JAMB COMPUTER BASED TEST

Others ⇒ HETEROSKEDASTICITY IN A MODELViews: 2714

HETEROSKEDASTICITY IN A MODEL

In statistics, a collection of random variables is heteroscedastic (from Ancient Greek hetero “different” and skedasis “dispersion”)[notes 1] if there are sub-populations that have different variabilities from others. Here "variability" could be quantified by the variance or any other measure of statistical dispersion. Thus heteroscedasticity is the absence of homoscedasticity.

The existence of heteroscedasticity is a major concern in the application of regression analysis, including the analysis of variance, as it can invalidate statistical tests of significance that assume that the modelling errors are uncorrelated and uniform—hence that their variances do not vary with the effects being modeled. For instance, while the ordinary least squares estimator is still unbiased in the presence of heteroscedasticity, it is inefficient because the true variance and covariance are underestimated.[1][2] Similarly, in testing for differences between sub-populations using a location test, some standard tests assume that variances within groups are equal.

watch video on how to check for heroscedasticity in your model using GRETL and EVIEW.
https://youtu.be/Djm0Qca5KZo

Started by: shodipedtomiwa22 on Jul 12, 2015

Leave a comment

Sign in
Username / Email:
Password:

Comment as a Guest
Username:
Email:

Don't have an account? Register

Responses (0)