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Essay

Autocorrelation and Heteroscdascity

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Issue:

Business

 

Written by:

Diane B

 

Date added:

February 5, 2016

 

Level:

University

 

Grade:

A

 

No of pages / words:

2 / 482

 

Was viewed:

3623 times

 

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Essay content:

Can still estimate OLS Parameters 2. OLS estimators are linear and unbiased 3. But OLS estimators are not the Best. LUE but not BLUE(best linear unbiased estimator) 4. Standard errors are high and biased 5. R2 is overestimated or inflated 6. t test, f tests are not reliable 7. The forecasts are unreliable Diagnostic: time series data usually suffer from Auto correlation Graphical Check (Step 1) Run OLS, find y?¦s and then errors et = ut Step 2) Then plot the errors Durbin-Watson Test (DW) Treatment (if positive or Negative Correlation) Increase data sample, taking log or other transformations, generalized least squares (GLS)m Prais ?V Wislen, Cochrave ?V Orcult, Hildreth Lu, Durban two step...
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The variance of ui is no longer constant but varies from observation to observation. Occurs a lot in cross-sectional data. This is because we generally deal with members of a pop. at a given point in time. Also these members may be of different sizes, small, med, large, which results in a scale effect...
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