异方差及stata命令

异方差的类型

单调递增类

$${\sigma }_i^2随X的增大而增大$$

stata命令

reg lny lnx1 lnx2 #必须先回归才能预测
predict e,residual #预测出e的值即残差的值
gen E=e^2 #生成残差平方
scatter E lnyhat #通过散点图观测变量观测值和残差平方的关系
estat hettest #BP检验
estat imtest,white #white检验
*WLS
gen ly=ln(y)
gen lx1=ln(x1)
gen lx2=ln(x2)
reg ly lx1 lx2
predict e,residual
gen E=e^2
scatter E lx1
scatter E lx2
scatter E ly
rvfplot
estat imread,white
estat hettest
reg ly lx1 lx2,robust
gen lE=ln(E)
gen lx3=[lx2]^2
reg lE lx2 lx3
gen g=94.22.....
gen w=1/sqrt(exp(g))
gen z=ly*w
gen v1=w
gen v2=lx1*w
gen v3=lx2*w
reg z v1 v2 v3,nocon