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Heteroskedasticity in Regression: Detection and Correction |
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Comment from the Stata technical groupHeteroskedasticity in Regression: Detection and Correction is an ideal reference for applied researchers who want to understand the challenges posed by heteroskedasticity and the ways to detect and address it. The book starts with a description of the consequences of heteroskedasticity. Then it reviews tests to detect heteroskedasticity and introduces different solutions to the problem. The discussions highlight the advantages and warnings of the methods presented and complement rigorous technical discussions using Stata examples with do-files available online. |
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Table of contentsView table of contents >>
Acknowledgments
About the Author Series Editor's Introduction
1. What Is Heteroskedasticity and Why Should We Care
Consequences of Heteroskedasticity
Common Forms of Heteroskedasticity Application Examples
2. Detecting and Diagnosing Heteroskedasticity
Informal Diagnostics: Scatterplots and Tabulations of Mean Squared Residuals
Formal Statistical Tests: Breusch-Pagan, White, and Goldfeld-Quandt Cautionary Note on Model Misspecification and Heteroskedasticity Testing Application to the Other Examples
3. Variance-Stabilizing Transformations to Correct for Heteroskedasticity
Box-Cox Transformation
Signed Modulus Power Transformation
4. Heteroskedasticity-Consistent (Robust) Standard Errors
Applications
Summary and Limitations
5. (Estimated) Generalized Least Squares Regression Model for Heteroskedasticity
Background on GLS
Estimating the EGLS Model for Heteroskedasticity Application to Examples Summary and Limitations
6. Choosing Among Correction Options
VST Versus HCCM or EGLS
HCCM Versus EGLS Overall Recommendations and Extensions
Appendix: Miscellaneous Derivations and Tables
Derivation of Equation 1.5
Derivation of Equation 1.7 Derivation of Equation 2.7 Derivation of Equation 5.5 Derivation of Equation 5.9 Proof of the Equivalency of GLS to OLS Regression With Transformed Variables
References
Author Index
Subject Index |
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