c序列相关性检验
1.残差相关图
 
 
D.W.检验结果表明,在5%的显著性水平下,n=15,k=3(包含常数项)。查表得dl=0.95,du=1.94,由于D.W.=0.709653小于dl,故存在正字相关。
2.采用科克伦-奥科特迭代法估计
Dependent Variable: Y
 
 
 
 
 
 
Method: Least Squares
 
 
Date: 05/21/08   Time: 17:59
 
 
Sample (adjusted): 1993 2006
 
 
Included observations: 14 after adjustments
 
Convergence achieved after 12 iterations
 
 
 
 
 
 
 
 
 
 
 
Variable
Coefficient
Std. Error
t-Statistic
Prob.  
 
 
 
 
 
 
 
 
 
 
X2
4.540396
0.216662
20.95615
0.0000
X3
7.083910
0.863181
8.206751
0.0000
C
-3314.567
561.4461
-5.903626
0.0002
AR(1)
0.779087
0.129609
6.011055
0.0001
 
 
 
 
 
 
 
 
 
 
R-squared
0.998663
    Mean dependent var
3044.771
Adjusted R-squared
0.998262
    S.D. dependent var
1602.325
S.E. of regression
66.80888
    Akaike info criterion
11.47651
Sum squared resid
44634.27
    Schwarz criterion
11.65909
Log likelihood
-76.33554
    F-statistic
2489.279
Durbin-Watson stat
2.290791
    Prob(F-statistic)
0.000000
 
 
 
 
 
 
 
 
 
 
Inverted AR Roots
      .78
 
 
 
 
 
 
 
 
 
 
 
 
加ar(1)后,n=14,k=4,自由度为10,在5%的显著性水平下,D.W.=2.290791大于du=1.75(由于样本数小于15,D.W.表中不具备n小于15以下的数据,在故查表时仍按n=15来查),表明经广义差分变换后模型已经不存在序列相关性。对AR(1)进行t检验,由eviews结果得t=6.011055大于t(10)=2.228,故t检验显著。
 
Dependent Variable: Y
 
 
 
 
Method: Least Squares
 
 
Date: 05/21/08   Time: 18:04
 
 
Sample (adjusted): 1994 2006
 
 
Included observations: 13 after adjustments
 
Convergence achieved after 13 iterations
 
 
 
 
 
 
 
 
 
 
 
Variable
Coefficient
Std. Error
t-Statistic
Prob.  
 
 
 
 
 
 
 
 
 
 
X2
4.541651
0.215550
21.07003
0.0000
X3
7.257965
0.899483
8.069045
0.0000
C
-3389.262
581.8695
-5.824780
0.0004
AR(1)
0.583067
0.349981
1.665998
0.1343
AR(2)
0.131048
0.285418
0.459145
0.6583
 
 
 
 
 
 
 
 
 
 
R-squared
0.998702
    Mean dependent var
3201.408
Adjusted R-squared
0.998052
    S.D. dependent var
1552.187
S.E. of regression
68.50111
    Akaike info criterion
11.57530
Sum squared resid
37539.21
    Schwarz criterion
11.79259
Log likelihood
-70.23945
    F-statistic
1538.332
Durbin-Watson stat
2.259386
    Prob(F-statistic)
0.000000
 
 
 
 
 
 
 
 
 
 
Inverted AR Roots
      .76
         -.17
 
 
 
 
 
 
 
 
 
 
 


加ar(2)后,n=13,k=5,自  阅读全文>>