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| ## page was renamed from Econometrics/Homoskedasticity = Homoskedasticity = '''Homoskedasticity''' means that the variance of the error term is constant and not correlated to any predictors. <<TableOfContents>> ---- == Meaning == Mathematically, homoskedasticity and [[Econometrics/Exogeneity|exogeneity]] together can be expressed as: {{attachment:exo.svg}} 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 opposite condition is '''heteroscedasticity'''. It can also be useful to express exogeneity as a [[Statistics/ConditionalExpectations|conditional expectation]] like: {{attachment:cond.svg}} ---- CategoryRicottone |
