经济数学
經濟數學
경제수학
MATHEMATICS IN ECONOMICS
2003年
2期
52-61
,共10页
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
異方差性%同方差性%擬殘差%平均方差估計(AVE)%廣義方差比檢驗
이방차성%동방차성%의잔차%평균방차고계(AVE)%엄의방차비검험
Heteroskedasticity%homoskedastcity%quasi-residual%average variance estimator (AVE)%generalized variance-ratio test
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.
在同方差假設之下,線性模型在迴歸分析的理論與應用方麵起著突齣的作用,很受許多研究工作者的青睞.然而,迴歸模型中同方差性這一標準假設不一定總是成立的.因此我們攷慮瞭用一類基于似殘差的方法來檢驗異方差情形下線性模型擬閤觀測數據的情況.本文既給齣瞭大量的模擬,又給齣瞭實際數據作為應用的例子.效果都很好.
재동방차가설지하,선성모형재회귀분석적이론여응용방면기착돌출적작용,흔수허다연구공작자적청래.연이,회귀모형중동방차성저일표준가설불일정총시성립적.인차아문고필료용일류기우사잔차적방법래검험이방차정형하선성모형의합관측수거적정황.본문기급출료대량적모의,우급출료실제수거작위응용적례자.효과도흔호.
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 Pvalue of test and performs well.
