天津大学版经济计量学课后习题答案.docx

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1、4.61.进行最小二乘估计,结果为：DependentVariable:YMethod:LeastSquaresSample:120Includedobservations:20VariableCoefficientStd.Errort-StatisticProb.C29.0322747.260190.0.5467X0.0.47.559560.0000R-squared0.Meandependentvar2188.500AdjustedR-squared0.S.D.dependentvar642.2246S.E.ofregression58.6

2、2795Akaikeinfocriterion11.07494Sumsquaredresid61870.26Schwarzcriterion11.17451Loglikelihood-108.7494F-statistic2261.912Durbin-Watsonstat2.Prob(F-statistic)0.Y=29.+0.*X2.异方差检验散点图如下X与Y散点分布的相关图显示随机项存在递增的异方差3.用Goldfeld-Quandt检验分析异方差性假设：H0：随机项是同方差的H1：随机项是递增异方差的第一个子样本数据为进行最小二乘估计(1

3、~10)，DependentVariable:YMethod:LeastSquaresSample:110Includedobservations:10VariableCoefficientStd.Errort-StatisticProb.C-90.22196123.2315-0.0.4850X0.0.14.883460.0000R-squared0.Meandependentvar1735.600AdjustedR-squared0.S.D.dependentvar186.8839S.E.ofregression37.00713Akaikei

4、nfocriterion10.23695Sumsquaredresid10956.22Schwarzcriterion10.29747Loglikelihood-49.18477F-statistic221.5174Durbin-Watsonstat2.Prob(F-statistic)0.Y=-90.+0.*X表中的残差平方和为10956.22第二个子样本数据(11~20),进行最小二乘估计为DependentVariable:YMethod:LeastSquaresSample:1120Includedobservations:10Vari

5、ableCoefficientStd.Errort-StatisticProb.C-79.77156108.5232-0.0.4833X0.0.25.640250.0000R-squared0.Meandependentvar2641.400AdjustedR-squared0.S.D.dependentvar616.4322S.E.ofregression71.68987Akaikeinfocriterion11.55943Sumsquaredresid41115.50Schwarzcriterion11.61995Loglikelihood

6、-55.79716F-statistic657.4227Durbin-Watsonstat1.Prob(F-statistic)0.Y=-79.+0.*X表中的残差平方和为41115.50从而G-Q检验的F统计量为F=ESS2/ESS1=3.，F0.05（10-1-1，10-1-1）=F0.05（8，8）=3.44F〉F0.05（8，8）随机项存在递增的异方差4.异方差的修正变量代换后最小二乘估计的Eviews输出表DependentVariable:YMethod:LeastSquaresSample:120Includedobservati

7、ons:20Weightingseries:1/XVariableCoefficientStd.Errort-StatisticProb.C45.4633751.691340.0.3907X0.0.37.610750.0000WeightedStatisticsR-squared0.Meandependentvar2044.832AdjustedR-squared-0.S.D.dependentvar55.15445S.E.ofregression55.48609Akaikeinfocriterion10.96478Sumsquaredresi

8、d55416.72Schwarzcriterion11.06435Loglikelihood-107.6478F-statistic0.Durbin-