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Results tagged with heteroscedasticity
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user 13138
Non-constant variance along some continuum in a random process, or varying between discrete groups
13
votes
How do you find weights for weighted least squares regression?
When performing WLS, you need to know the weights. There are some ways to find them as said on page 191 of Introduction to Linear Regression Analysis by Douglas C. Montgomery, Elizabeth A. Peck, G. Ge …
- 7,584
1
vote
Forecasting in ARCH(1) models
$E(r_t^2|r_{t-j},j=1,2,...)=E(\sigma^2_{t|t-1}\epsilon_t^2|r_{t-j},j=1,2,...)$. Now given $r_{t-j},j=1,2,...$, you know the values of $\sigma_{t|t-1}$ because $\sigma^2_{t|t-1}=\omega+\alpha r_{t-1}^2 …
- 7,584
3
votes
Accepted
Does heteroskedasticity matter if you have a large enough sample?
I think, the answer depends on the method that you are using. If you want to justify the usual $t$-tests, $F$-tests and confidence intervals when fitting a linear regression model using just an ordina …
- 7,584