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Help,some question on econometrics

Help,some question on econometrics# Economics - 经济

e*e2001-02-25 08:02

1 楼

(1)What's heteroskedastic linear regression? if define
ln(sigma)=x'b, what does b represent? How does the result
compare to OLS?
(2)in estimating a conditional choice model,how can we check
the convergence of the maximization algorithm? How can we
derive analytically the elasticity corresponding to any one
of the independence variable?
Insights are very much appreciated. Please also recommend
some textbooks where these problems are explained in length.
Thanks a lot.

J*Y2001-02-25 08:02

2 楼

1. Heteroskedastic linear regression means that the random terms for each
observation are not iid. They are still indepenpendent but with different
variance. Does sigma here mean variance of random term? If it is true,
we just use ln(sigma)=x'b to estimate the var-cov matrix first, then use
it to do GLS. b is just parameter to decide variance. Taking log for sigma
here is just to transfrom dependent variable to normal distribution, or we can
say we assum sigma is log-normal distributed here. The

【在 e******e 的大作中提到】

: (1)What's heteroskedastic linear regression? if define
: ln(sigma)=x'b, what does b represent? How does the result
: compare to OLS?
: (2)in estimating a conditional choice model,how can we check
: the convergence of the maximization algorithm? How can we
: derive analytically the elasticity corresponding to any one
: of the independence variable?
: Insights are very much appreciated. Please also recommend
: some textbooks where these problems are explained in length.
: Thanks a lot.