《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 unkn