MENGATASI MASALAH HETEROSKEDASTISITAS DENGAN MENGASUMSIKAN VARIANS VARIABEL GANGGUANNYA PROPORSIONAL DENGAN X_i^2 DAN [E(Y_i)]^2

MENGATASI MASALAH HETEROSKEDASTISITAS DENGAN MENGASUMSIKAN VARIANS VARIABEL GANGGUANNYA PROPORSIONAL DENGAN X_i^2 DAN [E(Y_i)]^2

The volatilities of time series data often experience heteroscedastic problems. Heteroscedasticity is a nuisance variable in the regression equation having a variance that is not constant. Therefore, methods to analyze the problem of heteroscedasticity are needed. This study aims to demonstrate how...

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Bibliographic Details
Main Authors: MADE ADI GUNAWAN, LUH PUTU IDA HARINI, MADE ASIH
Format: Article
Language:English
Published: Universitas Udayana 2014-01-01
Series:E-Jurnal Matematika
Subjects:
Arbitrage Pricing Theory
Granger causality test
optimal lag test
Portmanteau test
stationary test
Vector Autoregression
Online Access:https://ojs.unud.ac.id/index.php/mtk/article/view/9603
Description
Summary:The volatilities of time series data often experience heteroscedastic problems. Heteroscedasticity is a nuisance variable in the regression equation having a variance that is not constant. Therefore, methods to analyze the problem of heteroscedasticity are needed. This study aims to demonstrate how to eliminate the problem of heteroscedasticity. The method used is, GoldFeld-Quandt. As for eliminating the problem of heteroscedasticity by assuming the variance of interference variables proportional to E(Yi)2
ISSN:2303-1751

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