Heteroscedasticity

Heteroscedasticity: Files

• Lecture: Heteroscedasticity.pdf
• Stata program: Heteroscedasticity.do
• Data files: hprice1.dta
• R script: Heteroscedasticity.R
• Data files: hprice1.csv

Heteroscedasticity: Lecture Topics

• Heteroscedasticity definition
• Consequences of heteroscedasticity
• Heteroscedasticity tests
  • Breusch-Pagan test
  • White test
  • Alternative White test
• Corrections for heteroscedasticity
  • Robust standard errors
  • Weighted Least Squares (WLS)
  • Feasible Generalized Least Squares (FGLS)

Heteroscedasticity in Stata/R: Topics

• Graphical analysis of heteroscedasticity
• Heteroscedasticity tests
  • Breusch-Pagan test
  • White test
  • Alternative White test
• Heteroscedasticity robust standard errors
• Weighted Least Squares (WLS)
• Feasible Generalized Least Squares (FGLS)