Heteroscedasticity on Parameter Inference

Not only does the choice of the variance function influence the structural parameters themselves, the variance function also influences the precision of the estimates. Also, although OLS estimates are unbiased in the presence of heteroscedasticity, the usual tests of significance are generally inappropriate and their use can lead 

If the errors are homoscedastic and V is a diagonal matrix whose elements are a2, then Eqs. (4.10) and 

Three additional heteroscedastic consistent estimators for have been reported over the years. The simplest was reported by Hinkley (1977) 

MacKinnon and White (1985) suggested that the influence a residual has on the parameter estimates needs to be considered and that two other estimates of might be 

the precision of the parameter estimates is influenced by both the variability in x and Y. 

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