Advanced econometrics
Chapter 8 : Heteroscedasticity
By Lund University
Heteroscedasticity
Heteroscedasticity
Heteroscedasticity
The OLS estimator in an LRM with a random sample under exogeneity and heteroscedasticity
Simple form of heteroscedasticity
The transformed model under simple form of heteroscedasticity
The transformed model under simple form of heteroscedasticity in marix form
The transformed error terms under simple form of heteroscedasticity
Weighted least squares
Properties of the weighted least squares estimator
The variance of the WLS estimator
Non-simple form of heteroscedasticity
Robust standard errors
Problems
Problems, heteroscedasticity