EconometricanalysisGeneralizedRegressionModel幻灯片.pptVIP

* * * * * * * * * * * * * * * * * Least Squares Residuals Newey-West +++++++ |Variable | Coefficient | Standard Error |t-ratio |P[|T|t] | Mean of X| +++++++ Constant - -5.695 .0000 LOGY 1 338.159 .0000 7+++++++ |Variable | Coefficient | Standard Error |t-ratio |P[|T|t] | Mean of X| +++++++ Constant - -1.864 .0638 LOGY 1 106.846 .0000 7FGLS ++ | AR(1) Model: e(t) = rho * e(t-1) + u(t) | | Initial value of rho = .90693 | | Maximum iterations = 100 | | Method = Prais - Winsten | | Iter= 1, SS= .017, Log-L= 666.519353 | | Iter= 2, SS= .017, Log-L= 666.573544 | | Final value of Rho = .910496 | | Iter= 2, SS= .017, Log-L= 666.573544 | | Durbin-Watson: e(t) = .179008 | | Std. Deviation: e(t) = .022308 | | Std. Deviation: u(t) = .009225 | | Durbin-Watson: u(t) = 2.512611 | | Autocorrelation: u(t) = -.256306 | | N[0,1] used for significance levels | ++ +++++++ |Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|z] | Mean of X| +++++++ Constant - -.908 .3637 LOGY 82.519 .0000 7 RHO 31.371 .0000 * * * * * * * * * * * * * * * * * * * * * * * * * * * * * Specification ? must be specified first. A full unrestricted ? contains n(n+1)/2 - 1 parameters. (Why minus 1? Remember, tr(?) = n, so one element is determined.) ? is generally specified in terms of a few parameters. Thus, ? = ?(?) for some small parameter vector ?. It becomes a question of estimating ?. Examples: Harvey’s Model of Heteroscedasticity Var[?i | X] = ?2 exp(??zi) Cov[?i,?j | X] = 0 e.g.: zi = firm size e.g.: zi = a se