Statistics MCQs, Analysis, Software
Lecture notes about Heteroscedasticity, its consequences, detection, and remedy. Hetero or Heteroscedasticity is a violation of the OLS assumption of consistent variance.
The usual Ordinary Least Squares (OLS) method assigns equal weight (or importance) to each observation. But generalized least squares (GLS) take such information into account explicitly and are therefore capable of producing BLUE estimators. Both GLS and OLS are regression techniques used to fit a …
The Breusch Pagan test (named after Trevor Breusch and Adrian Pagan) is used to check for the presence of heteroscedasticity in a linear regression model. Assume our regression model is $Y_i = \beta_1 + \beta_2 X_{2i} + \mu_i$ i.e we have simple linear regression model, …
The following are some key points about heteroscedasticity. These key points are about the definition, example, properties, assumptions, and tests for the detection of heteroscedasticity (detection of hetero in short). One important assumption of Regression is that the One important assumption of Regression is that …