| 摘要: |
| 研究了单指标模型的异方差诊断问题，首先采用经验似然的方法对模型误差项进行异方差检验，构造了纠偏经验似然比检验；然后得到了经验似然比统计量，并证得其为渐进卡方分布；最后的数值模拟结果表明：该检验方法具有理想的检验功效。 |
| 关键词: 异方差性 单指标模型 经验似然比 |
| DOI： |
| 分类号: |
| 基金项目: |
|
| Empirical Likelihood Based Diagnostics for Heteroscedasticity in Single index Model |
|
LIU Feng，WANG Peng fei，LI Chun yan，KANG Xin mei
|
| Abstract: |
| We considered the diagnostics for heteroscedasticity in single index model. Firstly， we applied the empirical likelihood method to test the heteroscedasticity for errors of single index model， and constructed the bias corrected empirical likelihood ratio test. Then we obtained the ratio statistic of empirical likelihood and derived the asymptotic Chi square distribution of the statistic. Finally， simulation results indicate that the method performs well. |
| Key words: heteroscedasticity single index model empirical likelihood ratio |
