# heteroscedasticity

Also found in: Dictionary, Financial, Wikipedia.

## het·er·o·sced·as·tic·i·ty

(het'ĕr-ō-skĕd'as-tis'ĭ-tē),
Nonconstancy of the variance of a measure over the levels of the factor under study.
[hetero + G. skedastikos, pertaining to scattering, fr. skedannumi, to scatter]
References in periodicals archive ?
Engle's (1982) lagrange multiplier autoregressive conditional heteroscedasticity (ARCH-LM) test is used to detect a time-dependent phenomenon in the conditional volatility of the inflation rate.
A unified approach to the estimation of heteroscedasticity is lacking.
However, models must not have heteroscedasticity and autocorrelation problems if the results are to be reliable.
Table-3.1: Heteroscedasticity Test: Breusch-Pagan-Godfrey
Moreover, the model also has problem of serial correction, has a unit root and heteroscedasticity. Therefore, model 2 is not the suitable model to explain Malaysian Stock Market.
Heteroscedasticity test is performed to test whether there are unequal variances of the residual to other observations on the regression model used (Robiyanto and Puryandani 2015, Robiyanto et al.
The regression is adjusted for heteroscedasticity using White (1980).
In situations that accentuate the presence of heteroscedasticity, the literature suggests that some appropriate changes of the response variable is searched, and/or covariate, in order to stabilize the variances, Box and Cox (1964), Atkinson (1985).
There is evidence of continuous variation in the variance of noise, an indication of seasonal heteroscedasticity. This shows that volatility of the deseasonalized DAT residuals is not constant as assumed by Elias et al.
Prob>chi2 = 0.0000 Therefore null hypothesis was rejected which implies that heteroscedasticity exits.
"Conditional Heteroscedasticity in Asset Returns: A New Approach." Econometrica.59: 2, pp.
Since in general we use time series data, we correct our standard errors for heteroscedasticity and autocorrelation using the Newey and West (1987) adjustment.
Site: Follow: Share:
Open / Close