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上小学 · 2023年02月05日

请问R SQUARE 和异方差的关系是什么?

NO.PZ2020010801000034

问题如下:

In a model with a single explanatory variable, what value of the R2R^2 in the second step in a test for heteroskedasticity indicates that the null would be rejected for sample sizes of 100, 500, or 2500?

(Hint: Look up the critical values of a χq2\chi_q^2, where q is the number of restrictions in the test.)

选项:

解释:

When there is a single explanatory variable in the original model, the auxiliary regression used for White’s test will have an intercept and two explanatory variables—the original variable and the variable squared. White’s test statistic is nR2nR^2, and the null has a χ22\chi_2^2 distribution. When using a test with a 5% size, the critical value is 5.99. Solving for the R2R^2, R25.99/nR^2 \leq5.99/n. The maximum value of R2R^2 that would not reject is 0.0599, 0.011, and 0.0023 when n is 100, 500, and 2500, respectively.

异方差是非常重要的内容,是否可以用R SQUARE来检测?讲义当中主要讲了通过图形来识别异方差。是否需要掌握这道题,谢谢

1 个答案

品职答疑小助手雍 · 2023年02月05日

同学你好,异方差这个知识点的重点是异方差的定义、出现异方差的原因、检测异方差的方式(看图、怀特检验)。

但是对怀特检验的具体过程是没有要求的,之前看过原版书,只有两行描述+一个公式而且没办法考计算,所以不是重点。