👉 Heteroscedasticity is a statistical concept in econometrics that describes how the variance of an estimator depends on the distribution of the data used for estimation. It arises when there are multiple sources of variability in the data, each affecting the estimate differently. This can lead to biased or inconsistent estimators and may not be robust to outliers or measurement errors.
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What is the definition of Heteroscedasticity? 🙋
👉 Heteroscedasticity is a statistical property of a random variable that describes how its distribution is affected by the presence or absence of other variables in the same dataset. This means that there are two types of variation in the data, one being constant and one being nonconstant. In heteroscedasticity, the variance of the error terms (the residuals) is not constant across different observations.
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