Section 6: Heteroskedasticity and Serial Correlation
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.
Suggested Citation
Jeffrey Greenbaum. "Section 6: Heteroskedasticity and Serial Correlation" 2007
Available at: http://works.bepress.com/econ_240b_econometrics/14
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