heteroscedasticity


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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]

heteroscedasticity

an irregular scattering of values in a series of distributions; accompanied by a comparable scatter of variances.
References in periodicals archive ?
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.
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).