計量經(jīng)濟學(xué)第三版課后習(xí)題答案解析-資料下載頁
2025-06-18 19:13本頁面
【正文】 nnanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)Unweighted StatisticsRsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionSum squared resid19268334DurbinWatson stat對此模型進(jìn)行White檢驗得：Heteroskedasticity Test: WhiteFstatisticProb. F(3,27)Obs*RsquaredProb. ChiSquare(3)Scaled explained SSProb. ChiSquare(3)Test Equation:Dependent Variable: WGT_RESID^2Method: Least SquaresDate: 12/24/15 Time: 16:45Sample: 1 31Included observations: 31VariableCoefficientStd. ErrortStatisticProb.CWGT^22240181.X^2*WGT^2X*WGT^2RsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared resid+12Schwarz criterionLog likelihoodHannanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)從上可知，nR2=，比較計算的統(tǒng)計量的臨界值，因為nR2=（2）=，所以接受原假設(shè)，該模型消除了異方差。估計結(jié)果為： Y= t=（）（）R2= F= DW=③用權(quán)數(shù)w3=1/sqr（x）,用回歸分析得：Dependent Variable: YMethod: Least SquaresDate: 12/24/15 Time: 16:49Sample: 1 31Included observations: 31Weighting series: W3VariableCoefficientStd. ErrortStatisticProb.XCWeighted StatisticsRsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared resid9990985.Schwarz criterionLog likelihoodHannanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)Unweighted StatisticsRsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionSum squared resid12717412DurbinWatson stat對此模型進(jìn)行White檢驗得：Heteroskedasticity Test: WhiteFstatisticProb. F(2,28)Obs*RsquaredProb. ChiSquare(2)Scaled explained SSProb. ChiSquare(2)Test Equation:Dependent Variable: WGT_RESID^2Method: Least SquaresDate: 12/24/15 Time: 16:57Sample: 1 31Included observations: 31Collinear test regressors dropped from specificationVariableCoefficientStd. ErrortStatisticProb.C1212308.2141958.WGT^21301839.X^2*WGT^2RsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared resid+13Schwarz criterionLog likelihoodHannanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)從上可知，nR2=，比較計算的統(tǒng)計量的臨界值，因為nR2=（2）=，所以接受原假設(shè)，該模型消除了異方差。估計結(jié)果為： Y= t=（）（）R2= F= DW=經(jīng)過檢驗發(fā)現(xiàn)，用權(quán)數(shù)w1的效果最好，所以綜上可知，即修改后的結(jié)果為：Y= t=（）（）R2= F= DW=(1)a)用Eviews模型分析得：Dependent Variable: YMethod: Least SquaresDate: 12/24/15 Time: 19:16Sample: 1978 2011Included observations: 34VariableCoefficientStd. ErrortStatisticProb.XCRsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodHannanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)得回歸模型為：Y= X+b)檢驗是否存在異方差：①用GoldfeldQuanadt檢驗如下：1）當(dāng)定義區(qū)間為113時，由軟件分析得：Dependent Variable: YMethod: Least SquaresDate: 12/24/15 Time: 19:27Sample: 1 13Included observations: 13VariableCoefficientStd. ErrortStatisticProb.XCRsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodHannanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)得∑e1i2=2）當(dāng)定義區(qū)間為113時，由軟件分析得：Dependent Variable: YMethod: Least SquaresDate: 12/24/15 Time: 19:34Sample: 22 34Included observations: 13VariableCoefficientStd. ErrortStatisticProb.XCRsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodHannanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)得∑e2i2=3）根據(jù)GoldfeldQuanadt檢驗，F(xiàn)統(tǒng)計量為：F=∑e2i2 /∑e1i2 =在α=，分子分母的自由度均為11，（11,11）=，因為F= （11,11）=，所以拒絕原假設(shè)，此檢驗表明模型存在異方差。②White檢驗用EViews軟件分析得：Heteroskedasticity Test: WhiteFstatisticProb. F(2,31)Obs*RsquaredProb. ChiSquare(2)Scaled explained SSProb. ChiSquare(2)Test Equation:Dependent Variable: RESID^2Method: Least SquaresDate: 12/24/15 Time: 19:56Sample: 1 34Included observations: 34VariableCoefficientStd. ErrortStatist
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