硕士计量1-09-Heteroskedasticty.ppt

Example: Original OLS With Pronounced Signs Of Heteroskedasticity Example: WLS of Purchase on Salary with weight of Salary-.5 Heteroskedasticity improved, but not gone Heteroskedasticity Might Indicate A Wrong Functional Form Instead Taking log, we have eliminated heteroskedasticity Example: 8.7 Lets see if we can replicate equation 8.35 We will then go through the steps: obtain g=log(?2) Run a 2nd regression of g on all x’s and obtain ? Create w =1/?exp(?)=1/exp(?/2) Run a 3rd regression as in the original regression by using w as the weight Lets go through all of them and see how it works Homework 8.2 8.4 (replicate the heteroskedasticity-robus S.E. reported in the textbook only) 8.7 C8.2 (HPrice1 dataset) C8.8 (GPA1 dataset) Introduction to Time Series Time series data are data collected on the same observational unit at multiple time periods Aggregate consumption and GDP for a country (for example, 20 years of quarterly observations = 80 observations) Yen/$, pound/$ and Euro/$ exchange rates (daily data for 1 year = 365 observations) Cigarette consumption per capital for a state Example #1 of time series data: U.S. rate of inflation Annual Rate 1960 to 2011 Example #2: U.S. rate of unemployment Percent Unemployment Rate 1948-2011 The unemployment rate raises during recessions and falls during expansions 中国近十年物价指数 历年人均粮食产量／化肥使用量 What can we see from this chart? Can we see the effect of 包产到户？ What factors that might affect the production of grain? 历年粮食人均产量和年产变化％ 历年粮食产量／化肥使用量 What can we see from this chart? Can we see the effect of 包产到户？ What factors that might affect the production of grain? 历年钢铁产量 对数坐标 总产量 Global Warming Source: /Choices/Precautionary_Planning/New_Data/ Why use time series data? To develop forecasting models What will the rate of inflation be next year? To estimate dynamic causal effects If the Fed increases the Federal Funds rate now, what will be the effect on the rates of inflation and unemployment in 3 months? in 12 months? What is