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Martin.c · 2023年04月27日

条件异方差和非条件异方差

NO.PZ2023040502000020

问题如下:


Interpreting the graph, Reyes states:

"The presence of heteroskedasticity is indicated when there is a systematic relationship between the values of residuals and the independent variable. It is difficult to see such a systematic relationship in Exhibit 2. Therefore, heteroskedasticity does not appear to be a problem in this regression."

Reyes' interpretation of the graph in Exhibit 2 is best described as:

选项:

A.

correct

B.

incorrect because the effects of heteroskedasticity are, in a regression such as this one, hidden by the negative slope of the regression line

C.

incorrect because heteroskedasticity is indicated when there is not a systematic relationship between the residuals and the independent variable

解释:

The presence of heteroskedasticity is indicated when a systematic relationship exists between the residuals and the independent variable. It is difficult to see such a systematic relationship in Exhibit 2. Therefore, heteroskedasticity does not appear to be a problem in this regression.

这题没有提到条件异方差和非条件异方差,上面的图看起来像是残差不随x波动。是非条件异方差?请老师指点一下 谢谢

1 个答案

星星_品职助教 · 2023年04月27日

同学你好,

由于本题中对于异方差的描述为“ The presence of heteroskedasticity is indicated when there is a systematic relationship between the values of residuals and the independent variable”,所以针对的是条件异方差。而不是和independent variable变化无关的非条件异方差。

从条件异方差的角度出发分析,由于本题图像里的散点和残差没有呈现出随着X的变化而呈现出固定的规律性,所以不存在条件异方差现象,Reyes的描述是正确的。