伍德里奇8-异方差性(习题解答)

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1、C8.1(i),亦可以其他形式出现。(ii)首先估计sleep方程，得到残差平方序列，再以该残差平方为被解释变量对变量male回归看其回归系数。usesleep75regsleeptotwrkeducageagesqyngkidmalepredictr1,rgr1sq=r1*r1regr1sqmale其系数为负，说明男性的方差比女性要低。(iii)从回归结果中看，系数不显著，说明误差方差在男性和女性之间的差别不显著。C8.2clearusehprice1regpricelotsizesqrftbdrmsestimatesstorereg1regp

2、ricelotsizesqrftbdrms,robustestimatesstorerobustesttabreg1robust,b(%8.6f)semtitlereglpricellotsizelsqrftbdrmsestimatesstorereg2reglpricellotsizelsqrftbdrms,robustestimatesstorerobust2esttabreg2robust2,b(%8.6f)semtitleC8.6clearusecrime1garr86=(narr86>0)glavgsen=log(avgsen)rega

3、rr86pcnvlavgsentottimepredictarr86hatsumarr86hat/*加权最小二乘*/gh=arr86hat*(1-arr86hat)regarr86pcnvavgsentottimeptime86qemp86[aw=1/h]C8.9(i)-(ii)clear2usesmokeregcigslincomelcigpriceducageagesqrestaurnpredictr1,rglr1sq=log(r1^2)reglr1sqlincomelcigpriceducageagesqrestaurnpredictgha

4、tghhat=exp(ghat)regcigslincomelcigpriceducageagesqrestaurn[aw=1/hhat](iii)predictuhat,rpredictyhatguhatsq=uhat^2dropuhatsqgutild=uhat/(hhat^0.5)gytild=yhat/(hhat^0.5)gutildsq=utild^2gytildsq=ytild^2regutildsqytildytildsqwhitetst,fitted/*表明仍然存在异方差*/(iv)第(iii)部分的结论表明，使用可行的加权最小二

5、乘方法没有消除异方差性，对方差形式存在误设。(v)regcigslincomelcigpriceducageagesqrestaurn[aw=1/hhat],robust2