實(shí)驗(yàn)報(bào)告：異方差的檢驗(yàn)與修正-樊月 13241134

實(shí)驗(yàn)報(bào)告一：異方差的檢驗(yàn)與修正實(shí)驗(yàn)[=]Equation:UNTITLEDWnHdJe:財(cái)政收入國(guó)內(nèi)生產(chǎn)總值::Untitled、_HX[viewProcObjectPrintName|FreezeEstimate|ForecastStatsResidsDependentVariable:YMethod:LeastSquares□ate:03J25716Time:20:44Sample:2001Q12015Q4Includedobservations:60VariableCoefficientStdErrort-StatisticProb.C-2067.506926.3062-2.2319900.0295X0.2279880.00933324,414880.0000R-squared0.911327Meandependentvar1765-5.45-AdjustedR-squared0,909790S.D.dependlentwar11690.49S.E.ofregression3511.033Akaikeinfocriierion19.19300Sumsquaredre^id7.15E-HO0Schwarzcriterion19,26731Loglikelihood-57S,9401Hannan-Quinncriter.19,22531F-statisiic596.0864Durbin-Watsonstat1.970133-□lgh_F匚c+r+innnnnnn(=)Equation:UMTTTLECtWurkffre:財(cái)政收入國(guó)內(nèi)生產(chǎn)總值::Untitled*_HX[viewProcObjectPrintNameFreezeEstimateForecastStatsResidsDependentVariable:YMethod:LeastSquares□ate:03;25716Time:21:07=Sampie:2001Q12007Q1Includedobservations:25VariableCoefficientStd.Errort-StatisticProb.C-116-0.455723.6556-1.61465-70.1200X0.2015-570.01766311.408070.0000R-squared0.849815Meandependentvar6303.45.2AdjustedR-squared0.843235S.D.dependentvar2375.114S.E.ofregression9402428Akaikeinfocriterion16,60677Sumsquaredresid203333-01Schwarzcriterion16,70428Loglikelihood-205.5846Hannan-Quinncriter16633S2F-statistic130.1440Durbin-Watsonstat1.843948OrrbhfCc+r+iL+idnnnnnnnY=-1168.455+0.201557X(2001Q1-2007Q1)(-1.6147)(11.4080)R2=0.849815■e2=203333011與Equation:UMELEDM/arkfiL財(cái)政收入國(guó)內(nèi)生產(chǎn)總值::UntitlEdT_HX[viewProcObjectPrint|NameFreezeEstimateForecastStatsResidsDependentVariable:￥Method:LeastSquares□ate:03/25y16Time:21:11Sample:2009Q4-2015G4Includedobservations:25,VariableCoefficientStd.Errort-StatisticProbcX4-126.2550.106574+965,6900.830953□.□355445.2490850.4145□.□□□CiR-squaredAdjustedR-squaredS.E.ofregressionSumsquaredresidLaglikelihoodF-statisticOfckhF匚廠+c+i匹+i0.5450310.&252504-760.5825.21E+08-246.134327,55289nnnnmp;Meandiependent\/arS.D.dependentvarAkaikeinfocriterionS-chwarzcriterionHannan-Quinncriter.□urbin-Watsonstat29707.976909.19+19,8507519,9432619,877791.823134▼Y=4126.255+0.186574X(2009Q4-2015Q4)(0.8309)(5.2491)R2=0,5450■e2=5210000002

求F統(tǒng)計(jì)量F=■e:D.對(duì)數(shù)變換法D/■e2=25.6229,查F分布表，給定顯著性水平a:D.對(duì)數(shù)變換法DF(25,25)=1.96比較F=25.6229>F(25,25)=1.96則拒絕H:?2-.2,表明0.050.05012隨機(jī)誤差項(xiàng)顯著異方差。口D異方差的修正口1.WLS估計(jì)法口Dependent口variable:口yMethod：口Least口squaresDate:口03/28/口口口口口Time:口口口：口口sample:口口口口口口口口口口口口口口included口observations:口口口weighting口series:口口口口口0口口)weight口type:口inverse口standard口deviation口(EViews口default口scaling)variablecoefficientstd.口Errort-statisticprob.口口C-2141.584594.5232-3.6021870.0007X0.2288450.00824727.748930.0000weighted口statisticsR-squaredAdjusted口R-squareds.E.口of口regressionsum口squared口residLog口likelihoodF-statisticprob(F-statistic)R-squaredAdjusted口R-squareds.E.口of口regressionDurbin-watson口stat0.929952口口口口Mean口dependent口var14420.760.928744R-squaredAdjusted口R-squareds.E.口of口regressionsum口squared口residLog口likelihoodF-statisticprob(F-statistic)R-squaredAdjusted口R-squareds.E.口of口regressionDurbin-watson口stat-557.4239口口口Hannan-Quinn口criter18.67477770.0030口口口口Durbin-watson口stat1.9844420.000000口口口口weighted口mean口dep.11606.11unweighted口statistics17655.4511690.497.15E+080.911314口口口口Mean口dependent口var0.909785口口口口s.D.口dependent口var3511.338口口口口sum口squared口17655.4511690.497.15E+08DependentVariable:LOG(Y)Method:LeastSquaresDate:03/28/16Time:22:24Sample:2001Q12015Q4Includedobservations:60VariableCoefficientStd.Errort-StatisticProb.C-3.6123320.423149-8.5367900.0000LOG(X)1.1740240.03775431.096990.0000R-squared0.943416Meandependentvar9.526445AdjustedR-squared0.942440S.D.dependentvar0.750638S.E.ofregression0.180090Akaikeinfocriterion-0.557954Sumsquaredresid1.881081Schwarzcriterion-0.488143Loglikelihood18.73863Hannan-Quinncriter.-0.530647F-statistic967.0231Durbin-Watsonstat2.078750Prob(F-statistic)0.000000[=]Equation:UNT1TL.EDWarkfil已:貨幣供應(yīng)量N1：[或國(guó)內(nèi)生產(chǎn)總值_HX[viewProcObjectPrint|NameFreezeEstimate-ForecastStatsResidsDependentVariablesMethod:LeastSquares□ate:03/26d6Time:10:16三Sample:2001Q12015U4Includedobservations:60VariableCoefficientStd.Errort-StatisticPrabC4503.4844-097.00-81.0991910.2762X2.1280800.04130351,52393□,□□□aR-squared0.97S619Meandependentwar183600.3AdjustedR-squared0.97S251S-.D.dependentvar105302.4S.E.ofregression15529.66Akaikeinfocriterion22,17166Sumsquaredresid1.40E+10S-chwarzcriterion22,24147Laglikelihood-663.1497Hannan-Quinncriter.22,19396F-statistic2654.721Durbin-Watsonstat1.459178OrH-bIh.f'CL+r+ir="+ig、nnnonnn

[=]Equation:UNT1TL.EDWorkf口已:貨幣供應(yīng)量N1：[或國(guó)內(nèi)生產(chǎn)總值_HX[viewProcObjectPrintNameFreezeEstimate-ForecastStatsResidsDependentVariablesMethod:LeastSquares□ate:03726y16Time:10:22Sample:2001Q12007Q1Includedobservations:25VariableCoefficientStd.Errort-StatisticProbC5954.1824-aS0.3071.4590700.1581X^.0219170.09963220.29381□,□□□aR-squared0.947107MeandependentwarB5924.29AdjustedR-squared0.94-4807S-.D.dependentvar22569.01S.E.ofregression5302.176Akaikeinfocriterion20,06624Sumsquaredresid6.47E+03S-chwarzcriterion20,16375Laglikelihood-243.8280Hannan-Quinncriter.20,09329F-statistic411.8336Durbin-Watsonstat1.796326Orr\In產(chǎn)匚l+c+ir="+innnnnnn丫=-1168.455+0.201557X(2001Q1-2007Q1)(-1.6147)(11.4080)R2=0.849815■e2=203333011[=]Equation:UNTITLEDWarkfiL貨幣供應(yīng)曼Ml或國(guó)內(nèi)生產(chǎn)總值_DX[viewProcObjectPrintNameFreezeEstimate-ForecastStatsResids▲DependentVariable:￥Method:LeastSquares□ate:03726/16Time:10:23Sample:2009Q4-2015G4Includedobservations:25VariableCoefficientStd.Errort-S-tatisticProbC^5867.2714-794.^5.8040490.000CIX1.5-727940.10539714.35203□,□□□aR-squared0.905577Meandependentvar301517.7AdjustedR-squared0.901471S-.D.dependentvar45185.19S.E.ofregression14183.29Akaikeinfocriterion22,03414Sumsquaredresid4.6SE+09S-chwarzcriterion22,13165Laglikelihood-273.4267Hannan-Quinncriter.22,06118F-statistic220.5S43Durbin-Watsonstat1.82S394-OfgkhFE7r+c+ie+ig、nnnnnnn丫=4126.255+0.186574X(2009Q4-2015Q4)(0.8309)(5.2491)R2=0,5450■e2=5210000002求F統(tǒng)計(jì)量F=■e2/■e2=25.6229,查F分布表，給定顯著性水平a=0.05,得臨界值F(25,25)=1.96比較F=25.6229>F(25,25)=1.96則拒絕H:?2■■z，表明0.050.05012隨機(jī)誤差項(xiàng)顯著異方差?？贒異方差的修正口.WLS估計(jì)法口

DependentVariable:YMethod:LeastSquaresDate:03/28/16Time:22:45Sample:2001Q12015Q4Includedobservations:60Weightingseries:XA(-0.5)Weighttype:Inversestandarddeviation(EViewsdefaultscaling)VariableCoefficientStd.Errort-StatisticProb.C1369.5942784.4270.4918770.6247X2.1643060.03862456.034740.0000WeightedStatisticsR-squared0.981863Meandependentvar158114.8AdjustedR-squared0.981550S.D.dependentvar47804.02S.E.ofregression12487.05Akaikeinfocriterion21.73554Sumsquaredresid9.04E+09Schwarzcriterion21.80535Loglikelihood-650.0661Hannan-Quinncriter.21.76284F-statistic3139.893Durbin-Watsonstat1.447536Prob(F-statistic)0.000000Weightedmeandep.131389.0UnweightedStatisticsR-squared0.978336Meandependentvar188600.8AdjustedR-squared0.977962S.D.dependentvar105302.4S.E.ofregression15632.31Sumsquaredresid1.42E+10Durbin-Watsonstat1.496518.對(duì)數(shù)變換法DependentVariable:LOG(Y)Method:LeastSquaresDate:03/28/16Time:22:47Sample:2001Q12015Q4Includedobservations:60VariableCoefficientStd.Errort-StatisticProb.C0.8347690.1770924.7137650.0000LOG(X)0.9950890.01580062.979370.0000R-squared0.985588Meandependentvar11.97105AdjustedR-squared0.985339S.D.dependentvar0.622472S.E.ofregression0.075369Akaikeinfocriterion-2.300066Sumsquaredresid0.329472Schwarzcriterion-2.230255Loglikelihood71.00198Hannan-Quinncriter.-2.272759F-statistic3966.400Durbin-Watsonstat1.462479Prob(F-statistic)0.000000實(shí)驗(yàn)三:

DependentVariable:YMethod:LeastSquaresDate:03/29/16Time:14:36Sample:2009M072014M12Includedobservations:66VariableCoefficientStd.Errort-StatisticProb.C50738.187172.9527.0735420.0000X7.1752200.22066332.516690.0000R-squared0.942925Meandependentvar280869.5AdjustedR-squared0.942033S.D.dependentvar39389.25S.E.ofregression9483.456Akaikeinfocriterion21.18232Sumsquaredresid5.76E+09Schwarzcriterion21.24867Loglikelihood-697.0166Hannan-Quinncriter.21.20854F-statistic1057.335Durbin-Watsonstat0.679744Prob(F-statistic)0.000000(jUGraph:UMTTTLEDWorkfil曰212:2121.DX|ViewProcObjectPrint|NameFreezeOptionsUpdateAdcITextLine/ShadeRemosoo.o-oo.DOO400.0-00.DOO3DD.MD.DDD100.0-00.DOO28,00032.00040.00044.000020.000DependentVariable:YMethod:LeastSquaresDate:03/29/16Time:14:44Sample:2009M072011M12Includedobservations:30VariableCoefficientStd.Errort-StatisticProb.C62809.8212024.985.2232800.0000X6.6908380.43384015.422370.0000R-squared0.894677Meandependentvar246627.0AdjustedR-squared0.890916S.D.dependentvar26433.42S.E.ofregression8730.405Akaikeinfocriterion21.05135Sumsquaredresid2.13E+09Schwarzcriterion21.14476Loglikelihood-313.7703Hannan-Quinncriter.21.08124F-statistic237.8495Durbin-Watsonstat0.401115Prob(F-statistic)0.000000DependentVariable:YMethod:LeastSquaresDate:03/29/16Time:14:44Sample:2012M072014M12Includedobservations:30VariableCoefficientStd.Errort-StatisticProb.C113140.121092.045.3641140.0000X5.5493700.5756199.6407060.0000R-squared0.768486Meandependentvar315969.7AdjustedR-squared0.760218S.D.dependentvar16740.03S.E.ofregression8197.180Akaikeinfocriterion20.92531Sumsquaredresid1.88E+09Schwarzcriterion21.01872Loglikelihood-311.8796Hannan-Quinncriter.20.95519F-statistic92.94320Durbin-Watsonstat1.106176Prob(F-statistic)0.000000DependentVariable:YMethod:LeastSquaresDate:03/29/16Time:15:07Sample:2009M072014M12Includedobservations:66Weightingseries:XA(-0.5)Weighttype:Inversestandarddeviation(EViewsdefaultscaling)VariableCoefficientStd.Errort-StatisticProb.C49397.046744.7887.3237360.0000X7.2170350.21346733.808710.0000WeightedStatisticsR-squared0