heteroskedasticity

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00:54 Sep 25, 2020
English to Slovak translations [PRO]
Bus/Financial - Economics
Additional field(s): Business/Commerce (general), Economics, Finance (general), Investment / Securities, Mathematics & Statistics
English term or phrase: heteroskedasticity
Definition from Investopedia:
In statistics, heteroskedasticity (or heteroscedasticity) happens when the standard errors of a variable, monitored over a specific amount of time, are non-constant. With heteroskedasticity, the tell-tale sign upon visual inspection of the residual errors is that they will tend to fan out over time

Example sentence(s):
  • Most real world data will probably be heteroskedastic. However, one can still use ordinary least squares without correcting for heteroskedasticity because if the sample size is large enough, the variance of the least squares estimator may still be sufficiently small to obtain precise estimates. Methods for Detecting and Resolving...
  • Heteroskedasticity can also occur if there are subpopulation differences or other interaction effects (e.g. the effect of income on expenditures differs for whites and blacks). (Again, the problem arises from violation of the assumption that no such differences exist or have already been incorporated into the model.) Richard Williams, Univ. of Notre Dame
  • If heteroskedasticity does not cause bias or inconsistency in he OLS estimators, why did we introduce it as one of the Gauss-Markov assumptions? Hedibert
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4heteroskedasticita
Veronika Kvietkova


  

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heteroskedasticita


Definition from Heteroskedasticita - Ekonometria:
Heteroskedasticita hovorí o tom, že rozptyl náhodnej zložky modelu sigma2 nie je konštantný a konečný. Predstavuje porušenie predpokladu a spôsobuje, že odhady rozptylov parametrov sú skreslenými odhadmi skutočných rozptylov.

Example sentence(s):
  • Goldfeld-Quandtov test. Jeho použitie predpokladá, že máme premennú o ktorej si myslíme, že spôsobuje heteroskedasticitu - pre malé hodnoty tejto premennej je disperzia náhodných chýb malá, pre veľké hodnoty je disperzia veľká (alebo naopak). - Cvičenia z ekonometrie  
  • Heteroskedasticita spôsobuje, že odhady parametrov ekonometrického modelu získané metódou najmenších štvorcov, strácajú niektoré optimálne vlastnosti. - Ekonometria prednáška 5 - SPU  
Veronika Kvietkova
Slovakia
Local time: 02:07
Native speaker of: Native in SlovakSlovak
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