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March 19, 2009
Heteroskedasticity
There are some missing pictures. We went through a model with the error variance proportional to a variable Z. A plot of the residuals vs. Z is a good way to test for heteroskedasticity. The Goldfeld-Quant Test is given in the textbook, but has practical problems. The Breusch-Pagan Test is more convenient, but is not in the textbook. (These pictures are generally available for other semesters.)
Posted by bparke at March 19, 2009 10:57 PM