HETEROSCEDASTICITY WHAT HAPPENS IF THE ERROR VARIANCE IS

REVIEW QUESTIONS 1. What is the nature of heteroscedasticity? 2. What are its consequences?

THE NATURE OF HETEROSCEDASTICITY 3/3/2021 3

SEVERAL REASONS WHY THE VARIANCES OF UI MAY BE VARIABLE… 1. Following the error-learning

! Note that the problem of heteroscedasticity is likely to be more common in

Perhatikan angka kompensasi di tiap industry… 3/3/2021 10

DETECTION OF HETEROSCEDASTICITY Informal method Nature of problem Graphical method Park test TEST OF

PARK TEST Park formalizes the graphical method by suggesting that σi 2 is some

WHITE’S GENERAL HETEROSCEDASTICITY TEST 3/3/2021 20

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HETEROSCEDASTICITY: WHAT HAPPENS IF THE ERROR VARIANCE IS NONCONSTANT? Ekonometrika - Ekonomi Islam

REVIEW QUESTIONS 1. What is the nature of heteroscedasticity? 2. What are its consequences? 3. How does one detect it? 4. What are the remedial measures? 3/3/2021 2

THE NATURE OF HETEROSCEDASTICITY 3/3/2021 3

LIHAT GAMBAR BERIKUT 3/3/2021 4

LANJUT 3/3/2021 5

SEVERAL REASONS WHY THE VARIANCES OF UI MAY BE VARIABLE… 1. Following the error-learning models, as people learn, their errors of behavior become smaller over time. 2. As incomes grow, people have more discretionary income and hence more scope for choice about the disposition of their income. 3. As data collecting techniques improve, variance is likely to decrease. 4. Heteroscedasticity can also arise as a result of the presence of outliers. 5. Another source of heteroscedasticity is skewness 6. Other sources of heteroscedasticity: As David Hendry notes, heteroscedasticity can also arise because of (1) incorrect data transformation (e. g. , ratio or first difference transformations) and (2) incorrect functional form (e. g. , linear versus log–linear models). 3/3/2021 6

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! Note that the problem of heteroscedasticity is likely to be more common in crosssectional than in time series data. Why ? 3/3/2021 9

Perhatikan angka kompensasi di tiap industry… 3/3/2021 10

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DETECTION OF HETEROSCEDASTICITY Informal method Nature of problem Graphical method Park test TEST OF HETERO Glejser test Spearman test Formal method Goldfelt test Breusch-Pagan test 3/3/2021 White test 12

GRAPHICAL METHOD 3/3/2021 13

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PARK TEST Park formalizes the graphical method by suggesting that σi 2 is some function of the explanatory variable Xi. 3/3/2021 15

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CONTOH UJI PARK 3/3/2021 17

GLEJSER TEST 3/3/2021 18

CONTOH GLEJSER TEST 3/3/2021 19

WHITE’S GENERAL HETEROSCEDASTICITY TEST 3/3/2021 20

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Stop !!!! 3/3/2021 22

TARIK NAFAS PANJANG… 3/3/2021 23

KITA MULAI LAGI. . . 3/3/2021 24

REMEDIAL MEASURES 3/3/2021 25

STOP SAMPAI DISINI…. . !!! 3/3/2021 26