计量经济学154--155页8题答案.doc

第四章第八题Dependent Variable: YMethod: Least SquaresDate: 05/04/12 Time: 09:31Sample: 1 20Included observations: 20VariableCoefficientStd. Errort-StatisticProb.C279.4638163.10281.7134210.1038X0.7545570.02383031.664090.0000R-squared0.982364Mean dependent var5199.515Adjusted R-squared0.981384S.D. dependent var1625.275S.E. of regression221.7547Akaike info criterion13.73566Sum squared resid885152.5Schwarz criterion13.83523Log likelihood-135.3566Hannan-Quinn criter.13.75510F-statistic1002.615Durbin-Watson stat1.594694Prob(F-statistic)0.000000（1）：Y = 279.464 + 0.755*X（2）：存在异方差散点图为： 所以由散点图可以看出：残差平方和对大致存在递增关系，即存在单调增型的异方差。（3）加权最小二乘法：Dependent Variable: LOG(E2)Method: Least SquaresDate: 04/27/12 Time: 12:46Sample: 1 20Included observations: 20VariableCoefficientStd. Errort-StatisticProb.C6.8251331.1284456.0482660.0000X0.0004600.0001652.7922580.0120R-squared0.302237Mean dependent var9.827192Adjusted R-squared0.263472S.D. dependent var1.786002S.E. of regression1.532769Akaike info criterion3.786668Sum squared resid42.28885Schwarz criterion3.886242Log likelihood-35.86668Hannan-Quinn criter.3.806106F-statistic7.796706Durbin-Watson stat2.208422Prob(F-statistic)0.012035OLS回归表明X的参数在5%的显著水平下不为0，同时F检验页表明方程的线性关系在5%的显著水平下成立。于是生成权序列估计结果如下表：Dependent Variable: YMethod: Least SquaresDate: 05/02/12 Time: 19:41Sample: 1 20Included observations: 20Weighting series: WWhite Heteroskedasticity-Consistent Standard Errors & CovarianceVariableCoefficientStd. Errort-StatisticProb.C359.3592178.97222.0079050.0599X0.7399600.03218022.994080.0000Weighted StatisticsR-squared0.959725Mean dependent var4649.659Adjusted R-squared0.957487S.D. dependent var885.0580S.E. of regression172.0031Akaike info criterion13.22754Sum squared resid532531.4Schwarz criterion13.32712Log likelihood-130.2754Hannan-Quinn criter.13.24698F-statistic428.9242Durbin-Watson stat1.351960Prob(F-statistic)0.000000Unweighted StatisticsR-squared0.982675Mean dependent var5199.515Adjusted R-squared0.981713S.D. dependent var1625.275S.E. of regression219.7856Sum squared resid8