Introductory Econometrics: A Modern Approach by Wooldridge Jeffrey

Author:Wooldridge, Jeffrey [Wooldridge, Jeffrey]
Language: zho
Format: epub
Publisher: South-Western
Published: 2010-01-25T06:00:00+00:00

Example 12.8

* * *

[Heteroskedasticity and the Efficient Markets Hypothesis]

In Example 11.4, we estimated the simple model

The EMH states that β1 = 0. When we tested this hypothesis using the data in NYSE.RAW, we obtained tβ1 = 1.55 with n = 689. With such a large sample, this is not much evidence against the EMH. Although the EMH states that the expected return given past observable information should be constant, it says nothing about the conditional variance. In fact, the Breusch-Pagan test for heteroskedasticity entails regressing the squared OLS residuals ût2 on returnt-1:

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