Suppose That The Individuals Are Divided Into Groups J 1 J Each With N Observations Respectively And We Only Ob 1 (13.36 KiB) Viewed 16 times
Suppose That The Individuals Are Divided Into Groups J 1 J Each With N Observations Respectively And We Only Ob 2 (17.29 KiB) Viewed 16 times
Suppose that the individuals are divided into groups j = 1,..., J each with n, observations respectively, and we only observe the reported group means y, and ;. The model becomes ÿj = Baj + üz, (2) with error terms u, = 1, where u indicates error term u, of individual i belonging to group j.
3(e) Derive an expression for the standard error of the OLS estimator for 3 in terms of zij and o, where ₁ indicates , of individual i belonging to group j. (6 marks) 3(f) What are the consequences of heteroskedasticity in the errors for the OLS estimator of the param- eters, their usual OLS standard errors reported by statistical packages, and the standard t-test and F-test for these parameters? (4 marks)
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