Homoskedastic


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Related to Homoskedastic: Homoscedastic

Homoskedastic

Describing a sequence of variables where each variable has the same or a very similar variance. Homoskedasticity is often assumed in statistics but is not always true. See also: Heteroskedastic.
References in periodicals archive ?
Homoskedastic idiosyncratic component, common component has a larger variance than the idiosyncratic component: [e.
Note that estimates from the log-2SLS model were re-transformed into dollars with a homoskedastic nonparametric retransformation (Duan 1983).
16 Notes: The null hypothesis for the diagnostic tests are that the residuals do not have serial correlation, are homoskedastic and are normally distributed.
The distributions are homoskedastic, and the paired linear correlation coefficients are very close to unity (see Table 3).
Conditional variance and jump-diffusion models outperform simple diffusion and homoskedastic models.
The OLS assumes that error term is homoskedastic and not serially correlated that is E [[epsilon]]/X = 0 and E [[epsilon] [epsilon]'/X = [[sigma].
To obtain normally distributed outcomes at each gestational age with homoskedastic residual error variance, we first estimated the power transformation of each of the fetal outcomes by modeling their transformed mean as a cubic polynomial in gestational age (in days), using the "boxcox" function from the main package of Venables and Ripley's MASS library (Royston 1995).
It is important to note, however, that 3SLS estimation will provide increased efficiency over 2SLS estimates if the error terms are homoskedastic but correlated across equations (Cameron and Trivedi, 2005, p.
Model 1 also passes all diagnostic tests, indicating that the residuals are not serially correlated5 (LM test), are normally distributed (Jarque-Bera test), and homoskedastic (White test).
Under the additional assumption that asset returns and consumption are jointly log normal and homoskedastic, the Epstein-Zin Euler equation implies that the risk premium RP on any asset i over the short-term safe asset is
A test of homoskedastic standard errors is rejected with 90% confidence (p-value = .