Explanation: the matrix Omega is a variance-covariance matrix. The diagonal terms are variances (here they are time-dependent/heteroskedastic), and the off-diagonal terms are covariances. Time-series data where the off-diagonal terms are non-zero is said to be serially correlated.
Explanation: the matrix Omega is a variance-covariance matrix. The diagonal terms are variances (here they are time-dependent/heteroskedastic), and the off-diagonal terms are covariances. Time-series data where the off-diagonal terms are non-zero is said to be serially correlated.
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