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Tutorial para la estimación de un modelo con presencia de heterocedasticidad en EasyReg

Author

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  • Julio César Alonso

Abstract

Este documento presenta una breve introducción a tres pruebas de heteroscedasticidad (Golfeld y Quandt, Breush-Pagan (1979) y White (1980)) empleando el paquete econométrico gratuito EasyReg. Así mismo se presenta la manera de estimar la Matriz de Varianzas y Covarianzas y t-calculados consistente de White. Finalmente, se discute como se pueden comprobar hipótesis que implican combinaciones lineales de los parámetros empleando la corrección de White (1980). Este documento está dirigido principalmente a estudiantes de pregrado de un curso de econometría o cualquier lector con conocimientos básicos del modelo de regresión múltiple.

Suggested Citation

  • Julio César Alonso, 2008. "Tutorial para la estimación de un modelo con presencia de heterocedasticidad en EasyReg," Apuntes de Economía 9090, Universidad Icesi.
  • Handle: RePEc:col:000131:009090
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