Heteroskedasticity in Regression: Detection and Correction |
||||||||||||||||||||||||||||||||||||
Click to enlarge See the back cover |
As an Amazon Associate, StataCorp earns a small referral credit from
qualifying purchases made from affiliate links on our site.
eBook not available for this title
eBook not available for this title |
|
||||||||||||||||||||||||||||||||||
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. |
||||||||||||||||||||||||||||||||||||
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 |
Learn
Free webinars
NetCourses
Classroom and web training
Organizational training
Video tutorials
Third-party courses
Web resources
Teaching with Stata
© Copyright 1996–2024 StataCorp LLC. All rights reserved.
×
We use cookies to ensure that we give you the best experience on our website—to enhance site navigation, to analyze usage, and to assist in our marketing efforts. By continuing to use our site, you consent to the storing of cookies on your device and agree to delivery of content, including web fonts and JavaScript, from third party web services.
Cookie Settings
Last updated: 16 November 2022
StataCorp LLC (StataCorp) strives to provide our users with exceptional products and services. To do so, we must collect personal information from you. This information is necessary to conduct business with our existing and potential customers. We collect and use this information only where we may legally do so. This policy explains what personal information we collect, how we use it, and what rights you have to that information.
These cookies are essential for our website to function and do not store any personally identifiable information. These cookies cannot be disabled.
This website uses cookies to provide you with a better user experience. A cookie is a small piece of data our website stores on a site visitor's hard drive and accesses each time you visit so we can improve your access to our site, better understand how you use our site, and serve you content that may be of interest to you. For instance, we store a cookie when you log in to our shopping cart so that we can maintain your shopping cart should you not complete checkout. These cookies do not directly store your personal information, but they do support the ability to uniquely identify your internet browser and device.
Please note: Clearing your browser cookies at any time will undo preferences saved here. The option selected here will apply only to the device you are currently using.