计量经济学(异方差检验并消除异方差)

1、&疗理工大学实验报告所属课程名称计量经济学实验日期 年 月 日班级学号姓名【实验目的及要求】使用Eviews软件对建立的回归模型进行异方差检验并且消除异方差实验原理】选取不同地区的国民收入Y和对外直接投资FDD,利用Eviews软件建立回 归模型并且进行异方差检验和消除异方差【实验使用的软件】Eviews实验内容：【实验方案设计、步骤、记录、分析】1. 启动Eviews软件包2. 创立工作文件3. 导入30个地区的国民收入Y和对外直接投资FDI4. 建立回归模型,进行异方差检验5. 消除异方差6. 保存数据7. 关闭Eviews软件包导入数据导入30个地区的国民收入Y和对外直接投资FDIE3P

2、rint 卩S3y FiJter UnWcti* hkw 尸呂g 童7建立回归模型JWH 曲2C i513Coeffieient Std Enor t-Statistic Prob2&8.(33 0(615,(FDI00187670.00557133685570.0022C8683 3481743.8964 9795680.000002883860.262971 7981497 174E+09-310 730411347170 002215Mea 仃 dependent var S D dependentvar AkatKe info criterion Schwarz criterion H

3、annan-Quinn cf tte r. Durbin-Watson statDate 05/21/12 Time: 19 30Sample 1 30Included observations: 30718.(309( t147( 网nrR-squared Adjusted R-squarec SE of regression Sum squared resid Log likelihoodF statistic ProoF-siaiistic)11995 63 9189356 20.84B6920.9421020.87859 1 607550View|ProeOto)eet| PmtlSa

4、mel Reeie| Estimte|Forcstl StatslResdsI口 Equation: UNTITLED Wcrkfifez l;Untrt1er%CD Group： UNTITLED Worlcfile: l:Untitled丘対也斗田1w|Proc| Obgect Pmt| Marne|Ffeze DefaultT Sort Trarspose： Edit+/-| Smp； +/JTititO&SFDIobsFDIa !132061.0021912B.0226532.001534730310513.0096405 0047435 000213&1 0058975 000885

5、4 000614258.00282410.079338 00019059 00811615003218D0Dj946718.0054684901016809.00105&365.1120217.00498055012fi4歼耳伽rwi-1:splay Fitter.ft.忤內.HE斗if # ru _TL- rL 1 03 2 2 2 1 c 7 8异方差检验1、戈德菲尔德一匡特检验 先将样本按照解释变量排序3=叵iV/orkfile: 2 - (c:program fiIeseviews5eiampIe fil.Vtwu Proc Object Prrt Name FreezeDefault

6、SortTranspose) Edb!+/J 5rnpl+/-JTi | Store Delete15引ODSY|FDiobsFDf*3097QQD001534.000|296591 0001743.000275022 0002342000287277.0002522.00C243G03 0004521 00C255662 0008384.00056975 0008B54.QOO79333.00019059 OC47435 00021361 002272Q ODD26Q830C8116150032130 0C26onoEM nr124irr卜去掉中间8组数据，得到两个样本，每个样本分别为11组

7、数据血冋|PfdcObjeu| PintNMm|FfggTt |C*fault * 丨 5ortTMrKpox 1*冋 5mpl*“|TiMRaS3面EE0分别进行两个样本回归的得到两个残差平方和RSS1和RSS2匚Equation: UMT1TLED Workfile： 2：Untitledi环Prxj Object口bmat日 FoMt| Stats |只母引CDCoefficientStl Error bStatisticProSnFDI0.1097770.0589671.8616620.0956e5219 533527 554767049770 0001squared0 27B024M

8、ean de pend ent var750Z455Adjusted R*squaree|Free|Estirnatej Facetist; Sta ts RnidsirDependent Variable: Y4QMethod: Least Squares=Date： Q5/21/12 Time: 19：S3Sample: 1 11Included observations: 11CaaffldentStd. Errort-Sitist)cPrcD.rFDI0.0033940.0128220.26467607972一C1S368.62659087727869760.0212R-$Quared

9、0.007724韓n dependent19824 27Adjusted Rquared-0 J 02529S,D. depennt var11472.64S.E of regression12046.44Akaike info criterion217938&Sum squared resid1 貂 ET98 ctiwarz criterion21 86624V Mi ra 1穴申!* ihj 尺齐 T嘴OU & 4kJ * ry1 -1 JI 1306049B3Z 023344| Pfldi=c:program filesevRSS2为 37RSS1和RSS2存在显著差异，所以存在异方差性

10、2、怀特检验iruuProcView| Proc Object ?mtNameFreeze | Estimate | Forecast Stats Resd$HeteroskedastidtyTest WhiteF-statistic3.722832 PfOD. F(2,270.0373Obs*R-squarad&484771 Prob Chi-Square(2)0,0391Scaled explained S319 68638 Prob ChSquare(2)0.0001 Equation： tINTTTLED Workfile： l:UntFtfedTest Equation Depend

11、ent Variable： RE SIDEMethod: Leasl SquaresDate 05/21/12 Tlmei20:07Sample： 1 30Includedtons. 30打Lej Delek，DCoeffioeat Std Error t-Statistjc Prob.rIfin 7773该图中P值很小，所以可以拒绝原假设，即该模型存在异方差性。3、戈里瑟检验 生成残差序列 Series! RE51D01 Workflle： l；:UntitkdLast updated 05W1価Modified: 1 30 /makeresid119264.79214967.91319.9

12、Q9&74-1549732r s124.98826274-13487296.470082327.227977771 33mnr卜View | Poc| Object卩nopetieg| Pint|M*rel=iree:ze| UefBultSort| Sdit4/-| Shyl+4|LabiRESIDC1sticler丄5/2titled:廷刁匸亘Hytewprx ObjectFreeze EsbmatB|Forecast| 5tats|ReMsDependent VanaDle AHS(RESID01) Method: Least SquaresDate. 05/21/12 Time 20

13、22Sample： 1 30JncluCed obs-ervations: 30X0,0158470.00343346163570.0001Rsquared0 084629Mean dependent var4537 854Adjuster R-iquared0 0845293 D dependent var6151448SE.of regresston5885.393AZaiice into enterton20 23110Sum squared resid1.Q0E*09SciiwaR cril&non20 27781Log likelihood-302 4665Hannan-Quinn

14、criter20 24604Durbin-WaUon stal1 474519Coefficiert Std Error t ststc pw.由于P很小，可以拒绝原假设，所以存在异方差口 Workfle； 1 - tc:program Ieseviewe5example fiLT.1消除异方差1、令y2=log (y) , x2=log(x)进行回归并且选择怀特检验检验异方差性Prr町 Save| Detais 砖SI凹 谗tdi 卜tore Detete Genr SampleDisplay Filter Range 130 - 30obsSample: 1 30 - 30ot)sc eq

15、Ol eq02 eqO4 grupQ4 group 05redid residOI* * Until俺d 、IMew Pggp从中可以看出P值很大，所以接受原假设，存在同方差，消除异方差r兀2、令y仁y/x ,x仁1/x进行回归求出残差序列resid02并进行戈里瑟残差检验15會口聊事也三10口()Weyj ProcObject| Prtnt riamejFreeze j Sort Transpcse Edt+/- Srnpl*,TitfeODSYllX1I1&0.0741799 82E06A190.0220031.28E-06200.1426082.39E-05210.1974122.37E

16、-05220.2763373.83E-05230.1556602.43E-0524 107969480.000221250.6753340.00011926 J0.1952403.01E-05272.1443210.000427282.0854030.000397293.8387840000574306.3233380.000652-4IrpO Group； UNTTTLED Workfik: l:Untitkd1 Prptj Object PrwrtC51 PrntjNmc| Frg| | 氏蓟 t二Sort) t击W-1 S*Tipt +卜| L缶1RESID02*Last updated

17、： 0&21/12-19:5213Modified; 1 30 makere&id1013390120146813300529774001687550.18341660 0458737 1160928nwqTirR 1Series; RESID02 Workfilc: l:UntitledVie*A : ProcPrintze fctmate! Forecast Stats ReliefsDependent /aria&fe ABS(RESIOO2 MetnoJ: Least SquaresDate. 05/21/12 Time. 20 50Sample 1 30Ircluded ob&rvafion& 30CoeffidenlStd. Error(-StatisticPrab.X924E-08223E-07Q.4138420 6820R-squared Adjusted R-squared S E