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 smaller variance than the idiosyncratic component: [e.
Given a mean zero, homoskedastic expectational error [I.
Some of this recent work adds heteroskedasticity to the simple homoskedastic model discussed here.
The null hypothesis that the errors are homoskedastic was rejected for the regressions with both a dummy variable for positive and for negative returns.
i] is a normally distributed, homoskedastic error term that is uncorrelated with the regressors.
A test of homoskedastic standard errors is rejected with 90% confidence (p-value = .
The 4 lag VAR has no significant residual autocorrelation; the Jarque-Bera statistic indicates normality of residuals and the White test for heteroskedasticity indicates homoskedastic residuals.
By contrast, for the Tobit model, a standard MLE technique to estimate equations with censored dependent variables, the consistency hinges on the assumption of normally distributed and homoskedastic errors.
Additionally, though the null hypothesis of homoskedastic residuals is rejected in all three models, inspection of the residuals in Figure 5A-C reveals that heteroskedasticity per se only manifests itself because of a couple of outliers present in all three models.
Further, it should be noted that nonparametric analysis is chosen over parametric tests because of the requirement of normally distributed populations and homoskedastic errors.
t] is the MA(1) mean zero forecast innovation or shock, with homoskedastic standard deviation [[sigma].