计量经济模型中扰动项异方差性的一种检验方法

One Kind of Heteroscedasticity Testing Method on the Error Term in Econometric Modeling

困扰计量经济建模的一个重要问题是模型中随机扰动项性质的设定.传统计量模型中均假定随机扰动项为高斯白噪声,而实际经济背景和数据经常不支持这一假定.应用极值理论,通过极值指数估计量,提出了一种可行的对异方差的检验方法.

The specification of random error term is a complex problem in econometric modeling. It is assumed that the error term is Gaussian white noise in classical econometric model, which does not been supported in reality and economical data. One kind of heteroscedasticity testing method was proposed through extreme value theory and extreme value index estimator.