Regression analysis with two mixed forms of heteroscedasticity |
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| Authors: | Erkki P Liski |
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| Institution: | University of Tampere , Tampere, SF-33101, FinlandP.O. Box 607 |
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| Abstract: | Regression models are here considered in which disturbances are related to both the expectation of the dependent variable and a linear conbination of certain auxiliary variables. The maximum likelihood and weighted least squares estimators are compared in estimating the form of heteroscedasticity and regression coefficients. Also a test for heteroscedasticity is discussed. Finally an example is worked out for the purpose of illustration. |
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| Keywords: | Heteroscedasticity maximum likelihood estimation weighted least squares likelihood ratio |
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