| 单向面板回归模型中异方差类型的确定性检验框架 |
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| 引用本文： | 陈海燕.单向面板回归模型中异方差类型的确定性检验框架[J].统计与信息论坛,2012(3):32-37. |
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| 作者姓名： | 陈海燕 |
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| 作者单位： | 重庆工商大学经济贸易学院 |
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| 基金项目： | 重庆工商大学科研启动项目《面板数据结构诊断方法研究及其应用》(1255005);国家自然科学基金项目《基于MEM模型的金融市场分析》(70901055) |
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| 摘 要： | 结合White检验和Hausman检验,在一个检验框架内对单向面板回归模型中异方差的七种类型进行研究,将误差项中的个体效应和时间效应进行分离,给出异方差类型的确定性检验方法和步骤。应用中国城镇居民总消费、居住消费和收入的数据进行实证分析,证实异方差类型确定性检验方法的实用性和可行性。
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| 关 键 词： | 面板数据 异方差 确定性检验 |
Heteroskedasticity Certainty Test in an One-Way Panel Regression Model |
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| CHEN Hai-yan.Heteroskedasticity Certainty Test in an One-Way Panel Regression Model[J].Statistics & Information Tribune,2012(3):32-37. |
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| Authors: | CHEN Hai-yan |
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| Institution: | CHEN Hai-yan (School of Economics and Trade,Chongqing Technology and Business University,Chongqing 400067,China) |
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| Abstract: | This paper investigates the seven types of heteroskedasticity in a One-Way Panel Regression Model,in a test framework of White test and Hausman test.The error term is decomposed into the individual effects and time effects,and then,the methods and procedures of the certainty test of heteroskedasticity are given.Finally,an empirical analysis is conducted to confirm the usefulness of the heteroskedasticity certainty test,with total consumption,housing consumption and income data of urban residents in China. |
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| Keywords: | panel data heteroskedasticity certainty test |
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