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| 异方差的估计与实证 | |
| 引用本文： | 孙凤. 异方差的估计与实证[J]. 中山大学学报(自然科学版), 2005, 44(2): 103-106 |
| 作者姓名： | 孙凤 |
| 作者单位： | 清华大学社会学系,北京100084 |
| 基金项目： | 国家自然科学基金资助项目（70173040） |
| 摘 要： | “异方差”是微观计量建模中不可回避的问题，尽管计量经济学理论从残差项出发给出大量的检验方法，但对如何估计异方差则没有给出明确答案。从数据分布出发，认为极大似然法在估计异方差方面具有独特的优势。首先建立异方差的极大似然估计模型，然后对一实际调查数据进行异方差估计。 |
| 关 键 词： | 异方差 极大似然估计 微观计量分析 |
| 收稿时间： | 2005-09-09 |
Maximum Likelihood Estimates for Heteroskedastiy |
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| SUN Feng. Maximum Likelihood Estimates for Heteroskedastiy[J]. Acta Scientiarum Naturalium Universitatis Sunyatseni, 2005, 44(2): 103-106 | |
| Authors: | SUN Feng |
| Affiliation: | Department of Sociology, Tsinghua University, Beijing 100084, China |
| Abstract: | Studies in the micro-econometric test heteroskedastiy, and hardly discuss how frequently suffer from heteroskedastiy. Traditional methods focus on how to to estimate it. Maximum likelihood can be an effective and practical method for handling heteroskedastiy. This paper illustrates the basic principles of ML under heteroskedastiy; then uses the ML to estimate heteroskedastic coefficients based on a concrete survey data. |
| Keywords: | heteroskedastiy maximum likelihood function micro-econometric analysis |
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