计量经济学实验报告-多重共线性检验

1、计量经济学实验报告计量经济学上机实验报告多重共线性检验实验背景近年来，中国旅游业一直保持高速发展，旅游业作为国民经济新的增长点，在整个社会经济发展中的作用日益显现。中国的旅游业分为国内旅游和入境旅游两大市场，入境旅游外汇收入年均增长22.6%，与此同时国内旅游也迅速增长。改革开放20多年来，特别是进入90年代后，中国的国内旅游收入年均增长14.4%，远高于同期GDP 9.76%的增长率。 为了规划中国未来旅游产业的发展，需要定量地分析影响中国旅游市场发展的主要因素。 模型 其中， Yt第t年全国旅游收入 X2国内旅游人数（万人） X3城镇居民人均旅游支出 （元） X4农村居民人均旅游支出 （元

2、） X5公路里程（万公里） X6铁路里程（万公里）Y = 0.0639689468*X2 + 0.2098186372*X3 + 5.283346538*X4 - 3.352906602*X5 - 53.38584085*X6 - 2220.150544数据来源中国统计局网站样本区间 19942009实验过程及结果（一）实证结果Dependent Variable: YMethod: Least SquaresDate: 04/06/11 Time: 15:49Sample: 1994 2009Included observations: 16VariableCoefficientStd. E

3、rrort-StatisticProb.  X20.0639690.0077148.2928750.0000X30.2098191.3192920.1590390.8768X45.2833471.9188382.7534090.0204X5-3.3529072.376484-1.4108690.1886X6-53.38584434.6829-0.1228160.9047C-2220.1512210.044-1.0045730.3388R-squared0.994274    Mean dependent var4270.119Adju

4、sted R-squared0.991411    S.D. dependent var2720.860S.E. of regression252.1678    Akaike info criterion14.17806Sum squared resid635886.0    Schwarz criterion14.46778Log likelihood-107.4245    F-statistic347.2644Durbin-Wa

5、tson stat1.224560    Prob(F-statistic)0.000000R2很高，F显著，但x3、x5、x6不显著，X5、X6的符号甚至是负的。可能存在多重共线性（二）检查各解释变量之间的相关性X2X3X4X5X6X2 1.000000 0.843453 0.700655 0.964909 0.944409X3 0.843453 1.000000 0.843991 0.822201 0.913464X4 0.700655

6、60;0.843991 1.000000 0.661270 0.827867X5 0.964909 0.822201 0.661270 1.000000 0.904867X6 0.944409 0.913464 0.827867 0.904867 1.000000各解释变量相互之间的相关系数较高，证实确实存在严重多重共线性。（三）进一步检验和消除多重共线性，采用逐步回归法分别作Y对X2、X3、X4、X5、X6的一元回归，结果如下：变量x2x3x4x5x6参数估计值0

7、.06198217.7860328.7987124.211453751.241t统计量27.922416.6631754.49383710.8558812.83403R-squared0.982360.7602650.5905780.8938190.921662按R-squared大小排序为：X2、X6、X5、X3、X4以X2为基础，分别加入X3、X4、X5、X6加入X3，不显著，排除。Dependent Variable: YMethod: Least SquaresDate: 04/06/11 Time: 16:11Sample: 1994 2009Included observation

8、s: 16VariableCoefficientStd. Errort-StatisticProb.  C-3012.810549.3740-5.4840780.0001X20.0554110.00370414.959910.0000X32.5411501.2081862.1032760.0555R-squared0.986839    Mean dependent var4270.119Adjusted R-squared0.984814    S.D. dependent var2720.8

9、60S.E. of regression335.2951    Akaike info criterion14.63526Sum squared resid1461496.    Schwarz criterion14.78012Log likelihood-114.0821    F-statistic487.3775Durbin-Watson stat0.702762    Prob(F-statistic)0.000000加入X4

10、，显著，保留Dependent Variable: YMethod: Least SquaresDate: 04/06/11 Time: 16:12Sample: 1994 2009Included observations: 16VariableCoefficientStd. Errort-StatisticProb.  C-2360.596180.9037-13.048910.0000X20.0556090.00201527.598450.0000X45.4504341.2074414.5140380.0006R-squared0.993129  &

11、#160; Mean dependent var4270.119Adjusted R-squared0.992072    S.D. dependent var2720.860S.E. of regression242.2577    Akaike info criterion13.98524Sum squared resid762954.5    Schwarz criterion14.13010Log likelihood-108.8819  

12、;  F-statistic939.5591Durbin-Watson stat0.905401    Prob(F-statistic)0.000000加入X5，不显著，排除Dependent Variable: YMethod: Least SquaresDate: 04/06/11 Time: 16:12Sample: 1994 2009Included observations: 16VariableCoefficientStd. Errort-StatisticProb.  C-2052.457252.8

13、897-8.1160160.0000X20.0715560.0083308.5903400.0000X5-4.0634423.411178-1.1912140.2549R-squared0.984096    Mean dependent var4270.119Adjusted R-squared0.981649    S.D. dependent var2720.860S.E. of regression368.5792    Akaike info criterion14

14、.82455Sum squared resid1766058.    Schwarz criterion14.96941Log likelihood-115.5964    F-statistic402.2068Durbin-Watson stat0.718757    Prob(F-statistic)0.000000加入X6，显著，保留Dependent Variable: YMethod: Least SquaresDate: 04/06/11 Time: 16:12S

15、ample: 1994 2009Included observations: 16VariableCoefficientStd. Errort-StatisticProb.  C-6813.6822061.836-3.3046670.0057X20.0488740.0058548.3482420.0000X6867.2159365.80032.3707360.0339R-squared0.987685    Mean dependent var4270.119Adjusted R-squared0.985790  

16、  S.D. dependent var2720.860S.E. of regression324.3425    Akaike info criterion14.56884Sum squared resid1367575.    Schwarz criterion14.71370Log likelihood-113.5507    F-statistic521.2956Durbin-Watson stat0.733651   

17、; Prob(F-statistic)0.000000保留了X4和X6分别以X2和X4为基础，加入其他变量加入X3不显著，排除Dependent Variable: YMethod: Least SquaresDate: 04/06/11 Time: 16:35Sample: 1994 2009Included observations: 16VariableCoefficientStd. Errort-StatisticProb.  C-2323.426462.3572-5.0251740.0003X20.0557710.00278720.013290.0000

18、X45.5476121.6725363.3168860.0061X3-0.1064291.209188-0.0880170.9313R-squared0.993134    Mean dependent var4270.119Adjusted R-squared0.991417    S.D. dependent var2720.860S.E. of regression252.0685    Akaike info criterion14.10960Sum squared

19、resid762462.3    Schwarz criterion14.30274Log likelihood-108.8768    F-statistic578.5661Durbin-Watson stat0.923342    Prob(F-statistic)0.000000加入X5不显著，排除Dependent Variable: YMethod: Least SquaresDate: 04/06/11 Time: 16:37Sample: 1994 2009In

20、cluded observations: 16VariableCoefficientStd. Errort-StatisticProb.  C-2432.172178.3609-13.636240.0000X20.0635110.00549511.558080.0000X45.3107201.1526454.6074210.0006X5-3.2845262.140330-1.5345880.1508R-squared0.994257    Mean dependent var4270.119Adjusted R-squared0.99

21、2821    S.D. dependent var2720.860S.E. of regression230.5411    Akaike info criterion13.93105Sum squared resid637790.2    Schwarz criterion14.12420Log likelihood-107.4484    F-statistic692.4432Durbin-Watson stat1.224207&

22、#160;   Prob(F-statistic)0.000000加入X6不显著，排除Dependent Variable: YMethod: Least SquaresDate: 04/06/11 Time: 16:25Sample: 1994 2009Included observations: 16VariableCoefficientStd. Errort-StatisticProb.  C-2291.5332172.352-1.0548630.3123X20.0557560.00506910.999930.0000X45.490677

23、1.7803343.0840710.0095X6-12.85589402.8593-0.0319120.9751R-squared0.993130    Mean dependent var4270.119Adjusted R-squared0.991412    S.D. dependent var2720.860S.E. of regression252.1391    Akaike info criterion14.11016Sum squared resid76288

24、9.7    Schwarz criterion14.30330Log likelihood-108.8813    F-statistic578.2396Durbin-Watson stat0.908275    Prob(F-statistic)0.000000以X2、X6为基础，加入其他变量加入X3 ，不显著，排除Dependent Variable: YMethod: Least SquaresDate: 04/06/11 Time: 16:38Sample: 199

25、4 2009Included observations: 16VariableCoefficientStd. Errort-StatisticProb.  C-5877.5502399.623-2.4493640.0306X20.0495610.0060018.2586090.0000X6606.4675495.01671.2251460.2440X31.2586671.5815630.7958370.4416R-squared0.988302    Mean dependent var4270.119Adjusted R-squar

26、ed0.985378    S.D. dependent var2720.860S.E. of regression329.0154    Akaike info criterion14.64240Sum squared resid1299013.    Schwarz criterion14.83555Log likelihood-113.1392    F-statistic337.9400Durbin-Watson stat0.6

27、77140    Prob(F-statistic)0.000000加入X4不显著，排除Dependent Variable: YMethod: Least SquaresDate: 04/06/11 Time: 16:38Sample: 1994 2009Included observations: 16VariableCoefficientStd. Errort-StatisticProb.  C-2291.5332172.352-1.0548630.3123X20.0557560.00506910.999930.0000X6-1

28、2.85589402.8593-0.0319120.9751X45.4906771.7803343.0840710.0095R-squared0.993130    Mean dependent var4270.119Adjusted R-squared0.991412    S.D. dependent var2720.860S.E. of regression252.1391    Akaike info criterion14.11016Sum squared resi

29、d762889.7    Schwarz criterion14.30330Log likelihood-108.8813    F-statistic578.2396Durbin-Watson stat0.908275    Prob(F-statistic)0.000000加入X5不显著，排除Dependent Variable: YMethod: Least SquaresDate: 04/06/11 Time: 16:39Sample: 1994 2009Includ

30、ed observations: 16VariableCoefficientStd. Errort-StatisticProb.  C-6722.3952029.031-3.3131060.0062X20.0577370.0093596.1690120.0000X6835.0915360.72052.3150650.0391X5-3.5553342.960085-1.2010920.2529R-squared0.989006    Mean dependent var4270.119Adjusted R-squared0.986258

31、    S.D. dependent var2720.860S.E. of regression318.9580    Akaike info criterion14.58031Sum squared resid1220811.    Schwarz criterion14.77346Log likelihood-112.6425    F-statistic359.8440Durbin-Watson stat0.982111 

32、;   Prob(F-statistic)0.000000最后证实结果X2和X4Dependent Variable: YMethod: Least SquaresDate: 04/06/11 Time: 16:12Sample: 1994 2009Included observations: 16VariableCoefficientStd. Errort-StatisticProb.  C-2360.596180.9037-13.048910.0000X20.0556090.00201527.598450.0000X45.4504341.2074414.5140380.0006R-squared0.993129    Mean dependent var4270.119Adjusted R-squared0.992072    S.D. dependent var2720.860S.E. of regression242.2577  &#