最新试题库含答案庞皓计量经济学课后答案第五章.docx
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最新试题库含答案庞皓计量经济学课后答案第五章
庞皓计量经济学课后答案第五章
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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
Coefficient9.3475220.637069
Std.Error3.6384370.019903
t-Statistic2.56910432.00881
Prob.0.01280.0000119.666738.689847.2722467.3420581024.5640.000000
0.946423Meandependentvar0.945500S.D.dependentvar9.032255Akaikeinfocriterion4731.735Schwarzcriterion-216.1674F-statistic1.790431Prob（F-statistic）
（2）
White检验结果：
WhiteHeteroskedasticityTest:
F-statisticObs*R-squared
TestEquation:
DependentVariable:
RESID_Method:
LeastSquaresDate:
04/01/09Time:
15:
45Sample:
160
Includedobservations:
60
VariableCXX_
R-squared
AdjustedR-squaredS.E.ofregression
Coefficient-10.036140.1659770.001800
Std.Error131.14241.6198560.004587
t-Statistic-0.0765290.1024640.392469
Prob.0.93930.91870.696278.86225111.137512.14285
6.301373Probability10.86401Probability
0.0033700.004374
0.181067Meandependentvar0.152332S.D.dependentvar102.3231Akaikeinfocriterion
SumsquaredresidLoglikelihoodDurbin-Watsonstat
596790.5Schwarzcriterion-361.2856F-statistic1.442328Prob（F-statistic）
12.247576.3013730.003370
nR2=10.86401,查表得?
20.05
（2）=5.99147，nR25.99147,所以拒绝原假设，表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
Coefficient12.536950.605911
Std.Error7.0695780.063910
t-Statistic1.7733659.480730
Prob.0.09140.000078.6363612.560506.3305946.42978089.884240.000000
0.817990Meandependentvar0.808890S.D.dependentvar5.490969Akaikeinfocriterion603.0148Schwarzcriterion-67.63654F-statistic1.136382Prob（F-statistic）
DependentVariable:
YMethod:
LeastSquaresDate:
04/01/09Time:
16:
17Sample:
3960
Includedobservations:
22
VariableCX
R-squared
AdjustedR-squaredS.E.ofregressionSumsquaredresid
Coefficient-39.543930.841215
Std.Error27.082720.113266
t-Statistic-1.4601167.426927
Prob.0.15980.0000160.818221.133677.7510337.850219
0.733898Meandependentvar0.720593S.D.dependentvar11.17103Akaikeinfocriterion2495.840Schwarzcriterion
LoglikelihoodDurbin-Watsonstat
-83.26137F-statistic0.610587Prob（F-statistic）
55.159240.000000
eF=?
e
2221
=2495.840/603.0148=4.139,查得F0.05（20，20）=2.12，
4.1392.12，则拒绝原假设，表明模型中随机误差项存在异方差。
（3）加权最小二乘法修正异方差W1=1/X
DependentVariable:
YMethod:
LeastSquaresDate:
04/01/09Time:
15:
53Sample:
160
Includedobservations:
60Weightingseries:
W1
VariableCX
WeightedStatisticsR-squared
AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-WatsonstatUnweightedStatisticsR-squared
AdjustedR-squaredS.E.ofregressionDurbin-Watsonstat
Coefficient10.370510.630950
Std.Error2.6297160.018532
t-Statistic3.94358734.04667
Prob.0.00020.0000106.21018.6853766.9734707.04328115.551880.000219
119.666738.689844739.526
0.211441Meandependentvar0.197845S.D.dependentvar7.778892Akaikeinfocriterion3509.647Schwarzcriterion-207.2041F-statistic1.969805Prob（F-statistic）
0.946335Meandependentvar0.945410S.D.dependentvar9.039689Sumsquaredresid1.796748
WhiteHeteroskedasticityTest:
F-statisticObs*R-squared
TestEquation:
DependentVariable:
STD_RESID_Method:
LeastSquaresDate:
04/01/09Time:
15:
54Sample:
160
Includedobservations:
60
VariableCXX_
R-squared
AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat
Coefficient238.8363-2.1395840.005690
Std.Error73.631910.9094930.002575
t-Statistic3.243652-2.3525022.209642
Prob.0.00200.02210.031258.4941259.4967810.9884411.093163.1384910.050925
3.138491Probability5.951910Probability
0.0509250.050999
0.099198Meandependentvar0.067591S.D.dependentvar57.45087Akaikeinfocriterion188134.3Schwarzcriterion-326.6533F-statistic1.606243Prob（F-statistic）
虽然White检验结果nR2=5.95191?
20.05
（2）=5.99147，显示已消除异方差，但R2=0.2114,拟合优度太低，不是理想的结果。
W2=1/X2
DependentVariable:
YMethod:
LeastSquaresDate:
04/01/09Time:
15:
55Sample:
160
Includedobservations:
60Weightingseries:
W2
VariableCX
Coefficient10.123270.633029
Std.Error2.7557750.024590
t-Statistic3.67347525.74374
Prob.0.00050.0000
WeightedStatisticsR-squared
AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat
UnweightedStatisticsR-squared
AdjustedR-squaredS.E.ofregressionDurbin-Watsonstat
94.0120641.029657.0571307.1269411451.6600.000000
0.961581Meandependentvar0.960918S.D.dependentvar8.111184Akaikeinfocriterion3815.896Sch
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