Regression modelEconometrics / time series
稳健广义最小二乘法 (Robust GLS)
稳健广义最小二乘法 (Robust GLS) 通过将广义最小二乘法 (GLS) 系数估计与异方差和自相关一致 (HAC) 的标准误差相结合，或在 GLS 框架内使用 M 估计，扩展了经典的广义最小二乘法。它纠正了非球形误差——异方差、自相关或两者兼有——同时还保护了推断免受误差协方差结构错误指定的影响。
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来源
- Greene, W. H. (2012). Econometric Analysis (7th ed.). Pearson. Chapter 9: The Generalized Regression Model and Heteroscedasticity. ISBN: 978-0131395381
- White, H. (1980). A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica, 48(4), 817-838. DOI: 10.2307/1912934 ↗
如何引用本页
ScholarGate. (2026, June 3). Robust Generalized Least Squares. ScholarGate. https://scholargate.app/zh/econometrics/robust-gls
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- 广义最小二乘法 (GLS)统计学↔ compare
- 普通最小二乘法 (OLS) 回归计量经济学↔ compare
- 面板广义最小二乘法 (Panel GLS)计量经济学↔ compare
- 稳健OLS（具有稳健标准误的OLS）计量经济学↔ compare
- 加权最小二乘法 (WLS)统计学↔ compare