On Modeling Heteroskedasticity: The Student's t and Elliptical Linear Regression Models
This paper proposes a new approach to modeling heteroskedastidty which enables the modeler to utilize information conveyed by data plots in making informed decisions on the form and structure of heteroskedasticity. It extends the well-known normal/linear/homoskedastic models to a family of non-normal/linear/heteroskedastic models. The non-normality is kept within the bounds of the elliptically symmetric family of multivariate distributions (and in particular the Student's t distribution) that lead to several forms of heteroskedasticity, including quadratic and exponential functions of the conditioning variables. The choice of the latter family is motivated by the fact that it enables us to model some of the main sources of heteroskedasticity: “thicktails,” individual heterogeneity, and nonlinear dependence. A common feature of the proposed class of regression models is that the weak exogeneity assumption is inappropriate. The estimation of these models, without the weak exogeneity assumption, is discussed, and the results are illustrated by using cross-section data on charitable contributions.
Volume (Year): 10 (1994)
Issue (Month): 02 (June)
|Contact details of provider:|| Postal: |
Web page: http://journals.cambridge.org/jid_ECTEmail:
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:10:y:1994:i:02:p:286-315_00. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.