What is Heteroskedasticity Recall the assumption of homoskedastic implied that conditional on the explanator variables the variance of the unobserved error u was constant If this is not true that is if the variance of u is different for different values of thex's. then the errors are heteroskedastic
Time series vs Cross sectional e Time series data has a temporal ordering unlike cross-section data Will need to alter some of our assumptions to take into account that we no longer have a random sample of individuals Instead. we have one realization of a stochastic(i.e. random) process Economics 20- Prof anderson
Stationary Stochastic Process e A stochastic process is stationary if for every collection of time indices 11 e Thus, stationarity implies that the x,'s are dentically distributed and that the nature of any correlation between adjacent terms is
Testing for AR(IS eria Correlation Want to be able to test for whether the errors are serially correlated or not Want to test the null thatp=0 in u,=pu, 1 +et=2.. where u is the model error