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st: PCSE and heteroscedasticity

From   Erlend Gar�sen <[email protected]>
To   [email protected]
Subject   st: PCSE and heteroscedasticity
Date   Sun, 15 May 2005 16:08:03 +0200


I have a huge heteroscedasticity problem with my time-series data, but after reading Beck/Katz article in APSR (Vol. 89, No. 3 1995) regarding PCSE, it seems that this method also corrects for heteroscedasticity in addition to autocorrelation - am I right?

Thanks in advance!

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