two-stage method based on local polynomial fitting for a linear heteroscedastic regression model and its application in economics两阶段方法基于局部多项式拟合线性异方差的回归模型及其在经济学中的应用.pdf

Hindawi Publishing Corporation Discrete Dynamics in Nature and Society Volume 2012, Article ID 696927, 17 pages doi:10.1155/2012/696927 Research Article Two-Stage Method Based on Local Polynomial Fitting for a Linear Heteroscedastic Regression Model and Its Application in Economics Liyun Su, Yanyong Zhao, and Tianshun Yan School of Mathematics and Statistics, Chongqing University of Technology, Chongqing 400054, China Correspondence should be addressed to Liyun Su, cloudhopping@163.com Received 31 October 2011; Accepted 2 January 2012 Academic Editor: M. De la Sen Copyright q 2012 Liyun Su et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. We introduce the extension of local polynomial fitting to the linear heteroscedastic regression model. Firstly, the local polynomial fitting is applied to estimate heteroscedastic function, then the coefficients of regression model are obtained by using generalized least squares method. One noteworthy feature of our approach is that we avoid the testing for heteroscedasticity by improving the traditional two-stage method. Due to nonparametric technique of local polynomial estimation, we do not need to know the heteroscedastic function. Therefore, we can improve the estimation precision, when the heteroscedastic function is unknown. Furthermore, we focus on comparison of parameters and reach an optimal fitting. Besides, we verify the asymptotic normality of parameters based on numerical simulations. Finally, this approach is applied to a case of economics, and it indicates that our method is surely effective in finite-sample situations. 1. Introducti