Advanced Econometrics Takeshi Amemiya

Heteroscedasticity

A heteroscedastic regression model is Model 6 where X is a diagonal matrix, the diagonal elements of which assume at least two different values. Hetero­scedasticity is a common occurrence in econometric applications and can often be detected by plotting the least squares residuals against time, the dependent variable, the regression mean, or any other linear combination of the independent variables. For example, Prais and Houthakker (1955) found that a variability of the residuals from a regression of food expenditure on income increases with income. In the subsequent subsections we shall con­sider various ways to parameterize the heteroscedasticity. We shall consider the estimation of the heteroscedasticity parameters as well as the regression coefficients. We shall also discuss tests for heteroscedasticity.

Добавить комментарий

Advanced Econometrics Takeshi Amemiya

Nonlinear Limited Information Maximum Likelihood Estimator

In the preceding section we assumed the model (8.1.1) without specifying the model for Y( or assuming the normality of u, and derived the asymptotic distribution of the class of …

Results of Cosslett: Part II

Cosslett (1981b) summarized results obtained elsewhere, especially from his earlier papers (Cosslett, 1978, 1981a). He also included a numerical evalua­tion of the asymptotic bias and variance of various estimators. We …

Other Examples of Type 3 Tobit Models

Roberts, Maddala, and Enholm (1978) estimated two types of simultaneous equations Tobit models to explain how utility rates are determined. One of their models has a reduced form that is …

Как с нами связаться:

Украина:
г.Александрия
тел./факс +38 05235  77193 Бухгалтерия

+38 050 457 13 30 — Рашид - продажи новинок
e-mail: msd@msd.com.ua
Схема проезда к производственному офису:
Схема проезда к МСД

Партнеры МСД

Контакты для заказов оборудования:

Внимание! На этом сайте большинство материалов - техническая литература в помощь предпринимателю. Так же большинство производственного оборудования сегодня не актуально. Уточнить можно по почте: Эл. почта: msd@msd.com.ua

+38 050 512 1194 Александр
- телефон для консультаций и заказов спец.оборудования, дробилок, уловителей, дражираторов, гереторных насосов и инженерных решений.