- White,
Halbert (1980). "A
heteroskedasticity-consistent
covariance matrix estimator and a
direct test for
heteroskedasticity". Econometrica. 48 (4): 817–838...
- When this is not the case, the
errors are said to be
heteroskedastic, or to have
heteroskedasticity, and this
behaviour will be
reflected in the residuals...
- In econometrics, the
autoregressive conditional heteroskedasticity (ARCH)
model is a
statistical model for time
series data that
describes the variance...
-
homoskedasticity is
rejected and
heteroskedasticity ****umed. If the Breusch–Pagan test
shows that
there is
conditional heteroskedasticity, one
could either use weighted...
- is a test of pure
heteroskedasticity. If
cross products are
introduced in the model, then it is a test of both
heteroskedasticity and
specification bias...
- to
overcome autocorrelation (also
called serial correlation), and
heteroskedasticity in the
error terms in the models,
often for
regressions applied to...
- White,
Halbert (1980). "A
heteroskedasticity-consistent
covariance matrix estimator and a
direct test for
heteroskedasticity". Econometrica. 48 (4): 817–838...
- White,
Halbert (1980), "A
Heteroskedasticity-Consistent
Covariance Matrix Estimator and a
Direct Test for
Heteroskedasticity", Econometrica, 48 (4): 817–838...
- is more
efficient than OLS
under heteroscedasticity (also
spelled heteroskedasticity) or autocorrelation, this is not true for FGLS. The
feasible estimator...
-
Conditional variances are
important parts of
autoregressive conditional heteroskedasticity (ARCH) models. The
conditional variance of a
random variable Y given...
