TY - JOUR
AU - Leamer,Edward E.
TI - Heteroscedasticity Diagnostics Based on "Corrected" Standard Errors
JF - National Bureau of Economic Research Technical Working Paper Series
VL - No. 94
PY - 1991
Y2 - January 1991
DO - 10.3386/t0094
UR - http://www.nber.org/papers/t0094
L1 - http://www.nber.org/papers/t0094.pdf
N1 - Author contact info:
Edward E. Leamer
John E. Anderson Graduate School of Management
UCLA
Box 951481
Los Angeles, CA 90095-1481
Tel: 310/206-1452
Fax: 310/825-4011
E-Mail: edward.leamer@anderson.ucla.edu
AB - Weights are found for weighted least squares estimates such that a selected coefficient (a) changes by one standard deviation or (b) changes in sign. The length of the vector of weight changes is equal to the usual OLS standard error divided by the White-corrected standard errors. Thus the White-corrected standard errors can help decide if it is necessary to adjust the location of the confidence sets to correct for heteroscedasticity. The vector of weight changes is similar to the effect of omitting observations, one at a time. The sensitivity diagnostics of Belsley, Kuh and Welsch are therefore linked with heteroscedasticity issues.
ER -