计量经济学的各种检验[借鉴].pptVIP

处理盲点---robust regression 1.迭代加权最小二乘法(IRLS),Neter提出了2中加权函数, Huber and Bisquare,但是不易操作.SAS v8中常使用Proc NLIN迭代. 2.非参数回归.Proc Loess. 3.SAS v9.0中有一个过程Proc robustreg Stata 中有一个比较好的命令:rreg直接进行鲁棒回归(robust),采用迭代过程. * 精品PPT·值得借鉴 序列相关性(serial correlation) OLSE unbiased,but inefficient and its standard error estimators are invalid; BLUE of the Gauss-Markov Theorem no longer holds. The variance formulas for the least squares estimators are incorrect. AR,MA,or ARMA forms of serial correlation. Take the AR(1) for instance: * 精品PPT·值得借鉴 Dw 检验需要注意的地方 假定了残差是服从正态分布,