Heteroskedastic

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Heteroskedastic

A sequence of variables in which each variable has a different variance. Heteroskedastics may be used to measure the margin of the error between predicted and actual data. See also: ARCH.
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Indeed, the heteroscedasticity test based on the difference between the inflation coefficient at the 25th, 50th, and 75th percentiles continues to be significant, because the difference in the coefficient estimates at the 75th and 50th percentiles are still large.
This method of correction for heteroscedasticity is chosen both for its ease of use and because it does not interfere greatly with the interpretation of results.
Specifically, diagnostic tests indicate that there is no problem of serial correlation, heteroscedasticity and functional form mis-specification in the selected models.
1991), "Conditional Heteroscedasticity in Asset Returns: A New Approach", Econometrica, Vol.
These results are robust to a number of alternative model specifications, including heteroscedasticity correction.
Tests of unbiasedness in foreign exchange futures markets: An examination of price limits and conditional heteroscedasticity.
A Heteroscedasticity Consistent Covariance Matrix and a Direct Test for Heteroscedasticity".
ARCH (12) is a test for conditional heteroscedasticity in returns.
Table 3 provides maximum-likelihood estimates from the multiplicative heteroscedasticity model (20) of various specifications of the basic regression function posited in Equation 1 and the corresponding variance functions.
In summary, those specification tests indicate that error terms in Equations 1 and 2 are well behaved, with little autocorrelation and heteroscedasticity.
The homoscedastic assumption is debatable because several studies, such as Engle (1983), Jansen (1989), Evans (1991), and Brunner and Hess (1993), point out significant heteroscedasticity in the U.