Heteroscedasticity Diagnostics Based on "Corrected" Standard Errors / Edward E. Leamer.

Format:

Book

Author/Creator:

Leamer, Edward E.

Contributor:

National Bureau of Economic Research.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0094.

NBER technical working paper series no. t0094

Language:

English

Subjects (All):

Heteroscedasticity.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1991.

Cambridge, Massachussetts : National Bureau of Economic Research, [1991]

Summary:

Weights are found for weighted least squares estimates such that a selected coefficient (a) changes by one standard deviation or (b) changes in sign. The length of the vector of weight changes is equal to the usual OLS standard error divided by the White-corrected standard errors. Thus the White-corrected standard errors can help decide if it is necessary to adjust the location of the confidence sets to correct for heteroscedasticity. The vector of weight changes is similar to the effect of omitting observations, one at a time. The sensitivity diagnostics of Belsley, Kuh and Welsch are therefore linked with heteroscedasticity issues.

Notes:

Print version record

January 1991.