计量经济学模型分析方法.doc

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1、计量经济学上机模型分析方法总结一、随机误差项的异方差问题的检验与修正模型一：DependentVariable:LOG(Y)Method:LeastSquaresDate:07/29/12Time:09:03Sample:131Includedobservations:31VariableCoefficientStd.Errort-StatisticProb.  C1.6025280.8609781.8612880.0732LOG(X1)0.3254160.1037693.1359550.0040LOG(X2)0.50707

2、80.04859910.433850.0000R-squared0.796506    Meandependentvar7.448704AdjustedR-squared0.781971    S.D.dependentvar0.364648S.E.ofregression0.170267    Akaikeinfocriterion-0.611128Sumsquaredresid0.811747    Schwarzcriterion-0.472355Loglikelihood12.47249    F-statistic

3、54.79806Durbin-Watsonstat1.964720    Prob(F-statistic)0.000000（一）异方差的检验1、GQ检验法模型二：DependentVariable:LOG(Y)Method:LeastSquaresDate:07/29/12Time:09:19Sample:112Includedobservations:12VariableCoefficientStd.Errort-StatisticProb.  C3.7446261.1911133.1438040.0119LOG(X1)

4、0.3443690.0829994.1490770.0025LOG(X2)0.1689040.1188441.4212280.1890R-squared0.669065    Meandependentvar7.239161AdjustedR-squared0.595524    S.D.dependentvar0.133581S.E.ofregression0.084955    Akaikeinfocriterion-1.881064Sumsquaredresid0.064957    Schwarzcriterion-

5、1.759837Loglikelihood14.28638    F-statistic9.097834Durbin-Watsonstat1.810822    Prob(F-statistic)0.006900最新范本,供参考！模型三：DependentVariable:LOG(Y)Method:LeastSquaresDate:07/29/12Time:09:20Sample:2031Includedobservations:12VariableCoefficientStd.Errort-StatisticProb.  

6、C-0.3533811.607461-0.2198380.8309LOG(X1)0.2108980.1582201.3329420.2153LOG(X2)0.8565220.1086017.8868560.0000R-squared0.878402    Meandependentvar7.769851AdjustedR-squared0.851381    S.D.dependentvar0.390363S.E.ofregression0.150490    Akaikeinfocriterion-0.737527Sums

7、quaredresid0.203824    Schwarzcriterion-0.616301Loglikelihood7.425163    F-statistic32.50732Durbin-Watsonstat2.123203    Prob(F-statistic)0.000076进行模型二和模型三两次回归，目的仅是得到出去中间7个样本点以后前后各12个样本点的残差平方和RSS1和RSS2，然后用较大的RSS除以较小的RSS即可求出F统计量值进行显著性检验。2、怀特检验法（White）模型一的怀特残差检验结果：Wh

8、iteHeteroskedasticityTest:F-statistic4.920995    Probability0.004339Obs*R-squared13.35705    Probability0.009657TestEquation:DependentVariable:RE