第7章 多元回归分析：异方差问题.pptVIP

第七章　多元回归分析 异方差问题的处理 contents What’s heteroskedasticity? Why worry about heteroskedasticity? How to test the heteroskedasticity? Corrections for heteroskedasticity? What’s heteroskedasticity? What is Heteroskedasticity Recall the assumption of homoskedasticity implied that conditional on the explanatory variables, the variance of the unobserved error, u, was constant var(u|x)=s2 (homoskedasticity) 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 var(ui|xi)=si2(heteroskedasticity) Example: if we examine a cross