Multiple Regression Analysis Western Illinois University多元回归分析伊利诺斯西部大学.pptVIP

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Multiple Regression Analysis Western Illinois University多元回归分析伊利诺斯西部大学.ppt

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Multiple Regression Analysis Western Illinois University多元回归分析伊利诺斯西部大学

Example: Private Housing Start The value of the DW test has changed from 0.88 for the previous model to 0.78 for the new model. At 5% level the critical value for DW test, from Durbin-Watson table, for k = 5, and n = 39 is L= 1.22, and U = 1.79. Since The value of the DW test is smaller than L=1.22, we reject the null hypothesis H0: ? =0 This implies that there is serial correlation in both models, the assumption of the independence of the error terms is not valid. Example: Private Housing Start The Plot of PHS against DPI shows a curve linear relation. Next we introduce a nonlinear term into the regression. The square of disposable personal income per capita (DPI2) is included in the regression model. Example: Private Housing Start We also add the dependent variable, lagged one quarter, as an independent variable in order to help reduce serial correlation. The third model that we fit to our data set is: Regression results for this model are shown in the next slide. Example: Private Housing Start Example: Private Housing Start The inclusion of DPI2 and Lagged PHS has increased the R-squared to 96% The standard error of the estimate has decreased to 12.45 The value of the DW test has increased to 2.32 which is greater than U = 1.79 which rule out positive serial correlation. You see that the third model worked best for this data set. The following slide gives the data set. Example: Private Housing Start * In this example and many situations similar to it, a single independent variable in the model would have provided an inadequate description, since a number of key independent variables affect the response variable in important and distinctive ways. Therefore, the predictions of the response variable based on a model containing only a single independent variable is too imprecise to be useful. A more complex model containing additional independent variables, typically is more helpful in providing sufficiently precise predictions of the response variabl