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Inference issues in OLS

Inference issues in OLS

Inference issues in OLS. Amine Ouazad Ass. Prof. of Economics. Outline. Heteroscedasticity Clustering Generalized Least Squares For heteroscedasticity For autocorrelation. Heteroscedasticity. Issue.

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541 views • 38 slides
Multivariate Regression

Multivariate Regression

Multivariate Regression . Topics . The form of the equation Assumptions Axis of evil (collinearity, heteroscedasticity and autocorrelation) Model miss-specification Missing a critical variable Including irrelevant variable (s) . The form of the equation. Y t = Dependent variable

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666 views • 24 slides
Multiple Regression Analysis

Multiple Regression Analysis

Multiple Regression Analysis. y = b 0 + b 1 x 1 + b 2 x 2 + . . . b k x k + u 6. Heteroskedasticity. What is Heteroskedasticity. Recall the assumption of homoskedasticity implied that conditional on the explanatory variables, the variance of the unobserved error, u , was constant

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360 views • 22 slides
Lecture 19

Lecture 19

Lecture 19. Transformations, Predictions after Transformations Other diagnostic tools: Residual plot for nonconstant variance, histogram to check normality assumption and residual plots for special situations. Regression Diagnostics.

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325 views • 19 slides
Introduction to Econometrics

Introduction to Econometrics

Introduction to Econometrics. Lecture 7 Heteroskedasticity and some further diagnostic testing. Topics to be covered. Heteroskedasticity Some further diagnostic testing Normality of the disturbances Multicollinearity. Econometric problems. Heteroskedasticity.

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672 views • 18 slides

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