HETERO
dependent variables
exogenous variables </ options > ;
The HETERO statement specifies variables that are related to the heteroscedasticity of the residuals and the way these variables are used to model the error variance. The heteroscedastic regression model supported by PROC QLIM is
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See the section Heteroscedasticity for more details on the specification of functional forms.
You can use the HETERO statement within a Bayesian framework, but you should do this carefully because convergence can be slower than in the homoscedastic case. For more information see Priors for Heteroscedastic Models.