时间序列相关性检验-自相关

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1、序列相关性检验（一）一元线性回归结果：DependentVariable:YMethod:LeastSquaresDate:06/01/12Time:14:16Sample:19812007Includedobservations:27VariableCoefficientStd.Errort-StatisticProb.C4276.3621079.7863.9603800.0005X0.8716680.02944829.600120.0000R-squared0.972258Meandependentvar248

2、69.44AdjustedR-squared0.971149S.D.dependentvar25261.92S.E.ofregression4290.920Akaikeinfocriterion19.63758Sumsquaredresid4.60E+08Schwarzcriterion19.73356Loglikelihood-263.1073F-statistic876.1668Durbin-Watsonstat0.174669Prob(F-statistic)0.000000（二）拉格朗日乘数检验：含二阶残差

3、项的回归结果：Breusch-GodfreySerialCorrelationLMTest:F-statistic120.8648Probability0.000000Obs*R-squared24.65421Probability0.000004TestEquation:DependentVariable:RESIDMethod:LeastSquaresDate:06/01/12Time:13:50VariableCoefficientStd.Errort-StatisticProb.C361.5102372.6

4、4610.9701170.3421X-0.0256970.013222-1.9433980.0643RESID(-1)1.4775250.1936207.6310490.0000RESID(-2)-0.4852980.229297-2.1164590.0453R-squared0.913119Meandependentvar-2.29E-12AdjustedR-squared0.901787S.D.dependentvar4207.593S.E.ofregression1318.618Akaikeinfocrite

5、rion17.34251Sumsquaredresid39991346Schwarzcriterion17.53449Loglikelihood-230.1239F-statistic80.57655Durbin-Watsonstat1.772240Prob(F-statistic)0.000000含三阶残差项的回归结果：Breusch-GodfreySerialCorrelationLMTest:F-statistic77.16026Probability0.000000Obs*R-squared24.65663

6、Probability0.000018TestEquation:DependentVariable:RESIDMethod:LeastSquaresDate:06/01/12Time:13:53VariableCoefficientStd.Errort-StatisticProb.C340.4064405.78320.8388870.4106X-0.0246880.015080-1.6371600.1158RESID(-1)1.4649820.2146826.8239740.0000RESID(-2)-0.4417

7、890.371964-1.1877210.2476RESID(-3)-0.0391990.260256-0.1506180.8816R-squared0.913208Meandependentvar-2.29E-12AdjustedR-squared0.897428S.D.dependentvar4207.593S.E.ofregression1347.559Akaikeinfocriterion17.41555Sumsquaredresid39950151Schwarzcriterion17.65552Logli

8、kelihood-230.1100F-statistic57.87019Durbin-Watsonstat1.751706Prob(F-statistic)0.000000序列相关性消除（一）二阶迭代法回归结果：DependentVariable:YMethod:LeastSquaresDate:06/01/12Time:15:22Sample(adjust