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第六章 异方差 PowerPoint PPT Presentation


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第六章 异方差. Heteroskedasticity. 本章主要内容. 第一节 异方差的概念 第二节 异方差的后果 第三节 异方差的检验 第四节 异方差的处理. 第一节 异方差的概念. 同方差性 假定的意义是指每个  i 围绕其零平均值的变差,并不随解释变量 X 的变化而变化,不论解释变量观测值是大还是小,每个  i 的方差保持相同,即  i 2 = 常数 在 异方差 的情况下,  i 2 已不是常数,它随 X 的变化而变化,即  i 2 =f(X i ). 异方差一般可归结为三种类型:

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第六章 异方差

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Heteroskedasticity


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  • iXi

    i2 =

  • i2X

    i2 =f(Xi)


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(1) i2X

(2) i2X;

(3) i2X


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  • Y X


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()


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  • Yi=0+1Xi+i

  • YiXii

i

iXi


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  • Ci= 0+1Yi+i

  • n


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  • Yi=Ai1Ki2Li3eI


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  • 1.

  • 2. t

  • 3.


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1.


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  • (1)

    Y = + X +

    OLSb


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  • (2)


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2. t


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3.

  • 2

  • OLSY


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  • 1.

  • 2. -

  • 3.

  • 4.


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1.

  • i e6.2a

  • 6.2b


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6.2

(a)

(b)


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  • 6.2cd

  • 6.2ef


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6.2

(c)

(d)


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6.2

(e)

(f)


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2. -

  • -

    • XiXiXi


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  • Xi

  • 1/41/3


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  • F

    • c

    • F F


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  • 1 F FF >FF

  • F

  • -


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3.

  • -

  • -

  • Gleiser--


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6.3


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  • l 6.3


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4.

yi=b0+b1x1i+b2x2i+i

White

1e2i

2

3R2


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4nR22(q)

q(q=5)

5nR2>2(q)


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(WLS)

i

i:

iWeighted Least SquareWLS


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6.1


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