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1、9-1 ?62?:? Heteroscedasticity: What Happens if the Error Variance is Nonconstant? ?O?O? ?92?8?8?:562:5? 3?9?92?8?8?:562:5? 3?9 1?.?1?.? ? ? ?-?-?CI?CI?LL ?NF?CIE?NF?CIE? 9-2 ?(?)? n? ? ?2?2? n? ? ?14?2?14?2? n? ? ?3?3? n? ? ?34?34? 9-3 ? p? p? ? ? ? ? ? ? ? ? ? p? ? ? ? ? 9-4 ?=? n!“#$%&(?)* )+,-./(
2、 0( n?&?5? n?:S? ?a?P? ? n?+?2?e?f n?10?.32?e?f n? 9-5 ? 9-6 ? ?&? 9-7 !“#$%&(?)*?)+,-./(?0( 9-8 9-9 ?&? ? 9-10 ? 9-11 n!“($%&)?*+ *,-./0 ) *1-./0) 1 *2-345%678“)+ 4) n?+? n?6? n?.8-+?1? n?E?&?+?2? ?:?=? ? ? 9-12 9-13 ? 9-14 ?&? ? 9-15 ? ? ? 2 222 222 ( ) ( )( )0() ( )() i i iii i iiii i Var u Var u
3、E uE uE uE u Var uE u s ss = =-=-= = p? 9-16 ? ? ? n?9? n9?1?.?.? 9-17 ? (a) Homoscedasticity ? (b) Heteroscedasticity ? 9-18 9-19 ? n? ?&? n?&?I? ?&?I? n? ? ? ? 9-20 ? Commission rate trends, New York Stock Exchange, April 1975-December 1978. 9-21 ? Commission per share, in cents, NYSE, April 1975
4、to December 1978 (based on data of Table 13-1). 9-22 ?,? ? 9-23 ? ? 9-24 ? 0 500 1000 1500 05101520 EDUC RESID9_22 ? 2 i u 9-25 ? 0 500 1000 1500 0204060 EXPER RESID9_22 ? 2 i u 9-26 ? ?1?1? ? Followers: ? Microblogs: ? Focus:? 9-27 ? 0.0E+00 5.0E+10 1.0E+11 1.5E+11 2.0E+11 2.5E+11 01000020000300004
5、0000 MICROBLOGS EQA_RESID2 9-28 ?2?2?2?2? ? =?=? ? ?1?1? ? ?1?1? ? 9-29 ? 0 500000 1000000 1500000 2000000 0100200300400 X EQ02_RESID2 9-30 ? n?2?F9?)? n?F9?2? ? n?)?.?(? ? n 9-31 ? ? ?L?L? ?O?O ?E?E? ?L?L? ? ?L?L? ?O?O ?B?B?L?L? ?O?O 9-32 ? 9-33 ? ? n? ? n?2?.?3?3 ?9?9? 9-34 ?-?6? ?-?-?-?-?6? Hypot
6、hetical patterns of e2 9-35 ? 0 500 1000 1500 05101520 EDUC RESID9_22 ? 2 i u 9-36 ? 0 500 1000 1500 0204060 EXPER RESID9_22 ? 2 i u 9-37 ?9.?2?1? n?.21? n?.?.? n?2? ?.? n? ? n?2?.? n? 9-38 ? ?Y?Y? ?G?L?G?L? n?9?32? ?.?*?9* ? n? ? ? n? ?.? ?L?Y?.? n.?39?.? ? n? ?*? ? 9-39 ? 0 500 1000 1500 -50510152
7、0 WAGEF RESID9_22 9-40 ?3?2? ?9?32? ?.?9? ? ? ? ?.? .?39?.? ? ? 9-41 ?(?-)?- ?(?-)?- 2 12 02 12 () :0 :0 i ii Ln eBB LnXv HB HB =+ = ? ? 9?3?P?P?99?3?P?P?9 ? ? ? ? .?.? ?.?.?.?.? ?.?.?5?.?.?5? ? ? 9-42 ?1.? n.?1?.?(?.?.?.?.9 n.?2.9.?1?9.?1? n.?1?.? n.?1?92?(?3?9.?1?)? ?3?.? n.?1?92?(?3?9.?1?)? ?3?.?
8、.9 n.?1?92?(?9.?1?)?.? 9-43 ? 2 12 () i ii Ln eBB LnEducv=+ 9-44 ? 2 12 () i ii Ln eBB LnExperv=+ 9-45 Park test 3 2 12 _ i i eBB wagehatv=+ 2 12 i ii eBB Yv=+ ? ? ? 9-46 ?(?)?(?)?(?)? ?(?)? ?4?.?9?9?3?4?.?9?9?3? 9-47 ?2?)?.91 n2?.?9?2?(?.32?0?21?0?2C?2? n2?(?.?2?2?1?2?1(? n2?.?9?3?25?2?./?2?1(? 0?21?0 n2?.?9?3?25?2?./?2?1(? 0? 21?0? n2?.?9?3?25?2?./?2?1(? 0? ?21?0 9-48 ? 12iii eBB Educv=+ 9-49 ? 12iii eBBEducv=+
