A note on linear heteroscedasticity models |
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| Affiliation: | 1. Department of Mathematics and Statistics, McGill University, 805, rue Sherbrooke ouest, Montréal (Québec) Canada H3A 0B9;2. Chair of Econometrics and Statistics, especially Transportation, Technische Universität Dresden, Dresden D-01062, Germany;3. Center for Scalable Data Analytics and Artificial Intelligence (ScaDS.AI) Dresden/Leipzig, Germany;4. Department of Mathematics, Stockholm University, Stockholm SE-10691, Sweden |
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| Abstract: | The familiar practice of estimating residual variance functions via regression of squared estimated residuals is examined in a method of moments framework. In many situations, the covariance matrix estimator will reduce to White's (1980) heteroscedasticity-consistent computation. Extensions to higher moments and multiple equation systems are discussed. |
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