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What is the name of the test that is used to detect multiplicative heteroskedasticity?
Heteroskedasticity is a type of autocorrelation.
False
What is the purpose of weighted least squares (WLS) in the context of heteroskedasticity?
To give more weight to observations with lower variance
The standard errors of the OLS estimates can be adjusted for heteroskedasticity using ____________________ standard errors.
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Match the following tests with their purposes in detecting heteroskedasticity:
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What is the purpose of testing for heteroskedasticity in a linear regression model?
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What is the purpose of testing for first-order autocorrelation?
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Higher-order autocorrelation occurs when the error terms are correlated with each other, but with a lag of more than one period.
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What is the name of the test used to detect first-order autocorrelation?
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Autocorrelation occurs when the error terms are correlated with each other, which can lead to _______________ in the parameter estimates.
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Match the following autocorrelation patterns with their descriptions:
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Heteroskedasticity and autocorrelation are the same phenomenon.
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What is the consequence of heteroskedasticity on the OLS estimator?
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Heteroskedasticity is a type of autocorrelation.
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What is the alternative estimator derived to address heteroskedasticity?
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Heteroskedasticity is a situation where the variability of the ____________ is not constant.
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Which of the following is a test for heteroskedasticity?
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Autocorrelation is a type of heteroskedasticity.
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What is the consequence of autocorrelation on the OLS estimator?
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Autocorrelation is a situation where the error terms are ____________ with each other.
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Match the following concepts with their definitions:
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Which of the following is a reason for using robust estimation methods?
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Study Notes
Asymptotic Properties of the OLS Estimator
- Consistency of the OLS estimator is discussed in section 2.6.1
- Asymptotic normality of the OLS estimator is discussed in section 2.6.2
- Small samples and asymptotic theory are discussed in section 2.6.3
Illustration: The Capital Asset Pricing Model
- CAPM is presented as a regression model in section 2.7.1
- Estimating and testing the CAPM is discussed in section 2.7.2
- A real-world example of the largest hedge fund is given in section 2.7.3
Multicollinearity
- Multicollinearity is discussed in section 2.8
- An example of individual wages is used to illustrate multicollinearity in section 2.8.1
Missing Data, Outliers, and Influential Observations
- Outliers and influential observations are discussed in section 2.9.1
- Robust estimation methods are presented in section 2.9.2
- Missing observations are discussed in section 2.9.3
Prediction
- Prediction is discussed in section 2.10
Interpreting and Comparing Regression Models
- Interpreting the linear model is discussed in section 3.1
- Selecting the set of regressors is discussed in section 3.2
- Misspecifying the set of regressors is discussed in section 3.2.1
- Selecting regressors is discussed in section 3.2.2
- Comparing non-nested models is discussed in section 3.2.3
Misspecifying the Functional Form
- Nonlinear models are discussed in section 3.3.1
- Testing the functional form is discussed in section 3.3.2
- Testing for a structural break is discussed in section 3.3.3
Illustrations
- Explaining house prices is discussed in section 3.4
- Predicting stock index returns is discussed in section 3.5
- Explaining individual wages is discussed in section 3.6
Heteroskedasticity and Autocorrelation
- Consequences for the OLS estimator are discussed in section 4.1
- Deriving an alternative estimator is discussed in section 4.2
- Heteroskedasticity is discussed in section 4.3
- Testing for heteroskedasticity is discussed in section 4.4
- Autocorrelation is discussed in section 4.6
- Testing for first-order autocorrelation is discussed in section 4.7
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Description
This quiz covers the asymptotic properties of the Ordinary Least Squares (OLS) estimator, including consistency and asymptotic normality.
