Term
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Definition
Given an independent variable x and a dependent variable y, the scedastic function is the conditional variance of y given x. That variance of the conditional distribution is:
var[y|x] = E[(y-E[y|x])2|x]
var[y|x] = integral or sum of (y-E[y|x])2f(y|x) dy
var[y|x] = E[y2|x] - (E[y|x])2 |
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Term
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Definition
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Term
| Estimates of the population R-squared |
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Definition
| R-squared or adjusted R-squared (i.e. goodness-of-fit measures) |
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Term
| What does heteroskeasticity cause? |
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Definition
| The usual standard errors, t statistics, and F statistics to be invalid, even in large samples, with or without normality |
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