庞皓计量经济学课后答案第五章.pdfVIP

庞皓计量经济学课后答案第五章

篇一：计量经济学庞皓第二版第五章答案

5.2(1)对原模型OLS回归分析结果：

DependentVariable:YMethod:LeastSquaresDate:04/01/09Time:15:44Sample:160

Includedobservations:60

VariableCX

R-squared

AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat

0.946423Meandependentvar0.945500S.D.dependentvar9.032255Akaikeinfocriterion

4731.735Schwarzcriterion-216.1674F-statistic1.790431Prob(F-statistic)

(2)

White检验结果：

WhiteHeteroskedasticityTest:F-statisticObs*R-squared

TestEquation:

DependentVariable:RESIDMethod:LeastSquaresDate:04/01/09Time:15:45Sample:160

Includedobservations:60

VariableCXX

R-squared

AdjustedR-squaredS.E.ofregression

6.301373Probability10.86401Probability

0.181067Meandependentvar0.152332S.D.dependentvar102.3231Akaikeinfocriterion

SumsquaredresidLoglikelihoodDurbin-Watsonstat

596790.5Schwarzcriterion-361.2856F-statistic1.442328Prob(F-statistic)

nR2=10.86401,查表得?20.05(2)=5.99147，nR25.99147,因而回绝原假设，说明模型中随机

误差项存在异方差。Goldfeld-Quandt检验：

DependentVariable:YMethod:LeastSquaresDate:04/01/09Time:16:16Sample:122

Includedobservations:22

VariableCX

R-squared

AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat

0.817990Meandependentvar0.808890S.D.dependentvar5.490969Akaikeinfocriterion

603.0148Schwarzcriterion-67.63654F-statistic1.136382Prob(F-statistic)

DependentVariable:YMethod:LeastSquaresDate:04/01/09Time:16:17Sample:3960

Includedobservations:22

VariableCX

R-squared

AdjustedR-squaredS.E.ofregressionSumsquaredresid

0.733898Meandependentvar0.720593S.D.dependentvar11.17103Akaikeinfocriterion

2495.840Schwarzcriterion

LoglikelihoodDurbin-Watsonstat

-83.26137F-statistic0.610587