計(jì)量經(jīng)濟(jì)學(xué)-自相關(guān)性的檢驗(yàn)及修正

1、經(jīng)濟(jì)計(jì)量分析實(shí)驗(yàn)報(bào)告、實(shí)驗(yàn)項(xiàng)目自相關(guān)性的檢驗(yàn)及修正、實(shí)驗(yàn)日期2015.12.13三、實(shí)驗(yàn)?zāi)康膶τ趪鴥?nèi)旅游總花費(fèi)的有關(guān)影響因素建立多元線性回歸模型，對變量進(jìn)行多重共線性的檢驗(yàn)及修正后，對隨機(jī)誤差項(xiàng)進(jìn)行異方差的檢驗(yàn)和補(bǔ)救及自相關(guān)性的 檢驗(yàn)和修正。四、實(shí)驗(yàn)內(nèi)容建立模型，對模型進(jìn)行參數(shù)估計(jì)，對樣本回歸函數(shù)進(jìn)行統(tǒng)計(jì)檢驗(yàn)，以判定估 計(jì)的可靠程度，包括擬合優(yōu)度檢驗(yàn)、方程總體線性的顯著性檢驗(yàn)、變量的顯著性 檢驗(yàn)，以及參數(shù)的置信區(qū)間估計(jì)。檢驗(yàn)變量是否具有多重共線性并修正。檢驗(yàn)是否存在異方差并補(bǔ)救。檢驗(yàn)是否存在相關(guān)性并修正。五、實(shí)驗(yàn)步驟1、建立模型。以國內(nèi)旅游總花費(fèi)Y作為被解釋變量，以年底總?cè)丝诒硎救丝谠鲩L水平，

2、 以旅行社數(shù)量表示旅行社的發(fā)展情況，以城市公共交通運(yùn)營數(shù)表示城市公共交通 運(yùn)行狀況，以城鄉(xiāng)居民儲(chǔ)蓄存款年末增加值表示城鄉(xiāng)居民儲(chǔ)蓄存款增長水平。2、模型設(shè)定為： t :0- 1 X 箕_2 X 2t _ 3 X 3t 工罪 t其中：K國內(nèi)旅游總花費(fèi)（億元）又宜一年底總?cè)丝冢ㄈf人）X2t一旅行社數(shù)量（個(gè)）X3t一城市公共交通運(yùn)營數(shù)（輛）x4t-城鄉(xiāng)居民儲(chǔ)蓄存款年末增加值（億元）3、對模型進(jìn)行多重共線性檢驗(yàn)。4、檢驗(yàn)異方差是否存在并補(bǔ)救。5、檢驗(yàn)自相關(guān)性是否存在并修正。六、實(shí)驗(yàn)結(jié)果消除多重共線性及排除異方差性之后的回歸模型為：Y?=-301.8388+ 0.382963X2檢驗(yàn)I、圖示法1、6，0散

3、點(diǎn)圖1,500 *1,000 _.500 . * * 電E0 .* *部-500 ,*-1,000 ,-1,500 -I.二11-2,000-1,00001,0002,000ET(-1)大部分落在第I,田象限，表明隨機(jī)誤差項(xiàng)存在正自相關(guān)。2、et折線圖RESIDn、解析法1、D-W$驗(yàn)Dependent Variable: COSTMethod: Least SquaresDate: 12/13/15 Time: 20:35Sample (adjusted): 1994 2008Included observations: 15 after adjustmentsVariableCoeffic

4、ientStd. Errort-StatisticProb.C-301.8388394.3549-0.7653990.4577AGENT0.3829630.03223111.881750.0000R-squared0.915681Mean dependent var3875.880Adjusted R-squared0.909195S.D. dependent var2295.093S.E. of regression691.6017Akaike info criterion16.03946Sum squared resid6218068.Schwarz criterion16.13387Lo

5、g likelihood-118.2960Hannan-Quinn criter.16.03846F-statistic141.1760Durbin-Watson stat0.641734Prob(F-statistic)0.000000D-W=0.641734查表知：dL =1.08, du =1.36所以存在一階正自相關(guān)2、LM檢驗(yàn)Breusch-Godfrey Serial Correlation LM Test:F-statistic4.492419Prob. F(2,11)0.0375Obs*R-squared6.743741Prob. Chi-Square(2)0.0343Test

6、 Equation:Dependent Variable: RESIDMethod: Least SquaresDate: 12/13/15 Time: 20:43Sample: 1994 2008Included observations: 15Presample missing value lagged residuals set to zero.VariableCoefficientStd. Errort-StatisticProb.C-171.0092361.8256-0.4726290.6457AGENT0.0213550.0333880.6396130.5355RESID(-1)0

7、.8902450.3137952.8370260.0162RESID(-2)-0.1256190.426001-0.2948800.7736R-squared0.449583Mean dependent var-6.37E-13Adjusted R-squared0.299469S.D. dependent var666.4441S.E. of regression557.7986Akaike info criterion15.70905Sum squared resid3422532.Schwarz criterion15.89786Log likelihood-113.8179Hannan

8、-Quinn criter.15.70704F-statistic2.994946Durbin-Watson stat2.036592Prob(F-statistic)0.077146nR2=6.743741,查表得 殍（p）=5.99。p值=0.0343小于0.05,拒絕原假設(shè),不存在高階自相關(guān)。修正（迭代法）Dependent Variable: COSTMethod: Least SquaresDate: 12/13/15 Time: 20:55Sample (adjusted): 1995 2008Included observations: 14 after adjustmentsC

9、onvergence achieved after 32 iterationsVariableCoefficientStd. Errort-StatisticProb.C-105.10801522.424-0.0690400.9462AGENT0.3966590.1023713.8747320.0026AR(1)0.7549890.2872182.6286300.0235R-squared0.945391Mean dependent var4079.621Adjusted R-squared0.935462S.D. dependent var2236.535S.E. of regression

10、568.1771Akaike info criterion15.71015Sum squared resid3551077.Schwarz criterion15.84709Log likelihood-106.9711Hannan-Quinn criter.15.69748F-statistic95.21571Durbin-Watson stat1.467537Prob(F-statistic)0.000000Inverted AR Roots.75D-W=1.467537無法查表，所以用LM檢驗(yàn)Breusch-Godfrey Serial Correlation LM Test:F-sta

11、tistic1.019016Prob. F(1,10)0.3366Obs*R-squared1.294691Prob. Chi-Square(1)0.2552Test Equation:Dependent Variable: RESIDMethod: Least SquaresDate: 12/13/15 Time: 21:01Sample: 1995 2008Included observations: 14Presample missing value lagged residuals set to zero.VariableCoefficientStd. Errort-Statistic

12、Prob.C11.127301521.1400.0073150.9943AGENT-0.0335630.107550-0.3120670.7614AR(1)-0.3234740.430157-0.7519900.4694RESID(-1)0.4854860.4809351.0094630.3366R-squared0.092478Mean dependent var7.45E-06Adjusted R-squared-0.179779S.D. dependent var522.6469S.E. of regression567.6866Akaike info criterion15.75597Sum squared resid3222681.Schwarz criterion15.93856Log likelihood-106.2918Hannan-Quinn criter.15.73907F-st