计量经济学上机实验手册

计量经济学上机实验手册（White）检验等异方差检验方法和处理异中国农村居民民人均消费支出主要由人均纯收入来决定业经营的收入外，还包括从事其他产业的经营性收入以及工资性收入、财产收入和转移表4.1.1中国2006年各地区农村居民家庭人1221注：从事农业经营的纯收入由从事第一产业的经营总收入与从事第一产业的经营支出之差计算，其他来源的纯收入从散点图可看出，农民农业经营的纯收入与农民人均消费支出呈现一定程度的正相②ScatX2Y从散点图可看出，农民其他来源纯收入与农民人均消费支出呈现较高程度的正相GenrLY=LOG(Y)GenrLX1=LOG(X1)GenrLX2=LOG(X2)DependentVariable:LYMethod:LeastSquaresIncludedobservations:31VariableCoefficienStd.Errort-StatisticProb.CLX1LX2R-squaredMeandependentvarAdjustedR-squared.dependentvar.ofregressionAkaikeinfocriterionSumsquaredresidSchwarzcriterionLoglikelihoodF-statisticDurbin-WatsonstatProb(F-statistic)【注意：在学术文献中一般以这种形式给出回归方程的输出结果，而不是把上面的着性水平下通过方程总体显着性检验。可认为农民农残差（resid）变量数据是模型参数估计命令完成后由Eviews软件自动生成（在1DependentVariable:LYMethod:LeastSquaresIncludedobservations:12VariableCoefficienStd.Errort-StatisticProb.CLX1LX2R-squaredMeandependentvarAdjustedR-squared.dependentvar.ofregressionAkaikeinfocriterionSumsquaredresidSchwarzcriterionLoglikelihoodF-statisticDurbin-WatsonstatProb(F-statistic)12DependentVariable:LYMethod:LeastSquaresSample:2031Includedobservations:12VariableCoefficienStd.Errort-StatisticProb.CLX1LX2R-squaredMeandependentvarAdjustedR-squared.dependentvar.ofregressionAkaikeinfocriterionSumsquaredresidSchwarzcriterionLoglikelihoodF-statisticDurbin-WatsonstatProb(F-statistic)2软件操作：在原始模型的OLS方程对象窗口中，选择view/Residualtest/WhiteHeteroskedasticity。Eviews提供了包含交叉项的怀特检验“White下面是在原始模型的OLS方程对象窗口中，选择viHeteroskedasticity，然后进行包含交叉项的怀特检验“WhiteHeteroskedasticityWhiteHeteroskedasticityTest:F-statisticObs*R-squaredProbabilityProbabilityTestEquation:DependentVariable:RESID^2Method:LeastSquaresDate:05/03/11Time:17:21Includedobservations:31VariableCoefficienStd.Errort-StatisticProb.tCLNX1LNX1^2LNX1*LNX2LNX2LNX2^2R-squaredAdjustedR-squared.ofregressionSumsquaredresidLoglikelihoodDurbin-WatsonstatMeandependentvar.dependentvarAkaikeinfocriterionSchwarzcriterionF-statisticProb(F-statistic)GenrLYE=LY/abs(E)GenrLX1E=LX1/abs(E)GenrLX2E=LX2/abs(E)GenrCE=1/abs(E)DependentVariable:LYEMethod:LeastSquaresIncludedobservations:31VariableCoefficienStd.Errort-StatisticProb.CELX1ELX2ER-squaredAdjustedR-squared.ofregressionMeandependentvar.dependentvarAkaikeinfocriterionSumsquaredresidLoglikelihoodSchwarzcriterionDurbin-WatsonstatDependentVariable:LYEMethod:LeastSquaresIncludedobservations:12VariableCoefficienStd.Errort-StatisticProb.CELX1ELX2ER-squaredMeandependentvarAdjustedR-squared.dependentvar.ofregressionAkaikeinfocriterionSumsquaredresidSchwarzcriterionLoglikelihoodDurbin-Watsonstat1DependentVariable:LYEMethod:LeastSquaresDate:05/01/11Time:23:23Sample:2031Includedobservations:12VariableCoefficienStd.Errort-StatisticProb.CELX1ELX2ER-squaredAdjustedR-squared.ofregressionMeandependentvar.dependentvarAkaikeinfoSumsquaredresidLoglikelihoodcriterionSchwarzcriterionDurbin-Watsonstat2HH:2=2DependentVariable:LYEMethod:LeastSquaresIncludedobservations:12VariableCoefficienStd.Errort-StatisticProb.CELX1ELX2ER-squaredMeandependentvarAdjustedR-squared.dependentvar.ofregressionAkaikeinfocriterionSumsquaredresidSchwarzcriterionLoglikelihoodDurbin-Watsonstat1DependentVariable:LYEMethod:LeastSquaresSample:2031Includedobservations:12VariableCoefficienStd.Errort-StatisticProb.CELX1ELX2ER-squaredAdjustedR-squared.ofregressionSumsquaredresidLoglikelihoodMeandependentvar.dependentvarAkaikeinfocriterionSchwarzcriterionDurbin-Watsonstat2HH:2=2乘数（LM）检验等序列相关性检验方法和处理序列相关性的方法——建立总量消费函数是进行宏观经济管理的重要手段。为了从总体上考察中国（1990=100并由这些数据整理出实际支出法国内生产总消费总支出Y=CONS/CPI，以及实际可2000200120022003200420052006DependentVariable:YMethod:LeastSquaresSample:19782006Includedobservations:29VariableCoefficienStd.Errort-StatisticProb.CXR-squaredMeandependentvarAdjustedR-squared.dependentvar.ofregressionAkaikeinfocriterionSumsquaredresidSchwarzcriterionLoglikelihoodF-statisticDurbin-WatsonstatProb(F-statistic)②相邻两期残差之间的关系图Scatresid(-1)residLULDependentVariable:YMethod:LeastSquaresSample:19782006Includedobservations:29VariableCoefficienStd.Errort-StatisticProb.CXT^2R-squaredMeandependentvarAdjustedR-squared.dependentvar.ofregressionAkaikeinfocriterionSumsquaredresid6054792.SchwarzcriterionLoglikelihoodF-statisticDurbin-WatsonstatProb(F-statistic)2LUDependentDependentVariable:EMethod:LeastSquaresDate:04/26/13Time:07:08Includedobservations:28afteradjustmentsVariableCoefficientCXR-squaredAdjustedR-squaredMeandependentvar2103016.SchwarzcriterionHannan-Quinncriter.DependentDependentVariable:EMethod:LeastSquaresDate:04/26/13Time:07:32Includedobservations:27afteradjustmentsCXR-squaredAdjustedR-squaredMeandependentvarHannan-Quinncriter.Variablet-2DependentVariable:YMethod:LeastSquaresSample(adjusted):19792006Includedobservations:28afteradjustingendpointsConvergenceachievedafter5iterationsVariableCoefficienStd.Errort-StatisticProb.CXT^2AR(1)R-squaredMeandependentvarAdjustedR-squared.dependentvar.ofregressionAkaikeinfocriterionSumsquaredresid2164144.SchwarzcriterionLoglikelihoodF-statisticDurbin-WatsonstatProb(F-statistic)InvertedARRootsLU断广义差分变换后模型是否已不存在序列相关。②继续引入AR(2)【以下内容和教材P133-134的做法不同，但是我们必须掌握的DependentVariable:YMethod:LeastSquaresSample(a