Standard errors are White-corrected for heteroscedasticity
Both equations are estimated by Newey-West heteroscedasticity
and autocorrelation consistent method (NWHAC) (Newey and West (1987)).
After econometric testing for possible adverse effects of multicollinearity, heteroscedasticity
and autocorrelation, the results of the simultaneous multiple linear regression analysis appear to have captured a quantification of the following hypothesized relationships.
Fox covers transformations of variables to remedy problems such as those associated with non-linearity, heteroscedasticity
and non-normality, as well as the recoding of variables.
The estimation methodology used is ordinary least squares (OLS) with heteroscedasticity
adjustment for standard errors according to White (1980).
This method for producing heteroscedasticity
corrected or "robust" standard errors is specified by White (1980, 1982).
In this case, the regression equation was less accurate at lower share rates--by definition heteroscedasticity
The Breusch and Pagan (1979) test for heteroscedasticity
yielded an [x.
Previous studies have reported that data of this type may exhibit heteroscedasticity
(Crete et al.
From the methodological perspective, violations of assumptions of the regression model, such as heteroscedasticity
and multicollinearity, are examined selectively in the single-equation model of chapter 3.
We also explicitly model remaining conditional heteroscedasticity
in the market model residuals.
Beginning with the introduction of the Autoregressive Conditional Heteroscedasticity
(ARCH) model of Engle (1982), return-generating models incorporating time-varying volatility have received considerable attention in the finance and economics literature.