Use the data set 401 KSUBS for this exercise. (i) Using OLS, estimate a linear probability model for e 401 k, using as explanatory variables inc, inc ^2, age, a g e^2, and male. Obtain both the usual OLS standard errors and the heteroskedasticity- robust versions. Are there any important differences? (ii) In the special case of the White test for heteroskedasticity, where we regress the squared OLS residuals on a quadratic in the OLS fitted values, ûi^2 on ŷi, ŷi^2, i=1, …, n, argue that the pro
Use the data set 401 KSUBS for this exercise. (i) Using OLS, estimate …
Feb 11, 2024
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SOLVED: When the error terms are heteroskedastic, OLS is inefficient. Derive an efficient estimator for this situation. Show that the difference between the precision matrix of this estimator and the precision of heteroskedasticity-robust OLS is positive semidefinite. [Sections 5, 7.2, Exercise 7.2]
SOLVED: When the error terms are heteroskedastic, OLS is inefficient…
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