几种异方差检验方法的比较

Comparing Several Testing Methods of Heteroscedasticity

经典线性回归模型的一个重要假设就是回归方程的随机扰动项具有相同的方差 ,也称同方差性 .但在大多数经济现象中 ,回归方程的扰动项的方差随观察值的不同而变化 ,这种模型称为异方差模型 .如果对异方差模型进行OLS估计 ,就会产生严重的后果 ,因此 ,选取适当的异方差的检验方法是极其重要的 .本文对帕克检验、格莱舍尔检验、戈德菲尔德 -匡特检验作随机模拟 ,并对这几种方法略作比较 .

One of the important hypotheses of classical linear regression model is that the random disturbances have equal variance. However, in most economic phenomena, the disturbances vary with the observations. The model which has such kind of property is referred to as heteroscedastic regression model. If it is estimated by the method of OLS, it will bring about serious effects. Thus, it is of great significance to choose the proper testing methods of heteroscedasticity. In this article three different forms of heteroscedasticity are used in the random simulation, and then the Park test, the Glejser test and the Goldfeld-Quandt test are compared .