In Example 12.8, we found evidence of heteroskedasticity in ut in equation (12.47). Thus, we compute the

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In Example 12.8, we found evidence of heteroskedasticity in ut in equation (12.47). Thus, we compute the heteroskedasticity-robust standard errors (in [€¢]) along with the usual standard errors:

What does using the heteroskedasticity robust t statistic do to the significance of return t-1?

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Introductory Econometrics A Modern Approach

ISBN: 978-0324660548

4th edition

Authors: Jeffrey M. Wooldridge

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Question Posted: Apr 21, 2016 04:56 AM

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In Example 12.8, we found evidence of heteroskedasticity in ut in equation (12.47). Thus, we compute the

Question:

return180059 rurn (.081) 038) [.085 .069] n 689, R 0035, R20020.

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With the strong heteroskedasticity in the errors it is not too surprising that the robust standa...View the full answer

Introductory Econometrics A Modern Approach

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