.5 The values of the disturbance term have independent distributions.
A.6 The disturbance term has a normal distrib...
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This document was uploaded on 03/12/2014 for the course ECON 202 at University of London University of London International Programmes (Distance Learning).
 Spring '13
 ChristopherDougherty
 Econometrics

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