Multivariate Generated Regressors and Heteroskedasticity in a Cross-Section: an Application to the Value of Neighborhood Schools
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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1999|
|Contact details of provider:|| Postal: Department of Economics, The University of Melbourne, 4th Floor, FBE Building, Level 4, 111 Barry Street. Victoria, 3010, Australia|
Phone: +61 3 8344 5355
Fax: +61 3 8344 6899
Web page: http://fbe.unimelb.edu.au/economics
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:mlb:wpaper:692. 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: (Katherine Perez)
If references are entirely missing, you can add them using this form.