用生成命令生成有异方差和自相关的数据.doc

实验目的：使用生成命令生成随机扰动项有自相关的数据。第一步，用smpl命令定义样本区间1901-1930，在Eviews中输入smpl 1901 1930。第二步，用genr命令定义u=1 ，在Eviews中输入genr =1。第三步，用genr命令在Eviews中随机生成u1， 输入genr u1 = rnd。第四步，用smpl命令改变样本区间为1902-1930，在Eviews中输入smpl 1902 1930。第五步，用genr命令定义，在Eviews中输入u=0.5*u（-1）+u1。第六步，用genr命令在Eviews中随机生成x，输入genr X = rnd*20第七步，用genr命令定义Y=0.5*X + 第八步，用定义的Y和X作回归，在Eviews中输入LS Y C X.得出回归结果如下：Dependent Variable: YMethod: Least SquaresDate: 12/17/10 Time: 21:54Sample: 1902 1930Included observations: 29VariableCoefficientStd. Errort-StatisticProb.C1.0124890.1057109.5779860.0000X0.4985250.00930053.604920.0000R-squared0.990691Mean dependent var5.724947Adjusted R-squared0.990346S.D. dependent var3.217584S.E. of regression0.316136Akaike info criterion0.601181Sum squared resid2.698426Schwarz criterion0.695477Log likelihood-6.717123F-statistic2873.487Durbin-Watson stat1.233221Prob(F-statistic)0.000000由回归结果知D.W=1.233221，表明存在自相关。而且上述生成结果较满足此次实验的目的。实验目的：使用生成命令生成随机扰动项有异方差的数据。第一步，在Eviews中定义样本区间范围为30第二步，用genr命令在Eviews中随机生成u，在Eviews中输入genr u = rnd。第三步，用genr命令在Eviews中命令u1= 0.01*u，在Eviews中输入genr u1= 0.01*u。第四步，用genr命令在Eviews中随机生成u2，在Eviews中输入genr u2=5* rnd。第五步，用smpl命令定义样本区间为1-15，在Eviews中输入smpl 1 15。第六步，用genr命令在样本区间为1-15时定义u= u1，在Eviews中输入genr u=u1。第七步，用smpl命令定义样本区间为16-30，在Eviews中输入smpl16 30。第八步，用genr命令在样本区间为1-15时定义u= u2，在Eviews中输入genr u=u2。第九步，用genr命令在Eviews中随机生成x，输入genr X = rnd*20。第十步，用genr命令定义Y=0.5*X + 第十一步，用定义的Y和X作回归，在Eviews中输入LS Y C X.得出回归结果如下：Dependent Variable: YMethod: Least SquaresDate: 12/17/10 Time: 22:42Sample: 16 30Included observations: 15VariableCoefficientStd. Errort-StatisticProb.C3.1693261.0565212.9997760.0102X0.4876070.0752156.4828050.0000R-squared0.763751Mean dependent var9.115095Adjusted R-squared0.745578S.D. dependent var4.026958S.E. of regression2.031207Akaike info criterion4.378703Sum squared resid53.63541Schwarz criterion4.473110Log likelihood-30.84027F-statistic42.02676Durbin-Watson stat1.695878Prob(F-statistic)0.000021怀特检验结果如下：White Heteroskedasticity Test:F-statistic0.283939Probability0.757732Obs*R-squared0.677774Probability0.712563Test Equation:Dependent Variable: RESID2Method: Least SquaresDate: 12/17/10 Time: 22:45Sample: 16 30Included observations: 15VariableCoefficientStd. Errort-StatisticProb.C2.3825031.8086571.3172770.2123X0.3418690.4728850.7229430.4836X2-0.0150810.022796-0.6615530.5208R-squared0.045185Mean dependent var3.575694Adjusted R-squared-0.113951S.D. dependent var2.560842S.E. of regression2.702811Akaike info criterion5.003319Sum squared resid87.66228Schwarz criterion5.1449