Video: Dab tsi yog qhov auxiliary regression?
2024 Tus sau: Miles Stephen | [email protected]. Kawg hloov kho: 2023-12-15 23:36
Kev Pabcuam Regression : A regression siv los suav cov lej xeem-xws li kev xeem txheeb cais rau heteroskedasticity thiab serial correlation lossis lwm yam regression uas tsis kwv yees tus qauv ntawm thawj qhov kev txaus siab.
Dhau li ntawm no, heteroscedasticity nyob rau hauv regression yog dab tsi?
Tshwj xeeb, heteroscedasticity yog ib qho kev hloov pauv hauv kev sib kis ntawm cov khoom seem ntawm qhov ntau ntawm cov ntsuas ntsuas. Heteroscedasticity yog ib qho teeb meem vim qhov tsawg tshaj plaws squares (OLS) regression xav tias tag nrho cov seem yog rub los ntawm cov pej xeem uas muaj qhov sib txawv tsis tu ncua (homoscedasticity).
Tsis tas li ntawd, Homoscedasticity thiab Heteroscedasticity yog dab tsi? Tsuas tso tseg, homoscedasticity txhais tau tias "muaj ib qho kev tawg." Rau nws kom muaj nyob rau hauv ib txheej ntawm cov ntaub ntawv, cov ntsiab lus yuav tsum nyob rau tib qhov deb ntawm kab, raws li qhia hauv daim duab saum toj no. Qhov opposite yog heteroscedasticity ("txawv txawv"), qhov twg cov ntsiab lus nyob ntawm qhov sib txawv ntawm qhov sib txawv ntawm txoj kab regression.
Ib tug kuj yuav nug, Dab tsi yog Qhov Kev Xeem Dawb rau heteroskedasticity?
Hauv kev txheeb cais, cov Dawb kuaj yog ib qho kev txheeb cais xeem uas tsim kom muaj qhov sib txawv ntawm qhov yuam kev hauv tus qauv regression tsis tu ncua: uas yog rau homoskedasticity. Qhov no xeem , thiab tus kwv yees rau heteroscedasticity -Cov txheej txheem tsis raug, tau thov los ntawm Halbert Dawb hauv 1980.
Dab tsi yog qhov null hypothesis rau Heteroskedasticity?
Cov xeem txheeb cais kwv yees li ua raws li chi-square faib. Lub null hypothesis rau qhov kev xeem no yog tias qhov kev ua yuam kev sib txawv yog txhua qhov sib npaug. Qhov sib txawv hypothesis yog qhov yuam kev variances tsis sib npaug. Tshwj xeeb tshaj yog, thaum Y nce, qhov sib txawv nce (lossis txo).
Pom zoo:
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