计量经济第八章8.pptVIP

Introductory Econometrics, Lijun Jia Lecture Outline 本课提要 What is HSK 什么是异方差 Consequences of HSK 异方差的影响 HSK-Robust Inference after OLS estimation OLS估计后的“对异方差稳健”统计推断 Testing for HSK 检验异方差 The Breuschn Test B-P 检验 The White Test White检验 Weighted Least squares 加权最小二乘法 WLS when HSK is known up to a multiplicative constant 当在比例意义上已知异方差时的加权最小二乘法 WLS when HSK is of unknown form: the feasible GLS 当异方差具有未知形式时的加权最小二乘法：可行GLS What is Heteroskedasticity (HSK)什么是异方差 Recall the assumption of homoskedasticity implied that conditional on the explanatory variables, the variance of the unobserved error, u, was constant 同方差假定意味着条件于解释变量，不可观测误差的方差为常数 If this is not true, that is if the variance of u is different for different values of the x’s, then the errors are heteroskedastic 如果u 的方差随x变化，那么误差是异方差的。 Why do we care?为何关心异方差？ The standard errors of the estimates are biased if we have heteroskedasticity. 如果存在异方差，那么估计值的标准差是有偏的。 If the standard errors are biased, we can not use the usual t statistics or F statistics or LM statistics for drawing inferences. 如果标准差有偏，我们就不能应用通常的t统计量或F统计量来进行统计推断。 Testing for HSK检验异方差 Reason No. 1: We may prefer to see the usual OLS standard errors and test statistics reported unless there is evidence of heteroskedasticity. 理由1：除非有证据显示异方差存在，我们仍会偏好于常规OLS的标准差及检验统计量。 Reason No. 2: If heteroskedasticity is present, the OLS estimator is no longer the BLUE, then it is possible to obtain a better estimator than OLS. 理由2：如果异方差存在，OLS不再是BLUE，那么就有可能得到比OLS更好的估计量。 The Breuschn Test for HSK用B-P检验异方差 Essentially we want to test H0: Var(u|x1, x2,…, xk) = s2, （ 8.11） which is equivalent to H0: E(u2|x1, x2,…, xk) = E(u2) = s2 本质上，我们想检验H0: Var(u|x1, x2,…, xk) = s2 这等价于检验H0: E(u2|x1, x2,…, xk) = E(u2) = s2 （因为 zero conditional expectation） If we assume the relationship between u2 and xj will be linear, can test it as a set of linear restrictions 如果我们假设u2 和xj之间具有线性关系，则可以通过一组线性约束来完成检验。 So, for u2 = d0 + d1x1 +…+ dk xk + v （8.12） this means te