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Econometrics Cheat Sheet (DRAFT) by

introduction to econometrics

This is a draft cheat sheet. It is a work in progress and is not finished yet.

8- Hetero­ske­dasity

Conseq­uences? NO: Unbias or Incons­ist­enc­y.R^2 unaffe­cted. YES: OLS no longer BLUE. Test are not normally distri­buted
Roburst: Use it to get valid SE for t,F,LM test. Correct in large sample size. We don't use it because they only give right t-test for large sample size, whereas OLD is right for every size.

Hetero­ske­das­ity­-Ro­burst LM test

1. Obtain u ̃ from the restricted model.
2. Reg each of the indpt vars excluded on all of the included indpt vars; if there are q excluded variables, this leads to q sets of residuals (r ̃1, r ̃2.. r ̃q).
3. Find the products between each r ̃j and u ̃ (for all observ­ati­ons).
4- Reg 1on r ̃1 u ̃, r ̃2u ̃,...,r ̃qu ̃,w/out an intercept