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| Strange econometric result | |
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| Topic Started: Nov 16 2007, 06:09 PM (425 Views) | |
| Paradise | Nov 16 2007, 06:09 PM Post #1 |
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Resident bureaucrat
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Am I the only one with skills in econometrics here? I'm getting odd results in a heteroskedasticity test and I don't know how to deal with it :unsure: I'd need a second advice. |
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| Rhadamanthus | Nov 16 2007, 06:10 PM Post #2 |
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Legitimist
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Sorry Paradise, I have no knowledge about such things. |
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| Draxis | Nov 16 2007, 06:23 PM Post #3 |
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Captain
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I have no idea what you are talking about. So I will figure that simply, no, no I do not have skills in the region you require. |
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| Paradise | Nov 16 2007, 07:26 PM Post #4 |
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Resident bureaucrat
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I emailed my director about that. He should be able to give me the answer I seek. |
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| New Harumf | Nov 17 2007, 12:08 AM Post #5 |
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Bloodthirsty Unicorn
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Huh? I mean, seriously, Huh?? |
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| Paradise | Nov 17 2007, 12:15 AM Post #6 |
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Resident bureaucrat
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? |
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| New Harumf | Nov 17 2007, 12:17 AM Post #7 |
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Bloodthirsty Unicorn
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I was referring to "heteroskedasticity". Huh?? |
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| Paradise | Nov 17 2007, 12:32 AM Post #8 |
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Resident bureaucrat
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One of Gauss-Markov's hypothesis was that the error term of a linear regression was to be homoscedastic, that is it its variance had to be a constant. However, most of the time the error term variance is not a constant, it is a function of the independent variables. We then say that the error term is heteroskedastic. Assuming the error term is homoscedastic while it isn't will make the inference incorrect. That is why a heteroskedasticity-robust standard error was created. However, typically this standard error is larger than the typical ordinary least squares standard error, which leads to less precise results. Knowing if a model is homoskedastic or heteroskedastic is very important. So, I made this heteroskedasticity test for my HARCH (Heterogeneous AutoRegressive Conditional Heteroskedasticity) regression and I got very odd results. My Fischer statistic rejected null hypothesis of homoskedasticity, however, the p-values attributed to each coefficient were all insignificant. This is not supposed to happen. I should get at least one significant coefficient, otherwise, my F statistic would not reject the null hypothesis! That is VERY odd... |
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| Paradise | Nov 17 2007, 12:38 AM Post #9 |
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Resident bureaucrat
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Here's my test. Prob > F = 0.0000 means the model is globally significative. In other words, it means I can explain the error term variance by my independent variables, which means I have heteroskedasticity. However, if you look at the P>|t| column, you see that NONE of them are inferior to 0.100 which is the minimum to have significance on a 90% confidence interval. Weird isn't it?
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| Tristan da Cunha | Nov 17 2007, 01:14 AM Post #10 |
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Science and Industry
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Statistics is not my forte. I would say watching TV is my forte. |
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| NRE | Nov 17 2007, 11:14 AM Post #11 |
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Map Tsar and Southern Gentleman
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My brain hurts now, thanks Paradise :P j/k |
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| New Harumf | Nov 17 2007, 11:15 AM Post #12 |
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Bloodthirsty Unicorn
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Huh? You're making this up, right? |
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| Kasnyia | Nov 17 2007, 11:46 AM Post #13 |
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Chairman of the Bank
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Stop trying to make brain slushy, Paradise! :wacko: :blink: |
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| Paradise | Nov 17 2007, 12:29 PM Post #14 |
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Resident bureaucrat
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I don't know what to say. It is pretty simple for me :gnarkgnark: |
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| Kasnyia | Nov 17 2007, 01:16 PM Post #15 |
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Chairman of the Bank
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Yeah well, you stick to your bean countery and I'll stick to engineering and other mechanical stuff :D |
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| Nag Ehgoeg | Nov 17 2007, 02:47 PM Post #16 |
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The Devil's Advocate
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I know enough about economics to know that Carl Friedrich Gauss and Andrey Markov are real statitions and I can define homoscedasticity. I don't know nearly enough to understand Paradises table. Like... at all. :blink: So in short: nope, can't help you Paradise. |
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| Paradise | Nov 17 2007, 06:28 PM Post #17 |
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Resident bureaucrat
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Oh well. My director told me that multicollinearity between my regressors might be my problem. And well, he was right. Some of my independent variables are 94.35% correlated (this is VERY high) :o |
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| Catholic Europe | Nov 18 2007, 08:43 AM Post #18 |
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Spammer
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Am I tripping on acid or something? :wacko: |
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| New Harumf | Nov 18 2007, 10:32 AM Post #19 |
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Bloodthirsty Unicorn
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If so, CE, I got some of the same stuff, and its a really bad trip! :wacko: :blink: :cry: |
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| Catholic Europe | Nov 18 2007, 06:15 PM Post #20 |
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Spammer
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Yeah, I don't like it. Normally I get flying pink elephants.......not this time! :cry: |
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| Assassin | Nov 18 2007, 06:34 PM Post #21 |
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Field Marshal
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You prolly don't want to know what I got. :ph43r: |
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| flumes | Nov 20 2007, 05:23 PM Post #22 |
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CLEVELAND ROCKS!
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Someone remind me why I want to major in Business Econ??? :o :wacko: :unsure: |
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| Paradise | Nov 20 2007, 07:15 PM Post #23 |
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Resident bureaucrat
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You're a geek and you love maths? |
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| Paradise | Dec 3 2007, 02:48 PM Post #24 |
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Resident bureaucrat
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I'm so happy. I will probably finish my Master's research report this week! It will make about 60 pages B) By the end of this month, you will have to call me "Master" :P |
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| New Harumf | Dec 3 2007, 06:55 PM Post #25 |
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Bloodthirsty Unicorn
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Are you in a fraternity? Maybe the Betas? If so, we can call you a "Master Beta"! :lol: I'm already a "Master". Treat me with the respect I deserve! And my Master's Thesis was 110 pages long, with no formulas, spreadsheets or graphs to take up space! Plus, I wrote it on a typewriter, a manual typewriter, using white-out to correct mistakes - no word processors then! Anyway, congrats and I look forward to you teaching soon!! Also, didn't Andrei Markov do some work on optomizing baseball lineups for run productivity?? |
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9:07 AM Jul 11