计量经济学作业三样本.doc

注意红色的为要改的地方 自己改字体 自己排一下版 第一 检验异方差（一）图示检验法 建立工作文件： CREATE U 31输入统计资料： DATA Y x1 x2genr logy=log(y)genr logx1=log(x1)genr logx2=log(x2)ls lny c lnx1 lnx2Dependent Variable: LNYMethod: Least SquaresDate: 06/01/11 Time: 21:20（改时间）Sample: 1 31Included observations: 31VariableCoefficientStd. Errort-StatisticProb.C1.6025280.8609781.8612880.0732LNX10.3254160.1037693.1359550.0040LNX20.5070780.04859910.433850.0000R-squared0.796506Mean dependent var7.448704Adjusted R-squared0.781971S.D. dependent var0.364648S.E. of regression0.170267Akaike info criterion-0.611128Sum squared resid0.811747Schwarz criterion-0.472355Log likelihood12.47249Hannan-Quinn criter.-0.565892F-statistic54.79806Durbin-Watson stat1.964720Prob(F-statistic)0.000000OLS估计结果如下：SE (0.86) (0.104) (0.507)t值 （1.861） （3.136） （10.43）估计结果表明，其他收入的增长对人均消费支出的增长的影响大于农业收入增长对人均消费支出的增长。可以认为，不同地区农村人均消费支出的差别主要来源于非农经营收入及其他收入的差别，因此如果存在异方差，则可能是X2引起的。（自己随便改改）scat lnx2 resid2散点图表明可能存在单调递增型异方差。（二）Goldfeld-Quant检验sort X2smpl 1 13ls lny c lnx1 lnx2Dependent Variable: LNYMethod: Least SquaresDate: 06/01/11 Time: 21:50（改时间）Sample: 1 13Included observations: 13VariableCoefficientStd. Errort-StatisticProb.C3.6709341.1679993.1429250.0105LNX10.3625230.0786574.6088800.0010LNX20.1600630.1163881.3752480.1991R-squared0.706212Mean dependent var7.222890Adjusted R-squared0.647454S.D. dependent var0.140707S.E. of regression0.083545Akaike info criterion-1.927677Sum squared resid0.069798Schwarz criterion-1.797304Log likelihood15.52990Hannan-Quinn criter.-1.954474F-statistic12.01905Durbin-Watson stat2.190283Prob(F-statistic)0.002189样本1的回归结果为smpl 19 31ls lny c lnx1 lnx2Dependent Variable: LNYMethod: Least SquaresDate: 06/01/11 Time: 22:00（改时间）Sample: 19 31Included observations: 13VariableCoefficientStd. Errort-StatisticProb.C0.4171941.6272330.2563820.8029LNX10.1809800.1673171.0816540.3048LNX20.7862020.1049237.4931310.0000R-squared0.854758Mean dependent var7.745254Adjusted R-squared0.825709S.D. dependent var0.384123S.E. of regression0.160364Akaike info criterion-0.623564Sum squared resid0.257167Schwarz criterion-0.493191Log likelihood7.053168Hannan-Quinn criter.-0.650362F-statistic29.42527Durbin-Watson stat1.889087Prob(F-statistic)0.000065子样本2的回归结果为计算F统计量在5%的显著性水平下，自由度为（10,10）的F分布临界值为因为3.68482.98，所以在5%的显著性水平下拒绝两组样本存在同方差的假定，原模型中可能带来递增型的异方差（自己随便修改一下）（三）White检验SMPL 1 31ls lny c lnx1 lnx2Dependent Variable: LNYMethod: Least SquaresDate: 06/01/11 Time: 22:10（改时间）Sample: 1 31Included observations: 31VariableCoefficientStd. Errort-StatisticProb.C1.6025280.8609781.8612880.0732LNX10.3254160.1037693.1359550.0040LNX20.5070780.04859910.433850.0000R-squared0.796506Mean dependent var7.448704Adjusted R-squared0.781971S.D. dependent var0.364648S.E. of regression0.170267Akaike info criterion-0.611128Sum squared resid0.811747Schwarz criterion-0.472355Log likelihood12.47249Hannan-Quinn criter.-0.565892F-statistic54.79806Durbin-Watson stat0.851854Prob(F-statistic)0.000000回归结果为：从回归结果看，2.137 =2.084表明对残差平方序列有显著影响，原模型中可能存在带来的异方差。F=2.475，拒绝同方差性的原假设,可能存在异方差。（自己随便改改）第二 异方差性的修正GENR W1=1/ABS(RESID)LS(W=W1) lnY C lnX1 lnx2Dependent Variable: LNYMethod: Least SquaresDate: 05/30/11 Time: 22:48（改时间）Sample: 1 31Included observations: 31Weighting series: W1VariableCoefficientStd. Errort-StatisticProb.C1.2279290.2972684.1307080.0003LNX10.3757480.0568306.6117340.0000LNX20.5101200.01778128.688470.0000Weighted StatisticsR-squared0.992908Mean dependent var7.558578Adjusted R-squared0.992402S.D. dependent var12.31758S.E. of regression0.041062Akaike info criterion-3.455703Sum squared resid0.047210Schwarz criterion-3.316930Log likelihood56.56339Hannan-Quinn criter.-3.410466F-statistic1960.131Durbin-Watson stat1.109309Prob(F-statistic)0.000000Unweighted StatisticsR-squared0.794514Mean dependent var7.448704Adjusted R-squared0.779836S.D. dependent var0.364648S.E. of r