EC 421 UO Heteroskedasticity Consistency & Introduction to Econometrics Discussion
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Heteroskedasticity
1. We are interested in using OLS to estimate the modelwhere is a categorical variable that takes the values , , or .Suppose that we know and . We do not know , i.e.,for some unknown parameter .1a. What value must take for our model to be homoskedastic?1b. If , is OLS still unbiased? Is it still the most efcient linear estimator? Explain your answer.1c. Goldfeld-Quandt In order to test whether the data we will use to estimate arehomoskedastic/heteroskedastic, we will run a Goldfeld-Quandt test
