Econometrics-Heteroscedastic Disturbances (ISS Statistics Paper III): Questions 1 - 2 of 2

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Question number: 1

» Econometrics » Heteroscedastic Disturbances

Appeared in Year: 2015

Essay Question▾

Describe in Detail

Describe the problem of heteroscedasticity in linear regression model. Outline one method for overcoming this problem.

Explanation

In the linear regression model, the assumption of variance of the error term is constant for all values of the independent variables does not hold, we face the problem of heteroscedasticity. This leads to unbiased but inefficient estimates that is large than minimum variance. Furthermore, the estimated variances of the… (440 more words) …

Question number: 2

» Econometrics » Heteroscedastic Disturbances

Appeared in Year: 2014

Essay Question▾

Describe in Detail

Discuss the problem of Heteroscedasticity in GLM. Describe Glejser test for detecting hetroscadasticity. What are the difficulties in using Glejser test? How do you overcome these difficulties?

Explanation

Problem of Hetroscadasticity:

  • One of the sources of Heteroscedasticity is grouping. data from large scale surveys are often in grouped form with an different number of entities in different groups. Working with group averages in such cases give rise to Heteroscedasticity disturbance.

  • There may be certain outlying observations in the… (498 more words) …

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