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- Tue Jan 31, 2012 10:13 pm
- Forum: Econometric Discussions
- Topic: Dummy Variable in 3FGLS
- Replies: 0
- Views: 1503
Dummy Variable in 3FGLS
I am working a cross section data. I am planning to follow 3-FGLS technique to handle the problem of heteroscedasticity. So, in the first step I am running a simple OLS and achieving the error terms. In the 2nd step, I am regressing the squared error terms from the 1st step on the same independent v...