时间序列相关性检验-自相关.doc

序列相关性检验（一）一元线性回归结果：Dependent Variable: YMethod: Least SquaresDate: 06/01/12 Time: 14:16Sample: 1981 2007Included observations: 27VariableCoefficientStd. Errort-StatisticProb. C4276.3621079.7863.9603800.0005X0.8716680.02944829.600120.0000R-squared0.972258 Mean dependent var24869.44Adjusted R-squared0.971149 S.D. dependent var25261.92S.E. of regression4290.920 Akaike info criterion19.63758Sum squared resid4.60E+08 Schwarz criterion19.73356Log likelihood-263.1073 F-statistic876.1668Durbin-Watson stat0.174669 Prob(F-statistic)0.000000（二）拉格朗日乘数检验：含二阶残差项的回归结果：Breusch-Godfrey Serial Correlation LM Test:F-statistic120.8648 Probability0.000000Obs*R-squared24.65421 Probability0.000004Test Equation:Dependent Variable: RESIDMethod: Least SquaresDate: 06/01/12 Time: 13:50VariableCoefficientStd. Errort-StatisticProb. C361.5102372.64610.9701170.3421X-0.0256970.013222-1.9433980.0643RESID(-1)1.4775250.1936207.6310490.0000RESID(-2)-0.4852980.229297-2.1164590.0453R-squared0.913119 Mean dependent var-2.29E-12Adjusted R-squared0.901787 S.D. dependent var4207.593S.E. of regression1318.618 Akaike info criterion17.34251Sum squared resid39991346 Schwarz criterion17.53449Log likelihood-230.1239 F-statistic80.57655Durbin-Watson stat1.772240 Prob(F-statistic)0.000000含三阶残差项的回归结果：Breusch-Godfrey Serial Correlation LM Test:F-statistic77.16026 Probability0.000000Obs*R-squared24.65663 Probability0.000018Test Equation:Dependent Variable: RESIDMethod: Least SquaresDate: 06/01/12 Time: 13:53VariableCoefficientStd. Errort-StatisticProb. C340.4064405.78320.8388870.4106X-0.0246880.015080-1.6371600.1158RESID(-1)1.4649820.2146826.8239740.0000RESID(-2)-0.4417890.371964-1.1877210.2476RESID(-3)-0.0391990.260256-0.1506180.8816R-squared0.913208 Mean dependent var-2.29E-12Adjusted R-squared0.897428 S.D. dependent var4207.593S.E. of regression1347.559 Akaike info criterion17.41555Sum squared resid39950151 Schwarz criterion17.65552Log likelihood-230.1100 F-statistic57.87019Durbin-Watson stat1.751706 Prob(F-statistic)0.000000序列相关性消除（一）二阶迭代法回归结果：Dependent Variable: YMethod: Least SquaresDate: 06/01/12 Time: 15:22Sample(adjusted): 1983 2007Included observations: 25 after adjusting endpointsConvergence not achieved after 100 iterationsVariableCoefficientStd. Errort-StatisticProb. C921803.7585832910.0157350.9876X0.6036150.0879456.8635190.0000AR(1)1.5195610.1896688.0116780.0000AR(2)-0.5200790.203612-2.5542640.0185R-squared0.998698 Mean dependent var26697.20Adjusted R-squared0.998512 S.D. dependent var25384.37S.E. of regression979.2577 Akaike info criterion16.75711Sum squared resid20137857 Schwarz criterion16.95213Log likelihood-205.4639 F-statistic5368.622Durbin-Watson stat1.759566 Prob(F-statistic)0.000000Inverted AR Roots 1.00 .52再用拉格朗日乘数检验自相关是否已消除含二阶残差项回归结果：Breusch-Godfrey Serial Correlation LM Test:F-statistic0.831638 Probability0.450575Obs*R-squared2.011998 Probability0.365679Test Equation:Dependent Variable: RESIDMethod: Least SquaresDate: 06/01/12 Time: 15:27VariableCoefficientStd. Errort-StatisticProb. C33620447893174890.3764150.7108X-0.0383090.101577-0.3771430.7102AR(1)-0.0096630.725955-0.0133100.9895AR(2)0.0286470.7577680.0378040.9702RESID(-1)0.1573620.7324180.2148520.8322RESID(-2)-0.2659740.409538-0.6494480.5238R-squared0.080480 Mean dependent var3.544879Adjusted R-squared-0.161499 S.D. dependent var916.0045S.E. of regression987.2043