heteroscedasticity: what happens if the error …
TRANSCRIPT
HETEROSCEDASTICITY:WHAT HAPPENS IF THE
ERROR VARIANCE ISNONCONSTANT?
Ekonometrika 1 (2015)
AL MUIZZUDDIN F., SE.,
ME.
FEB UB
REVIEW QUESTIONS
1.What is the nature of heteroscedasticity?
2.What are its consequences?
3.How does one detect it?
4.What are the remedial measures?
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THE NATURE OF HETEROSCEDASTICITY
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LIHAT GAMBAR BERIKUT
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LANJUT
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SEVERAL REASONS WHY THE VARIANCES OF UI MAY BE VARIABLE…1. Following the error-learning models, as people learn, their errors
of behavior become smaller over time.
2. As incomes grow, people have more discretionary income andhence more scope for choice about the disposition of theirincome.
3. As data collecting techniques improve, variance is likely todecrease.
4. Heteroscedasticity can also arise as a result of the presence ofoutliers.
5. Another source of heteroscedasticity is skewness
6. Other sources of heteroscedasticity: As David Hendry notes,heteroscedasticity can also arise because of (1) incorrect datatransformation (e.g., ratio or first difference transformations) and(2) incorrect functional form (e.g., linear versus log–linearmodels).
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! Note that the problem of heteroscedasticity is likely to be
more common in cross-sectional than in time series data.
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Perhatikan
angka kompensasi
di tiap industry…
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DETECTION OF HETEROSCEDASTICITY
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TEST OF HETERO
Informal method
Nature of problem
Graphical method
Formal method
Park test
Glejser test
Spearman test
Goldfelt test
Breusch-Pagan test
White test
GRAPHICAL METHOD
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PARK TEST
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Park formalizes the graphical method
by suggesting that σi2
is some function of the explanatory variable Xi.
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CONTOH UJI PARK
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GLEJSER TEST
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CONTOH GLEJSER TEST
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WHITE’S GENERAL HETEROSCEDASTICITY TEST
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REMEDIAL MEASURES
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STOP
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