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1、第二十讲序列相关案例分析主要内容：序列相关的侦查序列相关的处理考察我国1984年~2004年进出口额与国内生产总值之间的关系数据收集中国1989-2004年进出口额与国内生产总值单位：亿元年份国内生产总值进出口额198916,909.204,156.00199018,547.905,560.10199121,617.807,225.80199226,638.109,119.60199334,634.4011,271.00199446,759.4020,381.90199558,478.1023,499.90199667,884.6024,133.80199774,462.6026,967.
2、20199878,345.2026,849.70199982,067.5029,896.20200089,468.1039,273.20200197,314.8042,183.602002105,172.3051,378.202003117,390.2070,483.502004136,875.9095,539.10回归方程DependentVariable:YMethod:LeastSquaresDate:11/28/10Time:20:42Sample:19892004Includedobservations:16VariableCoefficientStd.Errort-Statis
3、ticProb.C-11935.444575.009-2.6088340.0206X0.6329550.06010810.530210.0000R-squared0.887897Meandependentvar30494.93AdjustedR-squared0.879890S.D.dependentvar25007.71S.E.ofregression8666.900Akaikeinfocriterion21.08888Sumsquaredresid1.05E+09Schwarzcriterion21.18545Loglikelihood-166.7110Hannan-Quinncrit
4、er.21.09382F-statistic110.8854Durbin-Watsonstat0.383500Prob(F-statistic)0.000000序列相关的侦查（1）图解法（2）DW检验在给定，，查表得，存在着正的序列相关NullHypothesis:EhasaunitrootExogenous:ConstantLagLength:3(AutomaticbasedonSIC,MAXLAG=3)t-Statistic Prob.*AugmentedDickey-Fullerteststatistic-1.358756 0.5657Testcriticalvalues:1%le
5、vel-4.1219905%level-3.14492010%level-2.713751（3）BG检验Breusch-GodfreySerialCorrelationLMTest:F-statistic23.01977 Prob.F(2,12)0.0001Obs*R-squared12.69191 Prob.Chi-Square(2)0.0018TestEquation:DependentVariable:RESIDMethod:LeastSquaresDate:11/28/10Time:21:23Sample:19892004Includedobservations:16P
6、resamplemissingvaluelaggedresidualssettozero.VariableCoefficientStd.Errort-StatisticProb.C-2373.8172800.904-0.8475180.4133X0.0505730.0440251.1487270.2731RESID(-1)1.5764310.2778355.6739860.0001RESID(-2)-0.5729160.393145-1.4572650.1707R-squared0.793244 Meandependentvar5.23E-12AdjustedR-squared0.7
7、41556 S.D.dependentvar8373.021S.E.ofregression4256.629Akaikeinfocriterion19.76266Sumsquaredresid2.17E+08 Schwarzcriterion19.95581Loglikelihood-154.1013Hannan-Quinncriter.19.77255F-statistic15.34651 Durbi
