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- Tue Mar 10, 2020 7:05 am
- Forum: Econometric Discussions
- Topic: Testing for multicollinearity in presence of heteroskedsticity
- Replies: 0
- Views: 10014
Testing for multicollinearity in presence of heteroskedsticity
Hi everyone! My question concerns use of VIF test for multicolinearity diagnostics when the model suffers from heteroskedasticity. I want to use HAC correction to account for heteroskedasticity in my model. However VIF gives my starkly different results depending if I run it after estimating the mod...