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Heteroskedasticity in Regression - Detection and Correction (Paperback, New)
Loot Price: R1,193
Discovery Miles 11 930
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Heteroskedasticity in Regression - Detection and Correction (Paperback, New)
Series: Quantitative Applications in the Social Sciences
Expected to ship within 10 - 15 working days
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This volume covers the commonly ignored topic of heteroskedasticity
(unequal error variances) in regression analyses and provides a
practical guide for how to proceed in terms of testing and
correction. Emphasizing how to apply diagnostic tests and
corrections for heteroskedasticity in actual data analyses, the
book offers three approaches for dealing with heteroskedasticity:
variance-stabilizing transformations of the dependent variable;
calculating robust standard errors, or heteroskedasticity-
consistent standard errors; and generalized least squares
estimation coefficients and standard errors. The detection and
correction of heteroskedasticity is illustrated with three examples
that vary in terms of sample size and the types of units analyzed
(individuals, households, U.S. states). Intended as a supplementary
text for graduate-level courses and a primer for quantitative
researchers, the book fills the gap between the limited coverage of
heteroskedasticity provided in applied regression textbooks and the
more theoretical statistical treatment in advanced econometrics
textbooks.
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