Consider the following regression model: yt = 0 + 1x1t + 2x2t + .. + KxKt +
Question:
yt = β0 + β1x1t + β2x2t + .. + βKxKt + εt
Show that if
Var(ε) = Kx2i(K > 0)
then
Var [εi/xi] = K
Discuss the possible relevance of this result in treating a form of heteroscedasticity.
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Related Book For
Statistics For Business And Economics
ISBN: 9780132745659
8th Edition
Authors: Paul Newbold, William Carlson, Betty Thorne
Question Posted:
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