第第5章作業(yè)Microsoft PoerPointppt課件

1、 1考慮沒有常數(shù)項(xiàng)模型：2222224,1,2,(,)0,1,2, ,1,2,(1)1()(2),( )( )ttttsttttttttttttYXtTEts tT sTX YYYXXTXXXTVTV bX 22tttE()=0,E()=在有關(guān)的那些假定下，下列估計(jì)量是最佳線性無偏估計(jì)量令證明=,=,=2222222222()()11()()()()tttttttttttttttttX YXYXYY XXXXXXYXXXVarVarXXXX2ttt當(dāng)時(shí)是最佳線性無偏估計(jì)量=當(dāng)時(shí)，如果要消除異方差，就需要在原模型兩邊同時(shí)除 X2222222222211()(1)()11,1,11()()()()

2、ttttttttttttttttttttYY XYXTXXYTXYXXXYYXXXVarVarVarXXXXt=當(dāng)時(shí)，如果要消除異方差，就需要在原模型兩邊同時(shí)除X2222422222222222222(2),( )( )111( )()()111()( )()11()()ttttttttttttttttttttXXTVTV bXXYTXYYVarVarVarTXTXVarYVar YTXTXXTXTXTXT令證明，其中，V( )是加權(quán)最小二乘估計(jì)量的方差證明：222242222222222242222(2),( )( )( )1( )()()()111()( )( )( )tttttttttt

3、tttttttttttttXXTVTV bOLSV bXX YXOLSXX YX YV bVarVarVarX YXTTVar X YX Var YXXTTTXTVTV bTt令證明，其中，是估計(jì)量的方差證明：Y的估計(jì)量b44ttTXX 2已知我國29個(gè)省、直轄市、自治區(qū)1994年 城鎮(zhèn)居民人均生活費(fèi)支出Y，可支配收入X的截面數(shù)據(jù)如下表。 （1用等級(jí)相關(guān)系數(shù)和G-Q方法檢驗(yàn)?zāi)Ｐ偷漠惙讲睿?（2無論是否存在異方差，用EVIEWS練習(xí)加權(quán)最小二乘法估計(jì)模型，并預(yù)測。01YX序 號(hào)YX12940354722322276931898233441560195751585189361977231471596195381660196093530429710231127741128563626121846224813234128391415771919151947251516160919631720482450182087268819377746322023032895212404307222203424212318762313242186265325171421022616802019271870212728187721712918352423G-Q檢驗(yàn) 第一步，在EXCEL的數(shù)