We estimate the regressions using ordinary least squares (OLS) and use the Huber-White method to correct the standard errors for heteroscedasticity
The Newey-West autocorrelation and heteroscedasticity
adjusted parameter estimates of equation (1) are presented in Table 2.
None of the Glejser and Modified Glejser tests indicate any signs of heteroscedasticity
The standard errors are adjusted for heteroscedasticity
according to White (1980).
Regression analyses were conducted using the corrections for heteroscedasticity
Given that heteroscedasticity
was controlled based on an assumption, the researchers chose to confirm the results with a statistical method less affected by heteroscedasticity
The results also show GARCH effects in the market model residuals and that incorporating conditional heteroscedasticity
in the market model affects parameter estimates.
Many recent tests of the Capital Asset Pricing Model (CAPM), originally developed by Sharpe (1964) and Lintner (1965), have focused on how heteroscedasticity
in stock returns affects the CAPM's results (Bollerslev, Engle, and Wooldridge, 1988; Ng, 1991; Schwert and Seguin, 1990; Turtle, Buse, and Korkie, 1994).
4) Then, we investigate the effects of correcting these estimations for heteroscedasticity
and spiking the density at zero WTP, both in the separate and in the simultaneous estimations.
Cross-section data are mainly infected with heteroscedasticity
Both models were examined for linear assumption violations (multicollinearity, heteroscedasticity
, and autocorrelation) as well as model stability.
Tests of COIs based on heteroscedasticity
[SHMM(u/ het) and SREG(u/het)] resulted in larger numbers of COIs considered significant in all of the clusters, except U5 (Table 2).