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| '''Homoskedasticity''' means that the variance of the error term is constant and not correlated to any treatment or control variable. | '''Homoskedasticity''' means that the variance of the error term is constant and not correlated to any predictors. |
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| == Meaning == | == Description == |
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| Mathematically, homoskedasticity and [[Econometrics/Exogeneity|exogeneity]] together can be expressed as: | Mathematically, homoskedasticity and [[Statistics/Exogeneity|exogeneity]] together can be expressed as: |
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| The full set of variables is independently and normally distributed about 0. The covariance matrix is fully expressed as the [[LinearAlgebra/SpecialMatrices#Diagonal_Matrices|diagonal matrix]] of each term's variance. | The full set of variables is independently and normally distributed about 0. The [[Statistics/CovarianceMatrices|covariance matrix]] is fully specified as the [[LinearAlgebra/SpecialMatrices#Diagonal_Matrices|diagonal matrix]] of variances. |
Homoskedasticity
Homoskedasticity means that the variance of the error term is constant and not correlated to any predictors.
Contents
Description
Mathematically, homoskedasticity and exogeneity together can be expressed as:
The full set of variables is independently and normally distributed about 0. The covariance matrix is fully specified as the diagonal matrix of variances.
The opposite condition is heteroscedasticity.
It can also be useful to express exogeneity as a conditional expectation like:
