-
analysis in the
presence of
heteroscedasticity,
which led to his
formulation of the
autoregressive conditional heteroscedasticity (ARCH)
modeling technique...
-
analysis in the
presence of
heteroscedasticity,
which led to his
formulation of the
autoregressive conditional heteroscedasticity (ARCH)
modeling technique...
-
equivalent to the
temporal generalized autoregressive conditional heteroscedasticity (GARCH) models. In
contrast to the
temporal ARCH model, in
which the...
- constant: that is for homoskedasticity. This test, and an
estimator for
heteroscedasticity-consistent
standard errors, were
proposed by
Halbert White in 1980...
-
regression in
which knowledge of the
unequal variance of
observations (
heteroscedasticity) is
incorporated into the regression. WLS is also a specialization...
- or curvature.
Formal tests can also be used; see
Heteroscedasticity. The
presence of
heteroscedasticity will
result in an
overall "average"
estimate of...
-
Whitney K; West,
Kenneth D (1987). "A Simple,
Positive Semi-definite,
Heteroscedasticity and
Autocorrelation Consistent Covariance Matrix" (PDF). Econometrica...
- hdl:10419/189084. Long, J. Scott; Ervin,
Laurie H. (2000). "Using
Heteroscedasticity Consistent Standard Errors in the
Linear Regression Model". The American...
-
either heteroscedasticity, or correlations, or both are
present among the
error terms of the model, as long as the form of
heteroscedasticity and correlation...
-
least squares (if the
source of
heteroskedasticity is known) or use
heteroscedasticity-consistent
standard errors.
Under the
classical ****umptions, ordinary...
