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Multivariate Generated Regressors and Heteroskedasticity in a Cross-Section: an Application to the Value of Neighborhood Schools

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Author Info

  • Hayes, K.J.
  • Hirschberg, J.
  • Lye, J.
  • Taylor, L.L.

Abstract

This paper describes the estimation and testing of regression models that include multivariate generated or computed regressors in the presence of heteroskedasticity in the cross-section case. Heteroskedasticity is often a problem in cross-section data and the usual tests for its presence can not be applied when the heteroskedasticity is in some measure due to computed regressors. We investigate the case of multiple computed regressors that are generated from the results of a system of seemingly unrelated regressions and we proposed a method to test and correct the covariance estimates for unknown heteroskedasticity in the errors of the model of interest. In contrast to most time-series applications, we allow for the observation in the first step regression to be different from those for the second stage regression.

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Bibliographic Info

Paper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 692.

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Length: 33 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:mlb:wpaper:692

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Postal: Department of Economics, The University of Melbourne, 5th Floor, Economics and Commerce Building, Victoria, 3010, Australia
Phone: +61 3 8344 5289
Fax: +61 3 8344 6899
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Web page: http://www.economics.unimelb.edu.au
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Related research

Keywords: ESTIMATOR ; REGRESSION ANALYSIS ; TESTING ; ECONOMETRICS;

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Cited by:
  1. Jenny N. Lye & Joseph G. Hirschberg, 2002. "Tests of Inference for Dummy Variables in Regressions with Logarithmic Transformed Dependent Variables," Department of Economics - Working Papers Series 852, The University of Melbourne.

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