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A Trick With Regression Residuals

Wed, 22 Feb 2012 14:49:15 GMT

Suppose that you've estimated an econometric model and you want to test the residuals for serial independence, or perhaps for homoskedasticity. The trouble is that for the model and estimator that you;ve used, your favourite computer package doesn't provide such tests. Is there a quick way of "tricking" the package into giving you the information that you want? Yes, there is. I'll show you how, by looking at a situation that arises when using EViews. Similar examples occur with...

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