自相关的检验与修正

1、实验2自相关的检验与修正、实验目的：掌握自相关模型的检验方法与处理方法.。、实验内容及要求：表1列出了 1985 2007年中国农村居民人均纯收入与人均消费性支出的统计数据。(1) 利用OLS法建立中国农村居民人均消费性支出与人均纯收入的线性模型。(2) 检验模型是否存在自相关。(3) 如果存在自相关，试采用适当的方法加以消除。表1 1985 2007年中国农村居民人均纯收入与人均消费性支出(单位：元)年份全年人均纯收入(现价)全年人均消费性支出(现价)消费价格指数(1985=100)1985397.6317.421001986423.8357106.11987462.6398.3112.71

2、988544.9476.7132.41989601.5535.4157.91990686.3584.63165.11991708.6619.8168.91992784659.8176.81993921.6769.7201199412211016.8124819951577.71310.36291.419961923.11572.1314.419972090.11617.15322.3199821621590.33319.119992214.31577.42314.320002253.4167031420012366.41741316.520022475.61834315.220032622.2

3、41943.3320.220042936.42185335.620053254.932555343200635872829348.1200741403224366.9实验如下:首先对数据进行调整，将全年人均纯收入和全年人均消费性支出相应调整为全年实际人 均纯收入和全年实际人均消费性支出。LEul r全年人沟地收入全年人均泊箜低立出 r泊费桥特描旷全年人均女际址収空年人均宴际洞裁性立出tMM1576J17.42in33.60Al*41伽(山炉1441珈钊JMU1419JM3m.741M7SSM1maSU.t47L7JJ2.4411.5636l.$MMOSAE州IMJnusltf.1ill1491

4、TlV.bOU140.9m劉W：714ITtfJlg話珊肿1WJKl.TWL73D14SU13HM附4i*iiHUM2JS49*34JltAft199?1577JIJ1IU4却再iMl.4：申紺阳154314Jai.750曲工刚ia?J5血訓5OL75132U215933319Jmm495819muim4i314Jmji和LS2iOOl8MD0744.90001033.450B12.7M0112R17007B 71M比 E ifrdrEzi e Edit Cbject View Proc Quick Options Window Helpda曲 iyIs / ci Eq uat亦 n: U N

5、7ULED Workfile： UMTLEO:U 刖t ed 包 pr*t.deu |ni rarttJuEUE :hstm肛 hMHg： sms.上呂出DBPfinoent variable: YLlEtnod: LEastSqijarssDat2：G4Z54/5 Tria: 12:22filriph 1Q952007 mjaec cosencns. zjCacffidcnt9td. Errort Stat stkcProa.G5&21STIaascioO.9K06969260.02134231 99373C ooooR-gquan&l0P7QQ34Mean dependentvar-.ct

6、iusted 尺-suuardC.978947&D, dependent var15E.3t733.El ofrecr&ssion22.977054aike info cnteriorifl 169013Sun squared resic1105B.87S3hwa.rz.crkn on9.2aesiLog li 也 II Mod-1026326Hanriaraulnn 亡ritL9214646b-siatistic1023.933LXircun Batson scatU4U9903rros(Ps1at：5tic0.000030图形分析:图4从图4中可以看出，中国农村居民人均消费性支出与人均纯收

7、入存在着显著的正相关 关系。估计回归方程: 从图3中可以得出，估计回归方程为：Y=56.21878+0.698928Xt=(3.864210)(31.99973)2R =0.979904 F=1023.983 D.W.=0.4099032.自相关检验(1)图示法图5从图5中，可以看出残差的变化有系统模式，连续为正或连续为负， 表示残差项存在一阶正自相关。(2) DW检验从图 3 中可以得到 D.W.=0.409903，在显著水平去 5% n=23, k=2, dL=1.26, d u=1.44。 此时0D.W.l=： Y-0.B15024*Y(-1)Method: Least Squ3resD

8、ate; 04/24/15 Time： 13;29Sample iacjListed) -1906 20Q7Included otzservations： 22 after acjustmentsCoefficientStd. Errgrt-Stati3ticFrob.j-h. V7 7517337.S135I60.9920940.3330X-0 315C24*X(-1)0.73093U 0495614.75022o.ovooR-squared0.915814Mean dependentvar114J&0&0Adjusted F?-5quarcdi0,911005S O. dependent

9、vai47.75 &Q3S.E.of regression14.19673Akaike infc criterion8.230408Sum squared resid4030.942Sctiwarz crit&rion8 3 29 & 9 4LosiiKeiihood-36.53449Hairian-cuinn oiter.3.25-3773F-sUtistic217.S691Durbin-Watson 引 at1 324&81Pre b(F-stat Stic)0000000图8从图8中可以得出此时的D.W.=1.324681，在取显著水平为5% n=23, k=2 , dL=1.26,du

10、=1.44，模型中dLDWon5： 23coencentskj. Euar t-stad&ucF(0 3.cQ.26&4670 0S22G72 07310 0030LNX0.932322 012&99r3.41&450 000R-squaredl0.956119Mfran dlependient var7005557-.stea Psqum三 c0.995934s.D. dependent var0.705712S E cf r&gr&sgion0 044959Akaikt info criterion-2 281333Sum squared reatdl ,02524Schwarz crit

11、ericn-3.1B2653Loc liKelihooc39 73W0Hannan-Qunr enter-3.2565&9F-s1 tii sticMSQRsgDuirbin-Watcon stat0 47fiB4ProbfF-statisliGO.OCOJOO对双对数模型进行调整:0 EViewsFile Edit Object View Proc Quick Options Window Help genrinx=log(j)Is Inyc InxIs Iny c Im ar(1) arp) Equation: UNFLED Workfil出 UNTITLED:;Untitle叽三 l I

12、View Proc Object | Prntj Name Freeze Estimate fForecast Stats RjesicfccorreMramof ResidualsDate： 04/23/15 Time： 23:50Sample: 1987 2007Included Qb&ervalgns： 21-statistic probatilities adjusted for 2 AR MA term AutocorrelatiorPartial CorrelationACPAG Q-Stat Prob|匸111 心Q99 .099 C.2311J 2 0 190 0JS2 1.1

13、5251匚1I 013 -0 124 -0.095 1.5654 0.2111 口11 14 -0 16fi -0.230 2.3695 0.3061J 11J 15 0.154 0 163 3.0S93 0.37B1 11 16 -0.182 -0110 4.1563 0.385图10盅 EViews，File Edit Object View Prcc Ouict Options Window Help genr Inx-logGis iny c InxIs Iny c Inx ar血2)O Equation; UKTFIED Wokfile： UNTTTlED：；UrtWed|_c_ |

14、 3 | 3 |Wewl Proc|ObXrtl fFrirtNarr*elfFreeze Estinate lncretast| itatsIfREstisSreusch-Godfrey Serial Correlation LM TestF-ststlstic bsR 3cuiaredD.526E221.377=52Proa. F(2,15)Proa. Dhi Square(2)0.6&120.5&22Test EquationDepndsnr/arisbla RESIDMethod LeastCqujresDdn 04/24/1 Time 00:11Samplt: 1837 2WFInd

15、udeJ observations:；?1Prssimplo miRiri i：aIl博宅mt 柏 沖廿CoelicientStd. Errort-StatisiicProbc-D J 6477702S2J4&-02566990.8009LNXD nO7F7H0073070OP381340B150AR(1)0.4874071.4E75220 3344060.7427AR-.34B0630.751760-0 43959106B65RESlD(-1 -0.536e4&12320-0 3 SO 3670.7&90RESID-2J0.D4110&0.71351900552850.9566R-squared0.065599l.esn d&pendeit /ar3.07E-12Adjusted R squared0.245S70S.D dfjpendftndvar0025400SJE. of i egress toriD.0282C&AKaike info uittrion-4 052&84sun squaredO.D1