Weighted Least Squares in practice - feasible GLS - part 2

This video explains how we go about estimating Weighted Least Squares models in practice, by first of all estimating the functional form of the heteroscedasticity. This procedure overall is called feasible Generalised Least Squares. Check out https://ben-lambert.com/econometrics-... for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1...

• #howto_style
• #least_squares
• #generalized_least_squares
• #econometrics_field_of_study
• #fgls
• #feasible_generalised_least_squares
• #weighted_least_squares