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In Stata, the command newey produces Newey–West standard errors for coefficients estimated by OLS regression. [13] In MATLAB, the command hac in the Econometrics toolbox produces the Newey–West estimator (among others). [14] In Python, the statsmodels [15] module includes functions for the covariance matrix using Newey–West.
The topic of heteroskedasticity-consistent (HC) standard errors arises in statistics and econometrics in the context of linear regression and time series analysis. These are also known as heteroskedasticity-robust standard errors (or simply robust standard errors), Eicker–Huber–White standard errors (also Huber–White standard errors or ...
If one runs a regression on some data, then the deviations of the dependent variable observations from the fitted function are the residuals. If the linear model is applicable, a scatterplot of residuals plotted against the independent variable should be random about zero with no trend to the residuals. [ 5 ]
Plot with random data showing homoscedasticity: at each value of x, the y -value of the dots has about the same variance. Plot with random data showing heteroscedasticity: The variance of the y -values of the dots increases with increasing values of x. In statistics, a sequence of random variables is homoscedastic (/ ˌhoʊmoʊskəˈdæstɪk ...
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A confidence band is used in statistical analysis to represent the uncertainty in an estimate of a curve or function based on limited or noisy data. Similarly, a prediction band is used to represent the uncertainty about the value of a new data-point on the curve, but subject to noise. Confidence and prediction bands are often used as part of ...
Linear errors-in-variables models were studied first, probably because linear models were so widely used and they are easier than non-linear ones. Unlike standard least squares regression (OLS), extending errors in variables regression (EiV) from the simple to the multivariable case is not straightforward, unless one treats all variables in the same way i.e. assume equal reliability.
In Stata, one specifies the full regression, and then enters the command estat hettest followed by all independent variables. [9] [10] In SAS, Breusch–Pagan can be obtained using the Proc Model option. In Python, there is a method het_breuschpagan in statsmodels.stats.diagnostic (the statsmodels package) for Breusch–Pagan test. [11]