计量经济学实验

1.回归结果Filenewworkfileunstructured/undateddata range observations:20输入命令：DATA Y C X 回车 LS Y C X 回车Dependent Variable: YMethod: Least SquaresDate: 05/30/12 Time: 19:52Sample: 1 20Included observations: 20CoefficientStd. Errort-StatisticProb.C272.3635159.67731.7057130.1053X0.7551250.02331632.386900.0000R-squared0.983129Mean dependent var5199.515Adjusted R-squared0.982192S.D. dependent var1625.275S.E. of regression216.8900Akaike info criterion13.69130Sum squared resid846743.0Schwarz criterion13.79087Log likelihood-134.9130Hannan-Quinn criter.13.71073F-statistic1048.912Durbin-Watson stat1.189253Prob(F-statistic)0.000000怀特检验View-residuai testsheteroskedasticity testswhite Heteroskedasticity Test: WhiteF-statistic14.63595Prob. F(2,17)0.0002Obs*R-squared12.65213Prob. Chi-Square(2)0.0018Scaled explained SS5.568079Prob. Chi-Square(2)0.0618Test Equation:Dependent Variable: RESID2Method: Least SquaresDate: 05/30/12 Time: 19:53Sample: 1 20Included observations: 20CoefficientStd. Errort-StatisticProb.C-180998.9103318.2-1.7518580.0978X49.4284628.939291.7080060.1058X2-0.0021150.001847-1.1447420.2682R-squared0.632606Mean dependent var42337.15Adjusted R-squared0.589384S.D. dependent var45279.67S.E. of regression29014.92Akaike info criterion23.52649Sum squared resid1.43E+10Schwarz criterion23.67585Log likelihood-232.2649Hannan-Quinn criter.23.55565F-statistic14.63595Durbin-Watson stat1.061453Prob(F-statistic)0.000201消除异方差GENR W1=1/X 回车Dependent Variable: YMethod: Least SquaresDate: 05/30/12 Time: 19:54Sample: 1 20Included observations: 20Weighting series: W1CoefficientStd. Errort-StatisticProb.C311.1800165.72801.8776550.0767X0.7488850.02831026.453240.0000Weighted StatisticsR-squared0.974922Mean dependent var4824.859Adjusted R-squared0.973529S.D. dependent var193.2590S.E. of regression181.5679Akaike info criterion13.33578Sum squared resid593404.0Schwarz criterion13.43535Log likelihood-131.3578Hannan-Quinn criter.13.35521F-statistic699.7741Durbin-Watson stat1.226364Prob(F-statistic)0.000000Unweighted StatisticsR-squared0.983060Mean dependent var5199.515Adjusted R-squared0.982119S.D. dependent var1625.275S.E. of regression217.3303Sum squared resid850184.2Durbin-Watson stat1.198110消除后再检验View-residuai testsheteroskedasticity testswhite Heteroskedasticity Test: WhiteF-statistic0.860098Prob. F(2,17)0.4407Obs*R-squared1.837797Prob. Chi-Square(2)0.3990Scaled explained SS0.397241Prob. Chi-Square(2)0.8199Test Equation:Dependent Variable: WGT_RESID2Method: Least SquaresDate: 05/30/12 Time: 19:54Sample: 1 20Included observations: 20Collinear test regressors dropped from specificationCoefficientStd. Errort-StatisticProb.C12588.6886208.320.1460260.8856WGT74981.14200247.20.3744430.7127WGT2-54621.55109057.5-0.5008510.6229R-squared0.091890Mean dependent var29670.20Adjusted R-squared-0.014947S.D. dependent var22238.71S.E. of regression22404.29Akaike info criterion23.00937Sum squared resid8.53E+09Schwarz criterion23.15873Log likelihood-227.0937Hannan-Quinn criter.23.03853F-statistic0.860098Durbin-Watson stat1.684442Prob(F-statistic)0.440735帕克检验命令：LS Y C XGENR lne=log(resid2)GENR lnx=log(x)LS lne lnxDependent Variable: LNEMethod: Least SquaresDate: 05/30/12 Time: 21:13Sample: 1 20Included observations: 20CoefficientStd. Errort-StatisticProb.LNX1.1268070.04155827.114130.0000R-squared0.171924Mean dependent var9.827192Adjusted R-squared0.171924S.D. dependent var1.786002S.E. of regression1.625238Akaike info criterion3.857893Sum squared resid50.18658Schwarz criterion3.907679Log likelihood-37.57893Hannan-Quinn criter.3.867611Durbin-Watson stat1.894196GQ检验命令：SORT XSMPL 1 7LS Y C XSMPL 14 20LS Y C XDependent Variable: YMethod: Least SquaresDate: 05/30/12 Time: 21:15Sample: 1 7Included observations: 7CoefficientStd. Errort-StatisticProb.C1619.5771936.4140.8363800.4411X0.4831410.3940491.2260930.2748R-squared0.231160Mean dependent var3992.683Adjusted R-squared0.077392S.D. dependent var163.6466S.E. of regression157.1866Akaike info criterion13.18770Sum squared resid123538.2Schwarz criterion13.17225Log likelihood-44.15695Hannan-Quinn criter.12.99669F-statistic1.503304Durbin-Watson stat2.610823Prob(F-statistic)0.274754Dependent Variable: YMethod: Least SquaresDate: 05/30/12 Time: 21:17Sample: 14 20Included observations: 7CoefficientStd. Errort-StatisticProb.C-126.2083623.2100-0.2025130.8475X0.7954780.06843911.623230.0001R-squared0.964311Mean dependent var6980.719Adjusted R-squared0.957173S.D. dependent var1541.068S.E. of regression318.9180Akaike info criterion14.60270Sum squared resid508543.6Schwarz criterion14.58725Log likelihood-49.10946Hannan-Quinn criter.14.41169F-statistic135.0995Durbin-Watson stat1.888183Prob(F-statistic)0.000083(数据有误）2.自相关得出回归结果命令：LS Y C X Dependent Variable: YMethod: Least SquaresDate: 05/30/12 Time: 19:55Sample: 1 20Included observations: 20CoefficientStd. Errort-StatisticProb.C272.3635159.67731.7057130.1053X0.7551250.02331632.386900.0000R-squared0.983129Mean dependent var5199.515Adjusted R-squared0.982192S.D. dependent var1625.275S.E. of regression216.8900Akaike info criterion13.69130Sum squared resid846743.0Schwarz criterion13.79087Log likelihood-134.9130Hannan-Quinn criter.13.71073F-statistic1048.912Durbin-Watson stat1.189253Prob(F-statistic)0.000000拉格朗日检验-一阶操作：viewserial correlation LM test-1Breusch-Godfrey Serial Correlation LM Test:F-statistic1.719965Prob. F(1,17)0.2071Obs*R-squared1.837572Prob. Chi-Square(1)0.1752Test Equation:Dependent Variable: RESIDMethod: Least SquaresDate: 05/30/12 Time: 20:51Sample: 1 20Included observations: 20Presample missing value lagged residuals set to zero.CoefficientStd. Errort-StatisticProb.C1.070321156.57870.0068360.9946X-0.0004260.022865-0.0186430.9853RESID(-1)0.3055310.2329681.3114740.2071R-squared0.091879Mean dependent var-3.47E-13Adjusted R-squared-0.014959S.D. dependent var211.1052S.E. of regression212.6784Akaike info criterion13.69492Sum squared resid768945.4Schwarz criterion13.84428Log likelihood-133.9492Hannan-Quinn criter.13.72408F-statistic0.859982Durbin-Watson stat1.813187Prob(F-statistic)0.440781二阶Breusch-Godfrey Serial Correlation LM Test:F-statistic0.854778Prob. F(2,16)0.4439Obs*R-squared1.930659Prob. Chi-Square(2)0.3809Test Equation:Dependent Variable: RESIDMethod: Least SquaresDate: 05/30/12 Time: 21:01Sample: 1 20Included observations: 20Presample missing value lagged residuals set to zero.CoefficientStd. Errort-StatisticProb.C1.205976160.98420.0074910.9941X-0.0004850.023509-0.0206250.9838RESID(-1)0.2834350.2515831.1266070.2765RESID(-2)0.0722270.2515760.2870990.7777R-squared0.096533Mean dependent var-3.47E-13Adjusted R-squared-0.072867S.D. dependent var211.1052S.E. of regression218.6613Akaike info criterion13.78978Sum squared resid765004.4Schwarz criterion13.98893Log likelihood-133.8978Hannan-Quinn criter.13.82866F-statistic0.569852Durbin-Watson stat1.771749Prob(F-statistic)0.642887DW检验命令：LS Y C XDependent Variable: YMethod: Least SquaresDate: 05/30/12 Time: 19:58Sample: 1 20Included observations: 20CoefficientStd. Errort-StatisticProb.C272.3635159.67731.7057130.1053X0.7551250.02331632.386900.0000R-squared0.983129Mean dependent var5199.515Adjusted R-squared0.982192S.D. dependent var1625.275S.E. of regression216.8900Akaike info criterion13.69130Sum squared resid846743.0Schwarz criterion13.79087Log likelihood-134.9130Hannan-Quinn criter.13.71073F-statistic1048.912Durbin-Watson stat1.189253Prob(F-statistic)0.000000修正一阶自相关，广义差分命令：LS Y C X AR(1)Dependent Variable: YMethod: Least SquaresDate: 05/30/12 Time: 20:25Sample (adjusted): 2 20Included observations: 19 after adjustmentsConvergence achieved after 10 iterationsCoefficientStd. Errort-StatisticProb.C334.9084153.05142.1882090.0438X0.7400640.02253232.845210.0000AR(1)0.2678820.2064081.2978240.2127R-squared0.985057Mean dependent var5026.147Adjusted R-squared0.983189S.D. dependent var1467.567S.E. of regression190.2829Akaike info criterion13.47884Sum squared resid579321.5Schwarz criterion13.62796Log likelihood-125.0490Hannan-Quinn criter.13.50408F-statistic527.3509Durbin-Watson stat1.150703Prob(F-statistic)0.000000Inverted AR Roots.27修正后一阶检验操作：viewserial correlation LM test-1Breusch-Godfrey Serial Correlation LM Test:F-statistic5.550298Prob. F(1,15)0.0325Obs*R-squared5.131588Prob. Chi-Square(1)0.0235Test Equation:Dependent Variable: RESIDMethod: Least SquaresDate: 05/30/12 Time: 20:27Sample: 2 20Included observations: 19Presample missing value lagged residuals set to zero.CoefficientStd. Errort-StatisticProb.C-3.687755135.0571-0.0273050.9786X0.0052030.0200040.2600960.7983AR(1)-0.6059060.315144-1.9226310.0737RESID(-1)0.9088090.3857582.3559070.0325R-squared0.270084Mean dependent var-6.38E-11Adjusted R-squared0.124100S.D. dependent var179.4005S.E. of regression167.9000Akaike info criterion13.26928Sum squared resid422856.3Schwarz criterion13.46811Log likelihood-122.0581Hannan-Quinn criter.13.30293F-statistic1.850099Durbin-Watson stat2.040879Prob(F-statistic)0.181456修正二阶自相关，广义差分Dependent Variable: YMethod: Least SquaresDate: 05/30/12 Time: 21:03Sample (adjusted): 3 20Included observations: 18 after adjustmentsConvergence achieved after 7 iterationsCoefficientStd. Errort-StatisticProb.C327.8700137.13392.3908740.0314X0.7472600.01768642.251020.0000AR(1)0.5715760.2165892.6389870.0194AR(2)-0.0288400.189726-0.1520100.8813R-squared0.989959Mean dependent var4965.320Adjusted R-squared0.987807S.D. dependent var1485.264S.E. of regression164.0057Akaike info criterion13.23081Sum squared resid376570.3Schw