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Applied Econometrics Second edition. Dimitrios Asteriou and Stephen G. Hall. Ετεροσκεδαστικότητα. Τι είναι ετεροσκεδαστικότητα Συνέπειες της ετεροσκεδαστικότητας Διάγνωση ετεροσκεδαστικότητας Επίλυση ετεροσκεδαστικότητας. Στόχοι μαθήματος. - PowerPoint PPT Presentation

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Applied EconometricsSecond editionDimitrios Asteriou and Stephen G. Hall

Applied Econometrics Applied Econometrics2 1. .2. OLS.3. .4. test.5. test .6. .7. .Applied Econometrics - ( ) - ( )

= =

Applied Econometrics 5 CLRM () t:Var(ut)=2

, .

Applied Econometrics :Var(ut)=t2 t, t2, t=1, 2, 3, 4, , n. Applied Econometrics

Applied Econometrics

Applied Econometrics8

Applied Econometrics : : -, , . : ( ) ( )Applied Econometrics OLS . . , . OLS . , t F .Applied Econometrics , . , . test , :

Breusch-Pagan LM Test Glesjer LM Test Harvey-Godfrey LM Test Park LM TestGoldfeld-Quandt Tets White Test Applied Econometrics Y X .

Applied Econometrics

Applied Econometrics

Applied Econometrics

Applied Econometrics

Applied Econometrics Breusch-Pagan LM Test 1: OLS . 2: :

3: LM=nR2, n R2 . 4: LM-stat>2p-1 .

Applied Econometrics Glesjer LM Test 1: OLS . 2: :

3: LM=nR2, n R2 . 4: LM-stat>2p-1 .

Applied Econometrics Harvey-Godfrey LM Test 1: OLS . 2: :

3: LM=nR2, n R2 . 4: LM-stat>2p-1 .

Applied Econometrics Park LM Test 1: OLS . 2: :

3: LM=nR2, n R2 . 4: LM-stat>2p-1 .

Applied Econometrics Engles ARCH Test Engle , , . ut u2t-1 :Var(ut)=1+2u2t-1 :Var(ut)=1+2u2t-1++ pu2t-pApplied Econometrics Engles ARCH Test 1: OLS 2: , , , ARC. 3: LM statistic = (n-)R2 LM . 4: Applied Econometrics Goldfeld-Quandt Test 1: , . ( ). 2: c , (n-c) .Applied Econometrics Goldfeld-Quandt Test Y X 1 RSS . 4: F-stat=RSS1/RSS2, RSS1 RSS . 5: F-stat>F-crit(1/2(n-c)-l,1/2(n-c)-k) .Applied Econometrics Whites Test 1: OLS . 2: :

3: LM=nR2, n R2 . 4: LM-stat>2p-1 .

Applied Econometrics :

(GLS) (WLS)- Applied Econometrics

Yt=1+2X2t+3X3t+4X4t++kXkt+ut

Var(ut)=t2Applied Econometrics t , :Yt=1 (1/t) +2X2t/t +3X3t/t ++kXkt/t +ut/tY*t= *1+ *2X*2t+ *3X*3t++ *kX*kt+u*t :Var(u*t)=Var(ut/t)=Var(ut)/t2=1Applied Econometrics GLS WLS , wt, . wt=1/t, : wtYt=1wt+2X2twt+3X3twt++kXktwt+utwt wtYt-1=Y*t Xitwt=X*it :Y*t= *1+ *2X*2t+ *3X*3t++ *kX*kt+u*t

Applied Econometrics