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

Matrix square root

OLS variance under heteroscedasticity

OLS is consistent under heteroscedasticity

Transformed errors are Gauss-Markov

The WLS estimator

The WLS estimator is unbiased

The variance of the WLS estimator

An alternative derivation of the WLS estimator

The WLS estimator is consistent

Confirming robust standard errors in Stata