| 异方差回归中的广义方差比检验 |
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| 引用本文： | 田茂再,何灿芝.异方差回归中的广义方差比检验[J].经济数学,2003,20(2):52-61. |
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| 作者姓名： | 田茂再 何灿芝 |
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| 作者单位： | 1. 中国科学院数学与系统科学研究院,北京,100080
2. 湖南大学数学与计量经济学院,湖南,长沙,410082 |
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| 摘 要： | 在同方差假设之下,线性模型在回归分析的理论与应用方面起着突出的作用,很受许多研究工作者的青睐.然而,回归模型中同方差性这一标准假设不一定总是成立的.因此我们考虑了用一类基于似残差的方法来检验异方差情形下线性模型拟合观测数据的情况.本文既给出了大量的模拟,又给出了实际数据作为应用的例子.效果都很好.
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| 关 键 词： | 异方差性 同方差性 拟残差 平均方差估计(AVE) 广义方差比检验 |
A GENERALIZED VARIANCE-RATIO TEST FOR A HETEROSKEDASTIC REGRESSION |
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| Abstract.A GENERALIZED VARIANCE-RATIO TEST FOR A HETEROSKEDASTIC REGRESSION[J].Mathematics in Economics,2003,20(2):52-61. |
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| Authors: | Abstract |
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| Abstract: | It is well known that under the assumption of homoskedasticity linear models have played a prominent role in the theory and practice of regression analysis, so they are attractive for many researchers. However, the standard assumption of homeoskedastcity for regression model is not always true, therefore, we consider a quasi residual based method that is used to test how well such linear model with heteroskedasticity fit the observed data. The developed method is illustrated by using a dataset on the electricity usage in an all electric home for 55 months. Simulation study is also presented to illustrate the P value of test and performs well. |
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| Keywords: | Heteroskedasticity homoskedastcity quasi residual average variance estimator(AVE) generalized variance ratio test |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
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