Type author name/s here

Econometrics
Chapter heading
Heteroskedasticity
 HETEROSKEDASTICITY

+ b 2X
Y = b1

b1

X1 X2 X3 X4 X5 X

Asumpsi heteroskedastisitas.

1
 HETEROSKEDASTICITY

+ b 2X
Y = b1

b1

X1 X2 X3 X4 X5 X

4
 HETEROSKEDASTICITY

+ b 2X
Y = b1

b1

X1 X2 X3 X4 X5 X

Distribution term adalah sama untuk setiap observasi. Normal distributions menunjukkan
varian yang sama.

7
 HETEROSKEDASTICITY

+ b 2X
Y = b1

b1

X1 X2 X3 X4 X5 X

Expected value dari u setiap observasi adalah 0 dari distribusi normal.

6
 HETEROSKEDASTICITY

+ b 2X
Y = b1

b1

X1 X2 X3 X4 X5 X

Each observation is then potentially (before the sample is drawn) an equally reliable guide
to the location of the line Y = b1 + b2X.

9
 HETEROSKEDASTICITY

+ b 2X
Y = b1

b1

X1 X2 X3 X4 X5 X

Suatu observasi diambil sampel berada pada garisatau dekat garis.

10
 HETEROSKEDASTICITY

+ b 2X
Y = b1

b1

X1 X2 X3 X4 X5 X

kondisi yang lain, ada beberapa macam pola distribusi normal

11
 HETEROSKEDASTICITY

+ b 2X
Y = b1

b1

X1 X2 X3 X4 X5 X

12
 HETEROSKEDASTICITY

+ b 2X
Y = b1

b1

X1 X2 X3 X4 X5 X

The other is that OLS is an inefficient estimation technique. An alternative technique which
gives relatively high weight to the relatively low-variance observations should tend to yield
more accurate estimates.
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 HETEROSKEDASTICITY

1800000

1600000

1400000

1200000
Manufacturing

1000000

800000

600000

400000

200000

0
0 1000000 2000000 3000000 4000000 5000000 6000000 7000000 8000000
GDP

scatter diagram output manufacturing thd GDP.

16
 HETEROSKEDASTICITY

1800000

1600000
USA
1400000
Japan
1200000
Manufacturing

1000000

800000

600000

400000

200000

0
0 1000000 2000000 3000000 4000000 5000000 6000000 7000000 8000000
GDP

17
 HETEROSKEDASTICITY

300000

250000

200000
Manufacturing

150000

100000

50000

0
0 200000 400000 600000 800000 1000000 1200000 1400000
GDP

18
 HETEROSKEDASTICITY

300000

250000

200000
Manufacturing

South Korea
150000

100000

50000
Mexico
0
0 200000 400000 600000 800000 1000000 1200000 1400000
GDP

19
 HETEROSKEDASTICITY

300000

250000

200000
Manufacturing

150000

100000
Singapore
50000

Greece
0
0 200000 400000 600000 800000 1000000 1200000 1400000
GDP

21
 GOLDFELD–QUANDT TEST FOR HETEROSKEDASTICITY

+ b 2X
Y = b1

b1

X1 X2 X3 X4 X5 X

Kondition ini dikatakan heteroskedastic

1
 GOLDFELD–QUANDT TEST FOR HETEROSKEDASTICITY

+ b 2X
Y = b1

b1

X1 X2 X3 X4 X5 X

Type heteroskedastisitas digambarkan seperti di atas.

Standard deviation proporsional terhadap X.
3
 GOLDFELD–QUANDT TEST FOR HETEROSKEDASTICITY

300000

250000

200000
Manufacturing

150000

100000

50000

0
0 200000 400000 600000 800000 1000000 1200000 1400000
GDP

The Goldfeld–Quandt test adalah test untuk type heteroskedastisitas.

The sample dibagi 3 interval, 3/8 observations nilai terendah dri varibel X, 3/8 observasi
terbesar, dan 1/4 ditengah.
4
 GOLDFELD–QUANDT TEST FOR HETEROSKEDASTICITY

300000

250000

200000
Manufacturing

150000

100000

50000

0
0 200000 400000 600000 800000 1000000 1200000 1400000
GDP

28 observations, Terendah, tengah dan tertinggi 11, 6, and 11 observations

5
 GOLDFELD–QUANDT TEST FOR HETEROSKEDASTICITY

300000

250000

200000
Manufacturing

150000

100000

50000

0
0 200000 400000 600000 800000 1000000 1200000 1400000
GDP

observasi terbesar.

6
 GOLDFELD–QUANDT TEST FOR HETEROSKEDASTICITY

300000

250000
RSS1 = 157,000,000
200000
Manufacturing

150000

100000

RSS2 = 13,518,000,000
50000

0
0 200000 400000 600000 800000 1000000 1200000 1400000
GDP

8
 GOLDFELD–QUANDT TEST FOR HETEROSKEDASTICITY

300000

250000
RSS1 = 157,000,000
RSS 2  n2  k  13,518,000,000 9
F  n2  k , n1  k  
200000
Manufacturing

  86.1
RSS1  n1  k  157,000,000 9
150000
F  9,9 crit ,0.1%  10.1
100000

RSS2 = 13,518,000,000
50000

0
0 200000 400000 600000 800000 1000000 1200000 1400000
GDP

11
 GOLDFELD–QUANDT TEST FOR HETEROSKEDASTICITY

300000

250000
RSS1 = 157,000,000
RSS 2  n2  k  13,518,000,000 9
F  n2  k , n1  k  
200000
Manufacturing

  86.1
RSS1  n1  k  157,000,000 9
150000
F  9,9 crit ,0.1%  10.1
100000

RSS2 = 13,518,000,000
50000

0
0 200000 400000 600000 800000 1000000 1200000 1400000
GDP

12