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- Mon Mar 17, 2014 12:32 pm
- Forum: Econometric Discussions
- Topic: removing heteroscedasticity in OLS estimation
- Replies: 0
- Views: 1720
removing heteroscedasticity in OLS estimation
Hi, I have one question: Is it possible remove heteroscedasticity by including lags of residuals in OLS????? I mean this: R_(it )= α_(i )+β_i R_(mt )+ρ_i ε_(i,t -1 )+ u_(it ) where: ε_(i,t -1) is a residual of equity i in the period t-1, ρ_i is the coefficient residual of the previous period and u_(...