Heteroscedasticity in R
https://sites.google.com/site/econometricsacademy/masters-econometrics/heteroscedasticity
Lecture: Heteroscedasticity.pdf
https://drive.google.com/file/d/1SMSbtcrMX-6il4mfSiO6axsAjH69bkVY/view?usp=sharing
R script: Heteroscedasticity.R
https://drive.google.com/file/d/1pEwAsMVAytwiSrwxh0e4Cg7ZctDGY150/view?usp=sharing
Data files:
hprice1.csv
https://drive.google.com/file/d/1w6KIGk68Sy30yaPpsXO3vH0X7Q3zk-HD/view?usp=sharing
Timestamps:
00:00 Heteroscedasticity in R
01:10 Graphical analysis of heteroscedasticity
10:24 Heteroscedasticity tests
12:43 Breusch-Pagan test
17:02 White test
19:29 Alternative White test
28:00 Heteroscedasticity robust standard errors
32:26 Weighted Least Squares (WLS)
37:21 Feasible Generalized Least Squares (FGLS)
Econometrics Academy:
https://sites.google.com/site/econometricsacademy/