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Heteroskedasticity Serial correlation Multicollinerity Normality Omitted variables. KULIAH 11. What’s Heteroskedasticity ?. Varians residual tdk konstan. Prototype. Penyebab. Error learning misal : belajar mengetik
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Heteroskedasticity • Serial correlation • Multicollinerity • Normality • Omitted variables KULIAH 11
Varians residual tdkkonstan Prototype
Penyebab • Error learning misal: belajarmengetik • Sampel yang beragam rumahtanggadgnpendptn, perusahaanberbagai level • Adanya outlier • Omitting variables • Sebaran data tidak normal • incorrect data transformation (e.g., ratio or first difference transformations) and • incorrect functional form (e.g., linear versus log–linear models) • lebihseringterjadipada data cross section
Efekthdestimasi • BLUE? • Linear Unbiased but not efficient LU Which is the Homoscedastic? Homoscedastic?
KOnsekuensi • Bagaimanaestimasiygdiperolehterkaitvariansygtidakkonstan? • - Signifikansi ? • - CI ? • misleading …
Mendeteksiheteroskedasticity • Nature of problem (functional form review ) • PeriksaGrafik residual • Tesstatistik
TesStatistik • Bahwa residual berkorelasidenganvarians • Park Test • signifikan residuals are heteroskedastic • weakness: may not satisfy the OLS assumptions and may itself be heteroscedastic • Glejser Test • weakness: the error term vi has some problems in that its expected value is nonzero, it is serially correlated and ironically it is heteroscedastic, some models are non linear.
H0: residuals are homoskedastic H1: residuals are heteroskedastic
Goldfeld-QuandtTest: the heteroscedastic variance, σ2i , is positively related to one of the explanatory variables in the regression model, ex: • σ2i would be larger, the larger the values of Xi • Weakness: • - depend on which c is arbitrary, • - for X > 1 Var, which X is correct to be ordered?
Ex: • Y = Income, • X = Consumption, • n = 30, • c = 4
Ex: • Y = Income, X = Consumption, n = 30, c = 4
Breusch–Pagan–Godfrey Test • Weakness: - large sample needed for small sample, depend much on normality assumption Ex: So, H0: residuals are Homoskedastic
White’s General Heteroscedasticity Test. • Weakness: more variables will consume more df. H0: residuals are homoskedastic Or H0: , df = # parameter -1
Koenker–Bassett (KB) test. • H0: residuals are homoskedastic • Or H0: • Teshipotesis using t-test Obtain residual, then estimate
Other tests….. • Find other references…
Remedial Perhatikan1 & 2 Reparameterize before analize !
Practically, run OLS first, then run: • consistent estimator large sample needed
Run the following (weighted) regression: • Compare with the unweighted Apaperbedaankedua model ini?
White suggests: • For RLB:
Tugas Bonus • Pelajari Gujarati, Basic Econometrics, 14thedition, • Ch. 11, section 11.7