Lecture 12 Heteroskedasticity wps讲座12异方差 WPS.aw.pptVIP

Lecture 13Heteroskedasticity (Chapter 10.1–10.4, 10.7) Agenda for Today Review Standard Errors (Chapter 5.2) Heteroskedasticity (Chapter 10.1) OLS and Heteroskedasticity (Chapter 10.2) Tests for Heteroskedasticity (Chapter 10.3) Generalized Least Squares (Chapter 10.4) GLS: an Example (Chapter 10.5) Review of Standard Errors (Chapter 5.2) Our DGP describes an underlying process we wish to study. The model includes a stochastic component, the error term. There are many possible realizations of the error term, but we get to observe only one. The underlying process plus the particular realizatio