Consider a simple regression Y-B+ B X+u. Suppose we found out that the variance of error...

 

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Consider a simple regression Y-B₁+ B₂ X+u. Suppose we found out that the variance of error term is changing with larger values of X (heteroscedasticity). Show technically how you overcome the problem of heteroscedasticity by using White's heteroscedasticity consistent variances (only for variance of the slope estimate). Show and explain. (20 pt.) Consider a simple regression Y-B₁+ B₂ X+u. Suppose we found out that the variance of error term is changing with larger values of X (heteroscedasticity). Show technically how you overcome the problem of heteroscedasticity by using White's heteroscedasticity consistent variances (only for variance of the slope estimate). Show and explain. (20 pt.)