Heteroskedastic


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Related to Heteroskedastic: Homoscedastic

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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The first analysis with regard to the distrubance is the test for normality of the disturbance since all alternative pure premium models assume that disturbances are normally distributed even though they may be heteroskedastic.
The following section considers a nonlinear process for interest rates, the autoregressive conditionally heteroskedastic (ARCH) process, which is widely used in economics.
6 The equations were estimated using the Newey-West (1987) heteroskedastic autocorrelation consistent estimate of the variances.
One might consider a least absolute deviations estimator of Powell [15] which is also robust to the non-Gaussian and heteroskedastic error specification.
1992, Heteroskedastic Cointegration, Journal of Econometrics, 54: 139-158.
000 Heteroskedastic and serial correlation consistent standard errors in parentheses.
The regression presented in column one is based on proportions data and is therefore heteroskedastic.
We allow the error terms to be heteroskedastic across equations (i.
Disturbance terms are known to be heteroskedastic under the logit model.
Because some of the observations on the failure rate are zero, they use the tobit model with heteroskedastic errors.
However, the residuals of the estimated model are heteroskedastic and first-order autoregressive.
There are potential inefficiencies involved in using this criterion on heteroskedastic data.