Ch. 9 Heteroscedasticity Regression disturbances whose variance are not constant across observations are heteroscedastic. In the heteroscedastic model we assume that
Ch. 21 Univariate Unit Root process 1 Introduction Consider OLS estimation of a AR(1)process, Yt= pYt-1+ut where ut w ii d (0, 0), and Yo=0. The OLS estimator of p is given by and we also have
