| 刘田,谈进.异方差问题伪检验研究[J].数量经济技术经济研究,2018,(8):140-156 |
| 异方差问题伪检验研究 |
| Research of Spurious Test Concerning Heteroscedasticity |
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| DOI： |
| 中文关键词: 异方差 参数分辨率 检验功 效伪检验蒙特卡洛仿真 |
| 英文关键词: Beta Coefficient Martingale Theory SD-EWMA Capital Market |
| 基金项目:本文获教育部人文社会科学研究规划基金项目（15YJA910003）、中央高校基本科研业务费专项资金创新团队项目“时间序列前沿研究团队”（JBK150501）的资助。 |
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| 中文摘要: |
| 研究目标：探讨异方差相关的伪检验及参数可分辨问题。研究方法：运用理论分析和蒙特卡洛仿真方法。研究发现：同方差或异方差情形使用错误异方差的WLS的假设检验是错误的，易导致伪回归，常比直接使用OLS更糟；异方差时虽估计是一致的，即使大样本也不可直接使用OLS进行假设检验，因得到伪回归或将显著参数误判为不显著的可能性不会随样本增大而改善；稳健方差估计可得到OLS实际方差的较好估计，对原假设误判通常无影响，但参数分辨力变差，检验功效明显下降；WLS的BLUE性很不稳健，只识别出引起异方差的变量而不了解其完整结构没有意义。研究创新：推导出参数分辨率公式，发现避免异方差伪检验的思路。研究价值：为正确评价存在异方差的模型提供了有益的建议。 |
| 英文摘要: |
| Research Objectives: To improve the efficiency of the beta coefficient which is used to measure systematic risk. Research Methods: We introduce martingale theory into the calculation of the downside beta coefficient and then we adopt the score-driven exponentially weighted moving average (SD-EWMA) model to estimate the time-varying path of the new beta coefficient. Research Findings: Compared to the traditional and other downside beta coefficients, the time-varying beta coefficients based on martingale theory are more significant for the 2001~2016 industry portfolio returns in China. Research Innovations: We propose a new beta coefficient based on martingale theory and apply SD-EWMA model to estimate the time-varying beta coefficient. Research Value: To improve the accuracy of measuring systematic risk and it offers the investors and regulators a new way to manage risk. |
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