文章基本信息

标题：Two-Stage Method Based on Local Polynomial Fitting for a Linear Heteroscedastic Regression Model and Its Application in Economics
本地全文：下载
作者：Liyun Su ; Yanyong Zhao ; Tianshun Yan 等
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2012
卷号：2012
DOI：10.1155/2012/696927
出版社：Hindawi Publishing Corporation
摘要：We introduce the extension of local polynomial fitting to the linear heteroscedastic regression model. Firstly, the local polynomial fitting is applied to estimate heteroscedastic function, then the coefficients of regression model are obtained by using generalized least squares method. One noteworthy feature of our approach is that we avoid the testing for heteroscedasticity by improving the traditional two-stage method. Due to nonparametric technique of local polynomial estimation, we do not need to know the heteroscedastic function. Therefore, we can improve the estimation precision, when the heteroscedastic function is unknown. Furthermore, we focus on comparison of parameters and reach an optimal fitting. Besides, we verify the asymptotic normality of parameters based on numerical simulations. Finally, this approach is applied to a case of economics, and it indicates that our method is surely effective in finite-sample situations.