计量经济学庞皓第二版第五章答案

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1、5.2(1)对原模型OLS回归分析结果：DependentVariable:YMethod:LeastSquaresDate:04/01/09Time:15:44Sample:160Includedobservations:60VariableCoefficientStd.Errort-StatisticProb.C9.3475223.6384372.5691040.0128X0.6370690.01990332.008810.0000R-squared0.946423Meandependentvar119.6667AdjustedR-squared0.945500S.D.depend

2、entvar38.68984S.E.ofregression9.032255Akaikeinfocriterion7.272246Sumsquaredresid4731.735Schwarzcriterion7.342058Loglikelihood-216.1674F-statistic1024.564Durbin-Watsonstat1.790431Prob(F-statistic)0.000000(2)White检验结果：WhiteHeteroskedasticityTest:F-statistic6.301373Probability0.003370Obs*R-squared1

3、0.86401Probability0.004374TestEquation:DependentVariable:RESID^2Method:LeastSquaresDate:04/01/09Time:15:45Sample:160Includedobservations:60VariableCoefficientStd.Errort-StatisticProb.C-10.03614131.1424-0.0765290.9393X0.1659771.6198560.1024640.9187X^20.0018000.0045870.3924690.6962R-squared0.18106

4、7Meandependentvar78.86225AdjustedR-squared0.152332S.D.dependentvar111.1375S.E.ofregression102.3231Akaikeinfocriterion12.14285Sumsquaredresid596790.5Schwarzcriterion12.24757Loglikelihood-361.2856F-statistic6.301373Durbin-Watsonstat1.442328Prob(F-statistic)0.003370nR2=10.86401,查表得0.05(2)=5.99147，n

5、R2>5.99147,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：DependentVariable:YMethod:LeastSquaresDate:04/01/09Time:16:16Sample:122Includedobservations:22VariableCoefficientStd.Errort-StatisticProb.C12.536957.0695781.7733650.0914X0.6059110.0639109.4807300.0000R-squared0.817990Meandependentvar78.63636Ad

6、justedR-squared0.808890S.D.dependentvar12.56050S.E.ofregression5.490969Akaikeinfocriterion6.330594Sumsquaredresid603.0148Schwarzcriterion6.429780Loglikelihood-67.63654F-statistic89.88424Durbin-Watsonstat1.136382Prob(F-statistic)0.000000DependentVariable:YMethod:LeastSquaresDate:04/01/09Time:16:1

7、7Sample:3960Includedobservations:22VariableCoefficientStd.Errort-StatisticProb.C-39.5439327.08272-1.4601160.1598X0.8412150.1132667.4269270.0000R-squared0.733898Meandependentvar160.8182AdjustedR-squared0.720593S.D.dependentva