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【正文】 riableCoefficientStd. ErrortStatisticProb.CX2X3X4X5X6X7RsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodFstatisticDurbinWatson statProb(Fstatistic)由此可見,該模型可決系數(shù)很高,F(xiàn)檢驗(yàn)顯著,但是、的系數(shù)t檢驗(yàn)不顯著,且的系數(shù)符號(hào)不符合經(jīng)濟(jì)意義,說明存在嚴(yán)重的多重共線性。雖然的t檢驗(yàn)不是很顯著,但考慮到其經(jīng)濟(jì)意義在模型中的重要地位,暫時(shí)保留。Dependent Variable: YMethod: Least SquaresDate: 12/23/10 Time: 02:41Sample: 1994 2003Included observations: 10VariableCoefficientStd. ErrortStatisticProb.CX2X3X4X5X6RsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodFstatisticDurbinWatson statProb(Fstatistic)根據(jù)以上回歸結(jié)果可得,的引入使得模型中、的t檢驗(yàn)均不顯著,說明、高度相關(guān),模型產(chǎn)生了多重共線性,因此將去掉。Dependent Variable: YMethod: Least SquaresDate: 12/23/10 Time: 02:42Sample: 1994 2003Included observations: 10VariableCoefficientStd. ErrortStatisticProb.CX2X3X4X5X7RsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodFstatisticDurbinWatson statProb(Fstatistic)的系數(shù)為負(fù),與經(jīng)濟(jì)意義相悖,因此也去掉。異方差性的檢驗(yàn):再對(duì)模型的異方差性進(jìn)行檢驗(yàn):鑒于我們的樣本資料是時(shí)間序列數(shù)據(jù),選用ARCH檢驗(yàn)。再考慮P=3的情況
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