Section 6: Heteroskedasticity and Serial Correlation

Jeffrey Greenbaum, University of California, Berkeley

Abstract

This is version 2 from what was originally distributed on th day of section 6. Explanations on WLS are more detailed, particularly the Breusch-Pagan set-up and Feasible WLS versus Eicker-White trade-off. Another WLS exercise has been added that shows a good application of WLS, in addition to serial correlation exercises.