Econometrics HT 18

Chapter 24 : Heteroscedasticity, problems

By Lund University

Problems related to material from the previous chapter.

Heteroscedasticity, problems

The OLS estimator with heteroscedasticity

The conditional expectation of squared residuals

The conditional expectation of squared residuals with homoscedasticity

Conditional variance of y

F test and LM test

Heteroskedasticity due to external variable

Properties of robust standard errors

Robust standard errors in Eviews

Weighted least squares, weighting

Weighted least squares, regression

Weighted least squares, properties