(EViews10): Heteroskedasticity and Weighted (Generalised) Least Squares

[@CrunchEconometrix]

I want to appreciate all my subscribers from across the globe (Africa, Asia, Europe, the Middle East, The Americas, and The Pacific). Thank you all for your support. I am encouraged by your comments, questions, likes and critiques. They keep me focussed and poised to do better. I will continue to contribute my little quota such that every student and researcher will independently analyse his/her data. My teaching approach is very practical. I adopt a do-as-I-do style. Many thanks to those who have supported me by telling others. Once again, CrunchEconometrix loves to teach, support my Channel with your subscription, likes, feedbacks and sharing my videos with your cohorts. Please do not keep me to yourself (lol) inform your friends, students and academic networks about my Channel. Tell them CrunchEconometrix breaks down the econometric jargons and teaches with simplicity. Follow me on Facebook, Twitter and Reddit. Love you all, greatly!!! 

[@oluwaseunmuraina9637]

Thank you for these videos. I am currently working on my dissertation, and they have been very helpful. I realise this does not apply with panel dataset. How do I remove serial correlation and heteroskedasticity from my panel models?

[@CrunchEconometrix]

@@oluwaseunmuraina9637 Better to estimate your panel data with techniques that correct for those.

[@oluwaseunmuraina9637]

@@CrunchEconometrix Many thanks for your response. Which techniques are appropriate? Do you mean the Fixed/random effect models?

[@CrunchEconometrix]

@@oluwaseunmuraina9637 Yes, use the robust option. GMM works well too.

[@jemeka26]

Thank you so much for your teaching

[@CrunchEconometrix]

U're welcome 🙏

[@omkumar4717]

your lectures are very helful, I sincerely appreciate you.

[@CrunchEconometrix]

Hi Om, thanks for the encouraging feedback. Deeply appreciated.

[@Withf_PhD]

Thank you for your contributions to econometrics. When I estimate the model with EKKY and look at the diagnostic tests, I encounter the autocorrelation problem. I tried autoregressive models to solve this. The problem persists. Will it help if I try it with GLS/GLM? In the final stage, I will perform diagnostic tests again. There is no heteroscedasticity problem in your application, but the coefficients are statistically insignificant. Why did you ignore the coefficients? I wanted to learn this. Thanks, Kind regards.

[@CrunchEconometrix]

Estimating models is not fool-proof. Some researchers put more weight on significant coefficients than getting good diagnostics and vice versa.

[@adelekegbolagade3439]

This is great and I can relate with the explanation

[@aminaahmedalibelal5676]

That's what i was looking for, i did the same for my panel data just changed into fixed effect model and choose the cross section weights. Should i have to test the Heteroskedasticity again? coz i did not find how.... i keep one receiving (Procedure unavailable for equations estimated with iterated weights) thanx in advanced.

[@CrunchEconometrix]

It should work with pooled data.

[@maheshramachandran5922]

👍 I suggest if you can run this exercise in Stata.. However to a beginner in facing with hetrosckedacity it's appreciable to get an good understanding how to deal with this. 🙏

[@CrunchEconometrix]

Wow, Mahesh. Thanks😊

[@BiancaYang-k7s]

I wander does it has constant variance after weighted dependent data? could we consider its as classic linear model after weighted both denpendent data and independent data,?

[@CrunchEconometrix]

Hi Bianca, the "weight" corrects for heteroscedasticity.

[@hzrkskn3996]

thanks a lot

[@CrunchEconometrix]

You are most welcome, Sir 😊

[@leahchalamba3401]

This is very helpful.

[@CrunchEconometrix]

Thanks for the positive feedback, Leah!!!

[@User-12365]

Wow thank you I am thankful From Germany

[@CrunchEconometrix]

You are welcome!🥰

[@TheLittleTurtle-tu1vy]

Did you use the panel data? or Cross section? I used a panel data, but I don't know how to solve heteroskedasticity. I tried transformation using inverse log and also natural log, yet It doesn't solve the heteroskedasticity problem.

[@CrunchEconometrix]

Hi Muhd, I used cross-sectional data.

[@waqasahmed208]

plz, exercise white test about panel data to deduct heteroskedasticity, by equation manually

[@CrunchEconometrix]

Hi Waqas, if that is computed by the software why do same manually?

[@bernadette2712]

Thank you, this is so helpful!

[@CrunchEconometrix]

Thanks Bernadette, for the encouraging words and feedback. Deeply appreciated! Please may I know from where (location) you are reaching me?

[@bernadette2712]

CrunchEconometrix I am doing a masters in econometrics and without your channel i wouldn’t have survived. it is the best. I follow you from Panama !!!

[@bernadette2712]

May I ask you to please explain the Engel Granger test ? I had a hard time finding an explanation for cointegration uning this test. Thank you again ! 💓

[@CrunchEconometrix]

Sorry girl, I don't use E-G :) never used it.

[@bellisma77]

Is it possible with Panel data? I am trying but I couldn’t

[@CrunchEconometrix]

It should work with pooled data.

[@osamamostafa4611]

can i estimate garch model or heteroscedasticity by GLS If i have one variable ( index of stocks ) and how??

[@CrunchEconometrix]

Using GARCH or GLS will depend on your study objective(s).

[@christinedanitha4871]

Thank Youu ❣️

[@CrunchEconometrix]

You’re welcome, Christine 😊!

[@xinrushen7495]

Thanks for your video. Can we plot residuals against a variable that does not enter into the regression model to judge the existence of heterodasticity?

[@CrunchEconometrix]

Hi Xinru, I am not sure how that approach will test for heteroscedasticity.

[@xinrushen7495]

@@CrunchEconometrix Okay. Thanks for your clear reply!:):):)

[@ibrahimniftiyev]

Thank you very much. I would like to ask a question: what does d.f. Adjustment do? What if we uncheck that option in OLS regression? Will our results still be valid? Thank you beforehand.

[@CrunchEconometrix]

Hi Ibrahim, thanks for the encouraging feedback. Deeply appreciated! I have never really investigated that. Why not try it out and compare your results?

[@asmafiaz6590]

Maam can you help regarding estimations of markov switching model

[@CrunchEconometrix]

Hi Asma, no idea at the moment. But I have noted your suggestion. I will find the time to learn it then create easy-to-understand videos.

[@asmafiaz6590]

@@CrunchEconometrix Thanks maam now I learn it maam thanks alot

[@davidbunao2765]

What if I only have a single regressor and it is already in the log form and there is still heteroskedasticity. How do i remove it?

[@CrunchEconometrix]

Use the robust option.

[@menedro3957]

Thanks for your video. I resolved many problems about my panel. So thank you for your work. I have a question. Is there a video in which you show us GLS regression in STATA? I saw a video about gls regression in eviews but not in stata. Thank you for your time.

[@CrunchEconometrix]

This video explains your query.

[@ahmedtrabelsi3589]

i tried all methods but always there is heteroskedasticity with p (0.000) normality too (0.000) correlation too (0.000) . Ps : i have 9 independent variables with 1300 observations for each one . pls help me what i have to do ??

[@CrunchEconometrix]

Hi Ahmed, are you using cross-sectional data?

[@ahmedtrabelsi3589]

time series data : bitcoin ethereum gold oil ....

[@CrunchEconometrix]

@@ahmedtrabelsi3589 I guess they are high-frequency variables. Besides, having 9 of such is too much. One or more could be driving heteroskedasticity.

[@simonleroux6518]

@@ahmedtrabelsi3589 I would just like to please know how you were able to solve this issue as I am experiencing similar?

[@CrunchEconometrix]

What issue?