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Question is regarding Regression Analysis. what is the variance of intercept in case of heteroskedasticity?

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To answer this, you need a quantitative model for how the error variance behaves. Which one do you have in mind? – whuber♦ Sep 4 '12 at 18:42
Linear Model y=a+b1x1+...bkxk+error – Bioinformatics Sep 4 '12 at 19:23
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Right, but that model is not a model of heteroscedasticity. You have to specify how the variance of "error" depends on the other data. – whuber♦ Sep 4 '12 at 19:29
variance = sqrt(predictors) – Bioinformatics Sep 5 '12 at 5:51
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This makes no sense with multiple predictors (as indicated in your first comment): which square root should one use? – whuber♦ Sep 5 '12 at 12:39

closed as not a real question by Macro, gung, Andy W, Peter Flom, Rob Hyndman Sep 30 '12 at 23:30

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