heteroskedasticity

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00:55 Sep 25, 2020
English to Chinese translations [PRO]
Bus/Financial - Economics
Additional field(s): Business/Commerce (general), Economics, Finance (general), Investment / Securities, Mathematics & Statistics
English term or phrase: heteroskedasticity
Definition from Investopedia:
In statistics, heteroskedasticity (or heteroscedasticity) happens when the standard errors of a variable, monitored over a specific amount of time, are non-constant. With heteroskedasticity, the tell-tale sign upon visual inspection of the residual errors is that they will tend to fan out over time

Example sentence(s):
  • Most real world data will probably be heteroskedastic. However, one can still use ordinary least squares without correcting for heteroskedasticity because if the sample size is large enough, the variance of the least squares estimator may still be sufficiently small to obtain precise estimates. Methods for Detecting and Resolving...
  • Heteroskedasticity can also occur if there are subpopulation differences or other interaction effects (e.g. the effect of income on expenditures differs for whites and blacks). (Again, the problem arises from violation of the assumption that no such differences exist or have already been incorporated into the model.) Richard Williams, Univ. of Notre Dame
  • If heteroskedasticity does not cause bias or inconsistency in he OLS estimators, why did we introduce it as one of the Gauss-Markov assumptions? Hedibert
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Summary of translations provided
5异方差性
Yining Wang
4异方差性
Carolyn Batay 蔡虹虹


  

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1 hr   confidence: Answerer confidence 5/5
异方差性


Definition from MBA智库百科:
在计量经济研究中,异方差性的产生原因主要有以下几种。

  1.模型中遗漏了某些解释变量
  如果模型中只包含所要研究的几个主要因素,其他被省略的因素对被解释变量的影响都归入了随机误差项,则可能使随机误差项产生异方差性。

2.模型函数形式的设定误差
  在一般情况下,解释变量与被解释变量之间的关系是比较复杂的非线性关系。在构造模型时,为了简化模型,用线性模型代替了非线性关系,或者用简单的非线性模型代替了复杂的非线性关系,造成了模型关系不准确的误差。如将指数曲线模型误设成了线性模型,则误差有增大的趋势。

  3.样本数据的测量误差
  一方面,样本数据的测量误差常随时间的推移而逐步积累,从而会引起随机误差项的方差增加。另一方面,随着时间的推移,抽样技术和其他收集资料方法的改进,也使得样本的测量误差逐步减少,从而引起随机误差的方差减小。因此,在时间序列资料中,由于在不同时期测量误差的大小不同,从而随机项就不具有同方差性。

  4.随机因素的影响
  经济变量本身受很多随机因素影响(比如政策变动、自然灾害或金融危机等),不具有确定性和重复性,同时,社会经济问题涉及人的思维和行为,也涉及各阶层的物质利益,人的行为具有很多不确定因素。

  因此,经济分析中经常会遇到异方差性的问题。而且经验表明,利用横截面数据建立模型时,由于在不同样本点上(解释变量之外)其他因素影响的差异较大,所以比时间序列资料更容易产生异方差性。

  在实际经济计量分析中,绝对严格的同方差性几乎是不可能的,异方差性可以说是一种普遍的现象。

Example sentence(s):
  • “异方差性是相对于同方差而言的。所谓同方差,是为了保证回归参数估计量具有良好的统计性质,经典线性回归模型的一个重要假定:总体回归函数中的随机误差项满足同方差性,即它们都有相同的方差。如果这一假定不满足,即:随机误差项具有不同的方差,则称线性回归模型存在异方差性。” - 百度百科  
  • “异方差性的概念、类型、后果、检验及其修正方法(含案例).” - 百度文库  
Yining Wang
United States
Local time: 23:59
Native speaker of: Native in ChineseChinese, Native in EnglishEnglish
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10 days   confidence: Answerer confidence 4/5Answerer confidence 4/5
异方差性


Definition from WIKI MBA智库:
异方差性的定义[1]
  设线性回归模型为:

  y_t=b_0+b_1x_{1t}+b_2x_{2t}+cdots+b_kx_{kt}+u_t

  经典回归中所谓同方差是指不同随机误差项u_t(t=1,2,cdots n)的方差相同,即:

  var(ut) = σ2

  如果随机误差项的方差不是常数,则称随机项 具有异方差性

Example sentence(s):
  • 异方差性是相对于同方差而言的。所谓同方差,是为了保证回归参数估计量具有良好的统计性质,经典线性回归模型的一个重要假定:总体回归函数中的随机误差项满足同方差性,即它们都有相同的方差。如果这一假定不满足,即:随机误差项具有不同的方差,则称线性回归模型存在异方差性。 - https://baike.baidu.com/item/%E5%BC%82%E  
Carolyn Batay 蔡虹虹
Philippines
Local time: 14:59
Native speaker of: Native in ChineseChinese
PRO pts in category: 4
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