1) graph test method: ① correlation graph analysis. ② Residual diagram analysis.
Because heteroscedasticity is usually considered that the residual changes with the size of independent variables, we can simply judge whether heteroscedasticity exists by scatter plot. The specific method is to draw a scatter plot with the square of the regression residual 2ie as the ordinate and an explanatory variable ix in the regression formula as the abscissa. If the scatter plot shows a certain trend, it can be judged that there is heteroscedasticity.
2) Goldfeld-Quandt test (disadvantage, it can only deal with heteroscedasticity of single rise and single fall)
Goldfeld-Quandt test, also known as sample segmentation method and grouping method, was proposed by Goldfeld and Quandt 1965. The idea of this test is to divide the whole sample into two sub-samples by removing some intermediate values in the order of explanatory variables that cause heteroscedasticity.
3) White test and Grics test.
Goldfeld-Quandt test, also known as sample segmentation method and grouping method, was proposed by Goldfeld and Quandt 1965. The idea of this test is to divide the whole sample into two sub-samples by removing some intermediate values in the order of explanatory variables that cause heteroscedasticity.
The most famous and commonly used is the third white test. The core principle is that xi judges the degree of ui interpretation, and the higher it is, the greater the heteroscedasticity is.
1、? He Dexu Wang Chaoyang; Econometrics of time series: cointegration and conditional heteroscedasticity autoregression [n]; Journal of China Academy of Social Sciences; In 2003
2. Don Shao Ming; Future positions risk quantification method based on fractal model [N]: Futures Daily; the year of 2008
3、? Dr. Jiang Yingkun from Guotai Junan Securities Ma Guotai Junan Futures Research Director; A summary of the maturity effect of futures index and the empirical results of classical empirical testing methods [n]; Futures Daily; In 2007
4. Guangfa Futures Wear; Real trading contest and sequence analysis technology [n]; Futures Daily; the year of 2008
5. be brave; The application of Nobel Prize winner Engel's autoregressive conditional heteroscedasticity model in futures research (1) [n]; Futures Daily; In 2004
6. Research on the correlation between inflation and economic situation in recent years [N]; Shanghai securities news; In 2005
7. Kong Xiangyi; Study the complexity of finance from a macro perspective [n]; China Journal of Social Sciences; In 2009
8. Wang Longyun; The Nobel Prize in Economics attaches importance to the research of technical methods [n]; Economic information daily; In 2003
9. Yu and; Applying econometric statistics to economic research [n]; Journal of China Academy of Social Sciences; In 2004
10, reporter Mats Wang Wu Ping; Solve the problem of economic time series [n]; Xinhua Daily Telegraph; In 2003