異方差及其處理ppt課件(參考版)
2025-01-17 16:26本頁面
【正文】 21 2?. . . ( )( 2 )iiee s enx? ????White Robust Standard Errors ? For OLS with an intercept and a single explanator, , we have derived the formula for the : ? However, we really used the homoskedasticity assumption only to simplify this formula. Y i ? ? 0 ? ? 1 X i ? ? iWhite Robust Standard Errors ? If we do not impose homoskedasticity, we get a slightly more plicated formula: 221 22?. . . ( )()W hi te iiixee s ex????OLS Estimates of the Rent–Ine Relationship with Robust Standard Errors 本例的戈里瑟檢驗(yàn) (Glezser test) 形式 1 形式 2 形式 3 形式 4 Constant () () 1646633 () 2372387. () X () () () +10 () 。()i i iiiiY X uEuVar u d???? ? ???011 ???? ? ?i i ii i i iYXd d d dGLS: Transformed Data 0????????iiE d ? ? 2 2 22211? ? ? ??? ? ? ?????iiii i iV a r V a r dd d d1, ( , ) 0???????????? f ix e d a cro ss sa m p le s.jiiji j i jiiC ov C ovd d d dXd0 0 1 1? ? ?? ? ?iiY X X? ?012 2 22210111, ( , ) 0?????? ? ?????? ? ??????????? ? ??????????????? f
教學(xué)課件相關(guān)推薦
鄂ICP備17016276號-1