Regression modelEconometrics / time series
稳健OLS（具有稳健标准误的OLS）
稳健OLS应用普通最小二乘法估计系数，然后用异方差一致（HC）标准误（通常称为White标准误）替换经典标准误。这在误差方差不随观测值恒定时，保持点估计不变，同时产生有效的t统计量和置信区间。
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来源
- White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817–838. DOI: 10.2307/1912934 ↗
- Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860
如何引用本页
ScholarGate. (2026, June 3). Ordinary Least Squares with Heteroscedasticity-Consistent Standard Errors. ScholarGate. https://scholargate.app/zh/econometrics/robust-ols
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
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- 分位数回归计量经济学↔ compare
- 稳健广义最小二乘法 (Robust GLS)计量经济学↔ compare
- 加权最小二乘法 (WLS)统计学↔ compare