heteroscedastic regression models for the systematic analysisof residual variances

《heteroscedastic regression models for the systematic analysisof residual variances》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。

1、Chapter8HeteroscedasticRegressionModelsfortheSystematicAnalysisofResidualVariancesHuiZheng,YangYang,andKennethC.LandAbstractConventionallinearregressionmodelsassumehomoscedasticerrorterms.Thisassumptionoftenisviolatedinempiricalapplications.Variousmethodsforevalua

2、tingtheextentofsuchviolationsandforadjustingtheestimatedmodelparametersifnecessaryaregenerallyavailableinbooksonregressionmethodology.Recentdevelopmentsinstatisticshavetakenadifferentapproachbyexaminingthedatatoascertainwhethertheestimatedheteroscedasticresiduals(

3、fromaÞrst-stageregressionmodeloftheconditionalmeanofanoutcomevariableasafunctionofasetofexplanatoryvariablesorcovariates)arethemselvessystematicallyrelatedtoasetofexplanatoryvariablesinasecond-stageregression.Theseextensionsoftheconventionalmodelshavebeengivenvari

4、ousnamesbut,mostgenerally,areheteroscedasticregressionmodels(HRMs).Insteadoftreatingheteroscedasticityasanuisancetobeadjustedoutofexistencetoreduceoreliminateitsimpactonregressionmodelparameterestimates,thebasicideaofHRMsistomodeltheheteroscedasticityitself.Thisch

5、aptersystematicallyreviewsthespeciÞcationofHRMsinbothlinearandgeneralizedlinearmodelforms,describesmethodsofestimationofsuchmodels,andreportsempiricalapplicationsofthemodelstodataonchangesoverrecentdecadesintheUSincomedistributionandinself-reportedhealth/healthdis

6、parities.Aconcludingsectionpointstosimilaritiesandcomplementaritiesofthegoalsofthecounterfactualapproachtocausalinferenceandheteroscedasticregressionmodels.IntroductionConventionalnormalerrorlinearregressionmodelsandtheirextensionstogeneralizedlinearmodels,linearm

7、ixed(Þxedandrandomeffects)models,andgeneralizedlinearmixedmodelsareessentialworktoolsforsocialresearchthatcanbemodiÞedandadaptedinvariouswaystoembodyvariousaspectsofthecounterfactualparadigmforcausalinference(MorganandWinship2007;GuoandFraser2010).However,conventi

8、onallinearregressionmodelsassumehomoscedasticerrorterms.H.Zheng()DepartmentofSociology,OhioStateUniversity,Columbus,OH,USAe-mail:zheng.64@sociology.osu