三省多元回归.docx
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三省多元回归.docx
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三省多元回归
(1)生成数据组
obs
X1
X2
X3
X4
X5
X6
X7
X8
X9
X10
Y1
Y2
2006
29820.4
2300
6567.1
502.71
226.18
56.03
844.59
52
13.69
43.46
0.8251
3.02
2007
33368.8
2684.4
7440.2
757.65
400.73
83.93000000000001
1113.33
20
29.13
87.06
1.2876
3.12
2008
13380.4
836.2
3414.9
282.96
164.89
29.4
274.18
18
0.99
8.91
0.3428
0.87
2009
16342.8
1035.9
3997.5
1352.96
652.82
169.3
1470.72
93
10.18
55.29
1.5631
1.33
2010
19837
1244.7
4656.399999999999
1179.9
930.91
145.26
1625.1
29
11.97
57.04
1.6589
4.559999999999999
2011
22659.3
1424.6
5035.3
832.4
321.2
105.74
944.82
31
6.16
29.54
0.8921
1.71
2012
27915.4
1765.4
5832.3
1610.57
772.22
219.95
1821.44
99
27.03
184.09
2.1362
2.34
(2)时序图
(3)单根检验
Groupunitroottest:
Summary
Series:
X1,X2,X3,X4,X5,X6,X7,X8,X9,X10,Y1,Y2
Date:
08/12/14Time:
19:
37
Sample:
20062012
Exogenousvariables:
Individualeffects,individuallineartrends
Automaticselectionofmaximumlags
AutomaticlaglengthselectionbasedonSIC:
0
andBartlettkernel
Balancedobservationsforeachtest
Cross-
Method
Statistic
Prob.**
sections
Obs
Null:
Unitroot(assumescommonunitrootprocess)
Levin,Lin&Chut*
-7.75045
0.0000
12
72
Breitungt-stat
-1.98436
0.0236
12
60
Null:
Unitroot(assumesindividualunitrootprocess)
Im,PesaranandShinW-stat
0.02392
0.5095
12
72
ADF-FisherChi-square
24.7486
0.4195
12
72
PP-FisherChi-square
50.0982
0.0014
12
72
**ProbabilitiesforFishertestsarecomputedusinganasymptoticChi
-squaredistribution.Allothertestsassumeasymptoticnormality.
5变系数回归
6变截距回归
(1)
DependentVariable:
Y1?
Method:
PooledLeastSquares
Date:
08/12/14Time:
20:
03
Sample:
20062012
Includedobservations:
7
Cross-sectionsincluded:
3
Totalpool(balanced)observations:
21
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-0.952569
1.210722
-0.786778
0.4541
X1?
-4.96E-05
0.000127
-0.391347
0.7058
X2?
-0.000911
0.000864
-1.054899
0.3223
X3?
0.000952
0.001018
0.934440
0.3774
X4?
0.000116
0.001123
0.103601
0.9200
X5?
-0.000136
0.001549
-0.087862
0.9321
X6?
0.003540
0.006461
0.547802
0.5988
X7?
8.93E-06
0.000669
0.013347
0.9897
X8?
0.000549
0.002026
0.271016
0.7932
X9?
0.016953
0.029602
0.572675
0.5826
X10?
-0.003993
0.007857
-0.508265
0.6250
FixedEffects(Cross)
GUANGDONG--C
1.383464
HUNAN--C
-1.026781
HUBEI--C
-0.356683
EffectsSpecification
Cross-sectionfixed(dummyvariables)
R-squared
0.624327
Meandependentvar
1.395724
AdjustedR-squared
0.060817
S.D.dependentvar
0.510321
S.E.ofregression
0.494559
Akaikeinfocriterion
1.702716
Sumsquaredresid
1.956713
Schwarzcriterion
2.349325
Loglikelihood
-4.878514
Hannan-Quinncriter.
1.843046
F-statistic
1.107925
Durbin-Watsonstat
2.692418
Prob(F-statistic)
0.455952
(2)
DependentVariable:
Y2?
Method:
PooledLeastSquares
Date:
08/12/14Time:
20:
07
Sample:
20062012
Includedobservations:
7
Cross-sectionsincluded:
3
Totalpool(balanced)observations:
21
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-0.710056
1.891129
-0.375467
0.7171
X1?
-0.000244
0.000198
-1.234027
0.2522
X2?
-0.000556
0.001349
-0.412309
0.6909
X3?
0.001925
0.001591
1.210402
0.2607
X4?
0.000363
0.001754
0.207047
0.8411
X5?
0.005052
0.002419
2.088317
0.0702
X6?
-0.011945
0.010093
-1.183507
0.2706
X7?
-0.000473
0.001045
-0.453157
0.6625
X8?
0.003315
0.003165
1.047378
0.3255
X9?
-0.051029
0.046238
-1.103598
0.3019
X10?
0.004511
0.012272
0.367584
0.7227
FixedEffects(Cross)
GUANGDONG--C
1.618686
HUNAN--C
-0.275194
HUBEI--C
-1.343492
EffectsSpecification
Cross-sectionfixed(dummyvariables)
R-squared
0.717269
Meandependentvar
2.327605
AdjustedR-squared
0.293172
S.D.dependentvar
0.918837
S.E.ofregression
0.772494
Akaikeinfocriterion
2.594630
Sumsquaredresid
4.773979
Schwarzcriterion
3.241239
Loglikelihood
-14.24361
Hannan-Quinncriter.
2.734961
F-statistic
1.691284
Durbin-Watsonstat
2.597719
Prob(F-statistic)
0.231888
(3)
DependentVariable:
Y?
Method:
PooledLeastSquares
Date:
08/12/14Time:
20:
08
Sample:
20062012
Includedobservations:
7
Cross-sectionsincluded:
3
Total
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- 多元 回归
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