第9章 异方差问题检验与修正ppt课件.ppt

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1、第9章异方差：检验与修正Heteroskedasticity:testandcorrectionContentsWhat’sheteroskedasticity?Whyworryaboutheteroskedasticity?Howtotesttheheteroskedasticity?Correctionsforheteroskedasticity?What’sheteroskedasticity?WhatisHeteroskedasticity?Recalltheassumptionofhomosk

2、edasticityimpliedthatconditionalontheexplanatoryvariables,thevarianceoftheunobservederror,u,wasconstantvar(u

3、X)=s2(homoskedasticity)Ifthisisnottrue,thatisifthevarianceofuisdifferentfordifferentvaluesoftheX’s,thentheerrorsareheteroskedasticvar(ui

4、Xi)=si2(h

5、eteroskedasticity)Exampleofhomoskedasticity..X1X2E(Y

6、X)=b0+b1XYf(Y

7、X)homoskedasticity.X3ExampleofHeteroskedasticity.XX1X2Yf(Y

8、X)X3..E(Y

9、X)=b0+b1XExamplesGenerally,cross-sectiondatamoreeasilyinduceheteroskedasticitybecauseofdifferentcharacteristicsofdiffer

10、entindividuals.Consideracross-sectionstudyoffamilyincomeandexpenditures.Itseemsplausibletoexpectthatlowincomeindividualswouldspendatarathersteadyrate,whilethespendingpatternsofhighincomefamilieswouldberelativelyvolatile.Ifweexaminesalesofacrosssectionoffi

11、rmsinoneindustry,errortermsassociatedwithverylargefirmsmighthavelargervariancesthanthoseerrortermsassociatedwithsmallerfirms;salesoflargerfirmsmightbemorevolatilethansalesofsmallerfirms.PatternsofheteroskedasticityXYhomoskedasticity

12、XYIncreasingwithXXYComplicatedheteroskedasticityYDecreasingwithXTherelationbetweenR&DexpenditureandSalesindsalesrdexpprofitindsalesrdexpprofitpacking6

13、375.362.5185.1nurse80552.86620.113869.9nonbank11626.492.91569.5space952943918.64487.8service14655.1178.3274.8consumption101314.11595.310278.9metal21896.2258.42828.1electronics116141.36107.58787.3house26408.3494.7225.9chemistry122315.74454.116438.8manufact

14、ure32405.610833751.9polymer141649.93163.89761.4leisure35107.71620.62884.1computer175025.813210.719774.5paper40295.4421.74645.7fuel230614.51703.822626.6food70761.6509.25036.4auto2935439528.218415.4Thescattergraphbetw