计量经济学实验报告 多重共线性检验.docx
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计量经济学实验报告多重共线性检验
计量经济学实验报告多重共线性检验
计量经济学实验报告
计量经济学上机实验报告
多重共线性检验
实验背景
近年来，中国旅游业一直保持高速发展，旅游业作为国民经济新的增长点，在整个社会经济发展中的作用日益显现。
中国的旅游业分为国为了规划中国未来旅游产业的发展，需要定量地分析影响中国旅游市场发展的主要因素。
模型
•••••••
其中，
第t年全国旅游收入X2——国Time:
15:
49Sample:
19942009IncludedYt——
observations:
16
VariableX2X3X4
Coefficient0.0639690.2098195.283347
Std.Error0.0077141.3192921.918838
1
t-Statistic
8.2928750.1590392.753409
Prob.0.00000.87680.0204
计量经济学实验报告
X5X6C
R-squaredAdjustedR-squaredS.E.ofregressionSumsquaredresidLog
likelihoodDurbin-Watsonstat
-3.352907-53.38584-2220.151
2.376484434.68292210.044
-1.410869-0.122816-1.004573
0.18860.90470.33884270.1192720.86014.1780614.46778347.26440.000000
0.994274Meandependentvar0.991411S.D.dependentvar252.1678
Akaikeinfocriterion635886.0Schwarzcriterion-107.4245F-statistic
1.224560Prob（F-statistic）
R2很高，F显著，但x3、x5、x6不显著，X5、X6的符号甚至是负的。
可能存在多重共线性
（二）
检查各解释变量之间的相关性
X2X3X4X5X6
各解释变量相互之间的相关系数较高，证实确实存在严重多重共线性。
（三）
进一步检验和消除多重共线性，采用逐步回归法
分别作Y对X2、X3、X4、X5、X6的一元回归，结果如下:
X21.0000000.8434530.7006550.9649090.944409
X30.8434531.0000000.8439910.8222010.913464
X40.7006550.8439911.0000000.6612700.827867
X50.9649090.8222010.6612701.0000000.904867
X60.9444090.9134640.8278670.9048671.000000
以X2为基础，分别加入X3、X4、X5、X6加入X3，不显著，排除。
Dependent
Variable:
YMethod:
LeastSquaresDate:
04/06/11Time:
16:
11Sample:
19942009Includedobservations:
16
VariableC
Coefficient-3012.810
Std.Error549.3740
t-Statistic-5.484078
Prob.0.0001
按R-squared大小排序为:
X2、X6、X5、X3、X4
2
计量经济学实验报告
X2X3
R-squaredAdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat
0.0554112.541150
0.0037041.208186
14.959912.103276
0.00000.05554270.1192720.86014.6352614.78012487.37750.000000
0.986839Meandependentvar0.984814S.D.dependentvar335.2951Akaikeinfocriterion1461496.Schwarzcriterion-114.0821F-statistic0.702762Prob（F-statistic）
加入X4，显著，保留DependentVariable:
YMethod:
LeastSquaresDate:
04/06/11Time:
16:
12Sample:
19942009Includedobservations:
16
VariableCX2X4
R-squaredAdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat
Coefficient-2360.5960.0556095.450434
Std.Error180.90370.0020151.207441
t-Statistic-13.0489127.598454.514038
Prob.0.00000.00000.00064270.1192720.86013.9852414.13010939.55910.000000
0.993129Meandependentvar0.992072S.D.dependentvar242.2577Akaikeinfocriterion762954.5Schwarzcriterion-108.8819F-statistic0.905401Prob（F-statistic）
加入X5，不显著，排除DependentVariable:
YMethod:
LeastSquaresDate:
04/06/11Time:
16:
12Sample:
19942009Includedobservations:
16
VariableCX2X5
R-squared
Coefficient-2052.4570.071556-4.063442
Std.Error252.88970.0083303.411178
t-Statistic-8.1160168.590340-1.191214
Prob.0.00000.00000.25494270.119
0.984096Meandependentvar
3
计量经济学实验报告
AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat
0.981649S.D.dependentvar368.5792Akaikeinfocriterion1766058.Schwarzcriterion-115.5964F-statistic0.718757Prob（F-statistic）
2720.86014.8245514.96941402.20680.000000
加入X6，显著，保留DependentVariable:
YMethod:
LeastSquaresDate:
04/06/11Time:
16:
12Sample:
19942009Includedobservations:
16
VariableCX2X6
R-squaredAdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat
保留了X4和X6加入X3不显著，排除
DependentVariable:
YMethod:
LeastSquaresDate:
04/06/11Time:
16:
35Sample:
19942009Includedobservations:
16
VariableCX2X4X3
R-squared
Coefficient-2323.4260.0557715.547612-0.106429
Std.Error462.35720.0027871.6725361.209188
t-Statistic-5.02517420.013293.316886-0.088017
Prob.0.00030.00000.00610.93134270.119
Coefficient-6813.6820.048874867.2159
Std.Error2061.8360.005854365.8003
t-Statistic-3.3046678.3482422.370736
Prob.0.00570.00000.03394270.1192720.86014.5688414.71370521.29560.000000
0.987685Meandependentvar0.985790S.D.dependentvar324.3425Akaikeinfocriterion1367575.Schwarzcriterion-113.5507F-statistic0.733651Prob（F-statistic）
分别以X2和X4为基础，加入其他变量
0.993134Meandependentvar
4
计量经济学实验报告
AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat加入X5不显著，排除
DependentVariable:
YMethod:
LeastSquares
0.991417S.D.dependentvar252.0685Akaikeinfocriterion762462.3Schwarzcriterion-108.8768F-statistic0.923342Prob（F-statistic）
2720.86014.1096014.30274578.56610.000000
Std.Error178.36090.0054951.1526452.140330
t-Statistic-13.6362411.558084.607421-1.534588
Coefficient-2432.1720.0635115.310720-3.284526
Prob.0.00000.00000.00060.15084270.1192720.86013.9310514.12420692.44320.000000
Date:
04/06/11Time:
16:
37
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