计量经济学(回归模型相关性检验并消除自相关)

1、经济与管理学院金融学实验报告实验报告所属课程名称计量经济学实验日期 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相关性检验并且消除自相关。【实验原理】DW佥验和选取中国汇率和进出口数据，利用 Eviews软件建立回归模型，运用 LM检验检验其相关性并且消除自相关。【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. 创建工作文件3. 导入中国汇率和进出口数据信息4. 建立回归模型，检验其相关性。5. 消除自相关6保存数据7.关闭Eviews软件包实验：汇率 导入汇率数据r) Workfile: 1 -(Gprogr

2、am fi Ic$eviews5cxa m pl e fil.,.Rasa-直00巨DW佥验匚)Equation: UNTITLED Workfile: l:Untrtled口 _E_Va Pr&c Object| Pnnt| Name| Freeze | EstmatejForecastdials Rgfc|1 1U tl TK V d i 1O： LFlT. 1 Method: Least Squares Date: 05/21/12 Time： 21 20 Sample: 1930 2003 Included observations 24虚CaeffidentStd Errort-St

3、atisticProbX c1 384787-17755040.09199716.0260615 05259 -1 1078360.00000.2799R-squaredAdjusted RSquared S E or (egression Sum squared resid Log likelihood F-statisbcPrn0.91149B0.907475344927926174.56 -117.9884226,5806 nonnnnnMean dependent var SO dependentvar Akai Ke info criterion Schwarz crrtenon H

4、annan-Quinn criter. Durbin-Walsonstat198.9508113.39619999033100972010.025080.218090因为DW统计量为0.21，根据DW=2(1-汎趋向于1,存在正相关性。LM检验经济与管理学院金融学实验报告经济与管理学院金融学实验报告:ta;OS07因为p值很小，拒绝原假设，所以存在自相关性检验自相关阶数经济与管理学院金融学实验报告R-squared Adjusted R-squared S E. of regression Sum squared resid Log likelihood Durbin-Watson stat0

5、,7745670 77456714 730504773.730-93992560 312589Mean depends nt var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn enter3 00926031.02430826022383095928.272639V O Equation UNTITLED Workfile： li：Untrtled兰ewpr(KlObject PrtTtlMmeJRee?el fc&natelForetlstteReds|Dependent Variable E

6、Method Least SquaresDate 05f2lH2 Time.21: 28Sample (adjusted)： 1981 2003Included observations 23 after adjustmentsCoefficient Std ErrortStatisticProb附）0803266009238187492820.0000经济与管理学院金融学实验报告经济与管理学院金融学实验报告O Equation: UNTITLED Workfile: l:UntiHedView f Proc Object | Print | Name Freeze | QftrMteFore

7、cBSt|Statsj&fa|CoefficientStd. Error(-StatisticProb.EM)1.5456810.10597914 5848400000E(-2)-0.6592980.097132-6.78762500000RSquare(0.947592Mean dependent var4246050Adjusted Rsquared0.944972S.D. dependent var31.16916S E of regression7 311674Akaike into criterion6903330Sum squared resid1069.212Schwarz cr

8、iterion7 002515Loq likelihood-7393663Hannan*Quinn enter6926695n( irhin-1/tc,nn 底fat1Dependent VarraDle EMethod Least SquaresDate 05/21/12 Time 21:29Sample (adjusted): 1982 2003deluded observations 22 after adjustmen恰51乙n)1口 Equation; UNTITLEDWorkfilt: l:Untitleda应11LVfcew| Proc | Object | Prin t| Na

9、me | Freeze Estimate | Forecast! Stats|ResidDependent Vanable: EiMethod Least SquaresDate: 0M1/12 Time: 21：30Sample (adjusted): 1983 2003JIncluded observations: 21 after adjustmentsCoefTidentStd Errort-StatisticProb.EE)1 63483602342636.978646oooooE-2)-0.8020480 378170-2.120064Q.0481=E(-3)0.0535030 1

10、85100D.2890490.77587R-squared0.948539Mean dependent var4.196635jAdjusted R-squared0 942821S D. dependent var31 93800S E. of regress泊门7.637Q54AKaike info criterion7.035465Sum squared resid1049.343Schwarz enter on：7.1846821 nn likliihnnrlE 1-7ftLjTIJT 51r cWannan-rminn rhtar7* :(通过对比，该回归模型存在二阶自相关实验：进出

11、口导入数据DW佥验O Equation： UNTITLED Workfile： lr：Untitled d ” 回Vjyw|Proc Object PTntNgmp I戶雯冬 旦力咚世竺牛廻I百烧话底ed iJ arr T TJJTE T 37 T . Z. W.included observations: 21 after adjustmentsCoefficientStd Errort-StatisticProb.X1.1589730.03583632341460.0000C-77 4783146.44653-1.6681180.1117R-squared0.982159Mean depe

12、ndent var1143.990Adjusted R*squafed0.981220S+D dependentvar904.0293S.E, of regressio n123.8879Akaike info criterion1256702Sum squared resid2916159Schwarz criterion12.66650Log likelihood-129.9537Hannan-Quinn enter.12 58861F-statistic1045.970Durbin-Watson stat0.942151Frob(F-statistic)0.000000因为DW统计量为0

13、.9，根据DW=2(1- 0, ?趋向于1,存在正相关性。LM检验经济与管理学院金融学实验报告经济与管理学院金融学实验报告JF因为P值很小，拒绝原假设，所以存在自相关性。检验自相关阶数经济与管理学院金融学实验报告zO Equation： UNTITLED Workfile: l:UntitledViewObject Pnnt NapelReetel &bnateFdrecast Stats跟esdsDependent Vanabiej EMethod: Least SquaresDate: 05/21/12 Time 21:40Sample (adjusted): 1983 2002Inclu

14、ded observations: 20 after adjustmentsCoefficientStd. Error卜StatisticProbEH)0.5192410.1969222 6367820.0163R-squared0.267134Fean dependentvar3.855625Adjusted R-squaredQ.267134s D. dependent var122.5544S E of regression104.9159AkaiKe Info criterion12 19290Sum squared resid209139.6Schwarz cnterion12.24

15、269Log likelihood-120.9290Hannan-Quinn oiter1220262Durbin-Watson stat1589356n Equation： EQ03 Workfile: l：Untitiedfew Proc Objc甜 Print Name Rreeig| Estrnate Forecast| Stats RdsDependent Variable: EMethods Least SquaresDate: 05/21/12 Time: 21:41Sample (adjusted): 1984 2002Included observations 19 afte

16、r adjustmentsCoeftidentStd Error卜 StatisticProb.E(-1)0.7160980.22384531990820.0053E(-2)-0.3973740.224307-17715680.0944R-squareC0.374605Mean dependent vsr-6.788767Adjusted R-squared0337817S D. dependent var125.1894S.E. of regression101 8724Akaike info criterion12.18462Sum squared resid176425.8Schwarz criterion12.28403Log likelihood-1137539Hannan-Quin门 enter.12.20144I Hiirhfn-Watnn7 nnnnflewProc | Object Pont Name | Freeze | Estimate Foreca或15tatsimvi it voviovra V rMethod: Least SquaresDate: