《计量经济学导论》ch8.pptVIP

Chapter 8 ;Consequences of heteroscedasticity for OLS OLS still unbiased and consistent under heteroscedastictiy! Also, interpretation of R-squared is not changed Heteroscedasticity invalidates variance formulas for OLS estimators The usual F-tests and t-tests are not valid under heteroscedasticity Under heteroscedasticity, OLS is no longer the best linear unbiased estimator (BLUE); there may be more efficient linear estimators;Heteroscedasticity-robust inference after OLS Formulas for OLS standard errors and related statistics have been developed that are robust to heteroscedasticity of unknown form All formulas are only valid in large samples Formula for heteroscedasticity-robust OLS standard error Using these formulas, the usual t-test is valid asymptotically The usual F-statistic does not work under heteroscedasticity, but heteroscedasticity robust versions are available in most software;Example: Hourly wage equation;Testing for heteroscedasticity It may still be interesting whether there is heteroscedasticity because then OLS may not be the most efficient linear estimator anymore Breusch-Pagan test for heteroscedasticity;Breusch-Pagan test for heteroscedasticity (cont.);Example: Heteroscedasticity in housing price equations;White test for heteroscedasticity Disadvantage of this form of the White test Including all squares and interactions leads to a large number of esti-mated parameters (e.g. k=6 leads to 27 parameters to be estimated);Alternative form of the White test Example: Heteroscedasticity in (log) housing price equations ;Weighted least squares estimation Heteroscedasticity is known up to a multiplicative constant ;Example: Savings and income The transformed model is homoscedastic If the other Gauss-Markov assumptions hold as well, OLS applied to the transformed model is the best linear unbiased estimator!;OLS in the transformed model is weighted least squares (WLS) Why is WLS more efficient than OLS in the original model? Observations with a large va