單指標模型的異方差檢驗.pdf

1、華東師范大學碩士學位論文單指標模型的異方差檢驗姓名：張霞峰申請學位級別：碩士專業(yè)：概率論與數(shù)理統(tǒng)計指導教師：朱仲義20050501TheTestforHeteroscedasticityinSingle—indexModelAbstractIntheregressionanalysis，itiscommontoassumetheindependenthomoscedasticityontheerrortermIftheassumptio

2、nisviolated，itwillhavegreatimpactonthestatisticalinferenceHerebythesteptotestthehomoscedasticityoftheerrorbecomethekeystepbeforesettingupthemodelInparametricandnonparametricregressionmodels，theproblemoftestingheterosceda

3、SticitywasdiscussedwidelyInthispapeLthetestoftheheteroscedasticity、autocorrelationandtheomissionofanimportantvariableinthesingleindexmodelwereresearchedwitllthemethodofscoretestStartingwiththebaseideologyinchapter2，score

4、testsarederivedforthreepotentialmisspecificationsofthesingleindexmodel：heteroscedasticityintheerrors，autocorrelationintheerrors，andtheomissionofanimportantvariableinthelinearindexThesetestshaveasimilarstructuretocorrespo

5、ndingtestsfornonlinearregressionmodeIsSimulationsdemonstratethatthefirsttWOtestsholdtheirnominalsizewell，andhavegoodpowerpropertiesinidentifyingmodelviolations，oftenoutperformingothertests，Testingfortheneedforadditionalc

6、ovariatescanbeeffective，butismoredifficultThescoretestsaleappliedtOtwealdatasets，demonstratingthatthetestscarlidentifrimportantmodelviolationsthataffectinference，andthatapproachesthatdonottakemodelmisspecificationsintoac

7、countcanleadtoverydifferentresultsInfinal，weestablishtheasymptoticpropertiesofScoreteststatisticsfortheheteroscedasfieityandautocorrelationofthescoretest，whichisillustratedbythecorrespondingsimulationKeyWords：∥distributi