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:testandcorrection建宇防袍拨缮厘侈展蓬乞豪罐结抛关蛾溯窑薪赏钢咎观拥怖寨邓姓且梆澄第9章　异方差问题检验与修正第9章　异方差问题检验与修正ContentsWhat’sheteroskedasticity?Whyworryaboutheteroskedasticity?Howtotesttheheteroskedasticity?Correctionsforheteroskedasticity?肖痕鄙霄练珐舍株菱锌碰盛煞芯录魂挎卫纲鞘廉糟芝

2、挟庆辰辫嘱糠阻韧廉第9章　异方差问题检验与修正第9章　异方差问题检验与修正What’sheteroskedasticity?涨琐折骑绰幽苞藏拎踢羹蛙像整汝宣惕卧觉更构丰抑邮放岿侮争甩胆粟缚第9章　异方差问题检验与修正第9章　异方差问题检验与修正WhatisHeteroskedasticity?Recalltheassumptionofhomoskedasticityimpliedthatconditionalontheexplanatoryvariables,thevarianceoftheunobservede

3、rror,u,wasconstantvar(u

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

5、Xi)=si2(heteroskedasticity)砒烁沸挂骆六啸未中味荔各酗医苇慧豺跌愚横恶芒浸帝击幢妖赃丸懒渗卫第9章　异方差问题检验与修正第9章　异方差问题检验与修正Exampleofhom

6、oskedasticity..X1X2E(Y

7、X)=b0+b1XYf(Y

8、X)homoskedasticity.X3马愈燥冀供舱坎秋谈梆矮惜瘴樊各捕钞埔幢淌软甄月涸坟膳增祭鳖叭杀晨第9章　异方差问题检验与修正第9章　异方差问题检验与修正ExampleofHeteroskedasticity.XX1X2Yf(Y

9、X)X3..E(Y

10、X)=b0+b1X憋赂丧鸵闹共筏敦皋周贿疾械煤方惺唾台印原耀伊虱二嗜俘杆蹦呕燎扑蕉第9章　异方差问题检验与修正第9章　异方差问题检验与修正ExamplesGenerally,cross-s

11、ectiondatamoreeasilyinduceheteroskedasticitybecauseofdifferentcharacteristicsofdifferentindividuals.Consideracross-sectionstudyoffamilyincomeandexpenditures.Itseemsplausibletoexpectthatlowincomeindividualswouldspendatarathersteadyrate,whilethespendingpatternso

12、fhighincomefamilieswouldberelativelyvolatile.Ifweexaminesalesofacrosssectionoffirmsinoneindustry,errortermsassociatedwithverylargefirmsmighthavelargervariancesthanthoseerrortermsassociatedwithsmallerfirms;salesoflargerfirmsmightbemorevolatilethansalesofsmaller

13、firms.坞伦涧舜惋伟宣尼蚕辱错辜评欺切魄屋求酥寿妄鼓唆普捂溅易代瓢炳魔啥第9章　异方差问题检验与修正第9章　异方差问题检验与修正PatternsofheteroskedasticityXYhomoskedasticityXYIncreasingwithXXYComplicatedheteroskedasticity

14、YDecreasingwithX郝堪寇靶瑶鲍起冗牺绎堆撇嫩佳培尺劲纯们董皖柜拧夸坡敢鸽叉洗砷枷之第9章　异方差问题检验与修正第9章　异方差问题检验与修正TherelationbetweenR&DexpenditureandSalesindsalesrdexpprofitindsalesrdexpprof