Nonlinear Regression and Nonlinear Least Squares参考.ppt

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Nonlinear Regression and Nonlinear Least Squares参考.ppt

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Nonlinear Regression and Nonlinear Least Squares参考

* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * The White Estimator Groupwise Heteroscedasticity Regression of log of per capita gasoline use on log of per capita income, gasoline price and number of cars per capita for 18 OECD countries for 19 years. The standard deviation varies by country. The “solution” is “weighted least squares.” Countries are ordered by the standard deviation of their 19 residuals. White Estimator +--------+--------------+----------------+--------+--------+----------+ |Variable| Coefficient | Standard Error |t-ratio |P[|T|t]| Mean of X| +--------+--------------+----------------+--------+--------+----------+ Constant| 2 20.450 .0000 LINCOMEP| 24.855 .0000 -6 LRPMG | - -29.418 .0000 - LCARPCAP| - -41.023 .0000 -9| White heteroscedasticity robust covariance matrix | +----------------------------------------------------+ Constant| 2 20.274 .0000 LINCOMEP| 20.093 .0000 -6 LRPMG | - -22.920 .0000 - LCARPCAP| - -35.458 .0000 -9Newey-West Estimator Autocorrelated Residuals Newey-West Estimate +---------+--------------+----------------+--------+---------+----------+ |Variable | Coefficient | Standard Error |t-ratio |P[|T|t] | Mean of X| +---------+--------------+----------------+--------+---------+----------+ Constant -7 1 -7.412 .0000 LP - -.086 .9317 1 LY 3 9.314 .0000 2 LPNC - -.513 .6101 4 LPUC .099 .9217 4 LPPT - .0363