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st: stupid heteroskedastic question

From   Kit Baum <>
Subject   st: stupid heteroskedastic question
Date   Fri, 7 Jul 2006 13:11:05 -0400

(That was the original poster's title!)

Benn said

Say I want to do the basic fix for heteroskedasticity
in the linear model

Y = b0 +b1X1 + b2X2 + noise

by dividing through by 1/X1.

How do people report the results ? Do they
report the new coefficients, or transform back
to the old coefficients ?

Don't do this "by hand". Use weights in the estimation. help weights (and [U] weight, weighted estimation) for the details. Everything then is in the context of the original variables (R^2, RMSE, etc.)

Kit Baum, Boston College Economics

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