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1、计量经济学自相关性检验实验报告实验内容：自相关性检验工业增加值主要由全社会固定资产投资决定。为了考察全社会固定资产投资对工业增加值的影响，可使用如下模型：Y=；其中，X表示全社会固定资产投资，Y表示工业增加值。下表列出了中国1998-2000的全社会固定资产投资X与工业增加值Y的统计数据。单位：亿元年份固定资产投资X工业增加值Y年份固定资产投资X工业增加值Y1980910.91996.519915594.58087.119819612048.419928080.110284.519821230.42162.3199313072.314143.819
2、831430.12375.6199417042.119359.619841832.92789199520019.324718.319852543.23448.7199622913.529082.619863120.63967199724941.132412.119873791.74585.8199828406.233387.919884753.85777.2199929854.735087.219894410.46484200032917.739570.3199045176858一、估计回归方程officiallyestablishedonJuly
3、1,2013,Yibincity,formerlyknownasthebus,integratedoriginalrongzhoubuscompanyinYibincityandMetrobuscompany,formedonlyinYibincityofaState-ownedpublictransportenterprises,thecompanyconsistsofoneortwo,thirdDivision.Integrationofpublictransportservicesisnotyetestablished5OLS法的估计结果如下
4、：Y=668.0114+1.181861X（2.24039）（61.0963）R=0.994936，=0.994669，SE=951.3388，D.W.=1.282353。二、进行序列相关性检验（1）图示检验法officiallyestablishedonJuly1,2013,Yibincity,formerlyknownasthebus,integratedoriginalrongzhoubuscompanyinYibincityandMetrobuscompany,formedonlyinYibincityofaState-ownedpubli
5、ctransportenterprises,thecompanyconsistsofoneortwo,thirdDivision.Integrationofpublictransportservicesisnotyetestablished5通过残差与残差滞后一期的散点图可以判断，随机干扰项存在正序列相关性。（2）回归检验法一阶回归检验=0.356978e+ε二阶回归检验officiallyestablishedonJuly1,2013,Yibincity,formerlyknownasthebus,integratedoriginalrongzh
6、oubuscompanyinYibincityandMetrobuscompany,formedonlyinYibincityofaState-ownedpublictransportenterprises,thecompanyconsistsofoneortwo,thirdDivision.Integrationofpublictransportservicesisnotyetestablished5=0.572433e－0.607831e+ε可见：该模型存在二阶序列相关。（3）杜宾-瓦森（D.W）检验法由OLS法的估计结果知：D.W.=1.28
7、2353。本例中，在5%的显著性水平下，解释变量个数为2，样本容量为21，查表得d=1.22，d=1.42,而D.W.=1.282353，位于下限与上限之间，不能确定相关性。（4）拉格朗日乘数（LM）检验法Breusch-GodfreySerialCorrelationLMTest:F-statistic6.662380Probability0.007304Obs*R-squared9.227442Probability0.009915TestEquation:DependentVariable:RESIDMethod:LeastSquaresDa
8、te:12/26/09Time:22:55Presamplemissingvaluelaggedresidualssett
