实验四自相关检验与修正

1、实验四自相关检验与修正【实验目的】掌握自相关模型的检验及处理方法。要求掌握自相关模型的图形法检验、DW检验，与科克伦一奥克特迭代法对自相关修正。【实验内容】检测进口额模型匕=1 + %Xli + .和实际利用外资模型匕=。1 + %X2i + u的自相关性 （显著性水平a =0.05 ）；检验模型中存在的问题，并采取科克伦一奥克特迭代法和德宾两步法的补救措施予以处理。表1 1985-2003年中国实际GDP、进口额和实际利用FDI年份GDP（Y亿元）进口额（X1,亿元）实际利用FDI（X2）19859016.0371257.80057.440198610275.1791481.25177.48

2、1198712058.6151608.69286.129198815042.8232057.205118.884198916992.3192226.680127.750199018667.8222574.300166.790199121781.4993398.7232.415199226923.4764443.300607.047199335333.9255986.2001585.414199448197.8569960.12910.276199560793.72911048.1003133.379199671176.59211557.4003469.183199778973.03511806

3、.5003751.715199884402.2811626.1003763.927199989677.05513736.4003337.728200099214.54418638.8003370.5512001109655.17120159.2003880.0922002120332.68924430.3004365.5382003135822.75634159.6004428.6092004159878.33846435.8005018.2242005183217.40054237.7004941.6432006210871.00063376.8565023.9082007246619.00

4、073284.5615685.3592008314045.00077616.3406329.0582009335353.00068581.9206140.2511.(1 )检测进口额模型匕=料+ AXii + i的自相关性检验导入数据，使用普通最小二乘法估计进口额模型得： Equation: UNTITLED lorkfile: UHTITLED:U. _ XViewProcObjectPrintNameFreezeEstimateForecastStatsResidsDependent Variable: Y Method: Least Squares Datec 1U26T13 Time:

5、 16:21 Sample: 1935 2009 Included observations: 25VariableCoefficientStd. Error t-StatisticProb.017330.406378.1622.7171470.0123X13.6149000.13844919.182350.0000R-squared0.941171Mean dependent var100572.3Adjusted R-squared0.933613S.D. dependent var94330.38S.E. of regression2337167Akaike info criterion

6、23.03306Sum squared resid1.26E+10Schwarz criterion23.13057Log likelihood-285.9132Hannan-Quinn criter.23.06010F-statisticS67.9624Durbin-Watson stat0.542470Prob(F-statistic)0.000000AY1 = 17330.40 + 3.6149 气Se=(6378.162)(0.188499)t=(2.717147)(19.18235)R 2 = 0.941171F=367.9624DW=0.54247对样本量为25, 一个解释变量的模

7、型，5%显著水平，差DW表可知，人=1.288,匕=1.454, 模型中DWV匕，显然进口额模型中有自相关。所有需要采取补救措施。(2)检验实际利用外资模型匕=P1 + %X2； +七的自相关性导入数据，使用普通最小二乘法估计进口额模型得： Equation: UNTITLED Torkfile: UHTITLED:U. . . _ XViewProcObjectPrintNameFreezeEstimateForecastStatsResidsDependent Variable: Y Method: Least Squares Datec 11Q6T13 Time: 17:44 Sampl

8、e: 19352009 Included observations: 25VariableCoefficientStd. Error t-StatisticProb.C-131123514550.15-0.9011330.376SX239.143054.04-96649.66575S0.0000R-squared0.S02451Mean dependent var100572.SAdjusted R-squared0.793362S.D. dependent var94330.38S.E. of regression42828.29Aka ike info criterion24.24440Sum squared resid422E+10Schwarz criterion24.34191Log likelihood-301 0550Hannan-Quinn criter.24.27145F-statistic93.42679Durbin-Watson stat0.1764S0ProbfF-statistic)0.000000AY =13112.35 + 39.14305 x22Se=(14550.15)(4.049664)t=(