第五章：异方差性(作业)

更新时间:2023-07-30 14:01:14 阅读：评论：0

为了研究中国出口商品总额EXPORT对国内生产总值GDP的影响，搜集了1990～2015年相关的指标数据，如表所示。

表3 中国出口商品总额与国内生产总值（单位：亿元）

资料来源：《国家统计局网站》

(1) 根据以上数据，建立适当线性回归模型。

(2) 试分别用White检验法与ARCH检验法检验模型是否存在异方差

(3) 如果存在异方差，用适当方法加以修正。

解：（1）

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模型回归的结果：

（2）white: 该模型存在异方差

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Heteroskedasticity Test: White


F-statistic		Prob. F(2,22)
Obs*R-squared		Prob. Chi-Square(2)
Scaled explained SS		Prob. Chi-Square(2)



Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/18/20 Time: 17:45
Sample: 1991 2015
Included obrvations: 25


Variable	Coefficient	Std. Error	t-Statistic	Prob.

ARCH检验：该模型存在异方差

Heteroskedasticity Test: ARCH


F-statistic		Prob. F(1,22)
Obs*R-squared		Prob. Chi-Square(1)



Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/18/20 Time: 19:55
Sample (adjusted): 1992 2015
Included obrvations: 24 after adjustments


Variable	Coefficient	Std. Error	t-Statistic	Prob.


C	+08	+08

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RESID^2(-1)


R-squared		Mean dependent var	+09
Adjusted R-squared		. dependent var	+09
. of regression	+09	丙烯颜料怎么洗掉 Akaike info criterion
Sum squared resid	+20	Schwarz criterion
Log likelihood		Hannan-Quinn criter.
F-statistic		Durbin-Watson stat
Prob(F-statistic)

（3）修正：加权最小二乘法修正

Dependent Variable: Y
Method: Least Squares
Date: 04/18/20 Time: 20:46
Sample: 1991 2015
Included obrvations: 25
Weighting ries: W2
Weight type: Inver variance (average scaling)


Variable	Coefficient	Std. Error	t-Statistic	Prob.


C
X


	Weighted Statistics


R-squared		小米椒 Mean dependent var

修正后进行white检验：

Heteroskedasticity Test: White


F-statistic		Prob. F(2,22)
Obs*R-squared		Prob. Chi-Square(2)
Scaled explained SS		Prob. Chi-Square(2)



Test Equation:
Dependent Variable: WGT_RESID^2
Method: Least Squares
Date: 04/18/20 Time: 20:41
Sample: 1991 2015王羲之代表作
Included obrvations: 25
Collinear test regressors dropped from specification


Variable日不落歌词	Coefficient	Std. Error	t-Statistic	Prob.

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标签：模型总额存在方差出口商品数据来源检验

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