最新试题库含答案庞皓计量经济学课后答案第五章Word格式文档下载.docx

最新试题库含答案庞皓计量经济学课后答案第五章Word格式文档下载.docx

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04/01/09Time:

15:

44Sample:

160

Includedobservations:

60

VariableCX

R-squared

AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat

Coefficient9.3475220.637069

Std.Error3.6384370.019903

t-Statistic2.56910432.00881

Prob.0.01280.0000119.666738.689847.2722467.3420581024.5640.000000

0.946423Meandependentvar0.945500S.D.dependentvar9.032255Akaikeinfocriterion4731.735Schwarzcriterion-216.1674F-statistic1.790431Prob（F-statistic）

（2）

White检验结果：

WhiteHeteroskedasticityTest:

F-statisticObs*R-squared

TestEquation:

RESID_Method:

45Sample:

VariableCXX_

AdjustedR-squaredS.E.ofregression

Coefficient-10.036140.1659770.001800

Std.Error131.14241.6198560.004587

t-Statistic-0.0765290.1024640.392469

Prob.0.93930.91870.696278.86225111.137512.14285

6.301373Probability10.86401Probability

0.0033700.004374

0.181067Meandependentvar0.152332S.D.dependentvar102.3231Akaikeinfocriterion

SumsquaredresidLoglikelihoodDurbin-Watsonstat

596790.5Schwarzcriterion-361.2856F-statistic1.442328Prob（F-statistic）

12.247576.3013730.003370

nR2=10.86401,查表得?

20.05

（2）=5.99147，nR25.99147,所以拒绝原假设，表明模型中随机误差项存在异方差。

Goldfeld-Quandt检验：

16:

16Sample:

122

22

Coefficient12.536950.605911

Std.Error7.0695780.063910

t-Statistic1.7733659.480730

Prob.0.09140.000078.6363612.560506.3305946.42978089.884240.000000

0.817990Meandependentvar0.808890S.D.dependentvar5.490969Akaikeinfocriterion603.0148Schwarzcriterion-67.63654F-statistic1.136382Prob（F-statistic）

17Sample:

3960

AdjustedR-squaredS.E.ofregressionSumsquaredresid

Coefficient-39.543930.841215

Std.Error27.082720.113266

t-Statistic-1.4601167.426927

Prob.0.15980.0000160.818221.133677.7510337.850219

0.733898Meandependentvar0.720593S.D.dependentvar11.17103Akaikeinfocriterion2495.840Schwarzcriterion

LoglikelihoodDurbin-Watsonstat

-83.26137F-statistic0.610587Prob（F-statistic）

55.159240.000000

eF=?

e

2221

=2495.840/603.0148=4.139,查得F0.05（20，20）=2.12，

4.1392.12，则拒绝原假设，表明模型中随机误差项存在异方差。

（3）加权最小二乘法修正异方差W1=1/X

53Sample:

60Weightingseries:

W1

WeightedStatisticsR-squared

AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-WatsonstatUnweightedStatisticsR-squared

AdjustedR-squaredS.E.ofregressionDurbin-Watsonstat

Coefficient10.370510.630950

Std.Error2.6297160.018532

t-Statistic3.94358734.04667

Prob.0.00020.0000106.21018.6853766.9734707.04328115.551880.000219

119.666738.689844739.526

0.211441Meandependentvar0.197845S.D.dependentvar7.778892Akaikeinfocriterion3509.647Schwarzcriterion-207.2041F-statistic1.969805Prob（F-statistic）

0.946335Meandependentvar0.945410S.D.dependentvar9.039689Sumsquaredresid1.796748

STD_RESID_Method:

54Sample:

Coefficient238.8363-2.1395840.005690

Std.Error73.631910.9094930.002575

t-Statistic3.243652-2.3525022.209642

Prob.0.00200.02210.031258.4941259.4967810.9884411.093163.1384910.050925

3.138491Probability5.951910Probability

0.0509250.050999

0.099198Meandependentvar0.067591S.D.dependentvar57.45087Akaikeinfocriterion188134.3Schwarzcriterion-326.6533F-statistic1.606243Prob（F-statistic）

虽然White检验结果nR2=5.95191?

20.05

（2）=5.99147，显示已消除异方差，但R2=0.2114,拟合优度太低，不是理想的结果。

W2=1/X2

55Sample:

W2

Coefficient10.123270.633029

Std.Error2.7557750.024590

t-Statistic3.67347525.74374

Prob.0.00050.0000

UnweightedStatisticsR-squared

94.0120641.029657.0571307.1269411451.6600.000000

0.961581Meandependentvar0.960918S.D.dependentvar8.111184Akaikeinfocriterion3815.896Sch