计量经济学Lecture 6-1.pptVIP

* Feasible GLS More typical is the case where you don’t know the form of the heteroskedasticity In this case, you need to estimate h(xi) Typically, we start with the assumption of a fairly flexible model, such as Var(u|x) = s2exp(d0 + d1x1 + …+ dkxk) Since we don’t know the d, must estimate * Feasible GLS (continued) Our assumption implies that u2 = s2exp(d0 + d1x1 + …+ dkxk)v Where E(v|x) = 1, then if E(v) = 1 ln(u2) = a0 + d1x1 + …+ dkxk + e Where E(e) = 1 and e is independent of x Now, we know that ? is an estimate of u, so we can estimate this by OLS * Feasible GLS (contin