计量经济学庞皓第二版第五章答案_.doc

文档介绍：(1) 对原模型OLS回归分析结果:
Dependent Variable: Y
Method: Least Squares
Date: 04/01/09 Time: 15:44
Sample: 1 60
Included observations: 60
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C




X




R-squared

Mean dependent var

Adjusted R-squared

. dependent var

. of regression

Akaike info criterion

Sum squared resid

Schwarz criterion

Log likelihood
-
F-statistic

Durbin-Watson stat

Prob(F-statistic)

(2)
White检验结果:
White Heteroskedasticity Test:
F-statistic

Probability

Obs*R-squared

Probability

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/01/09 Time: 15:45
Sample: 1 60
Included observations: 60
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
-

-

X




X^2




R-squared

Mean dependent var

Adjusted R-squared

. dependent var

. of regression

Akaike info criterion

Sum squared resid

Schwarz criterion

Log likelihood
-
F-statistic

Durbin-Watson stat

Prob(F-statistic)

nR2=, (2)=,nR2>,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:
Dependent Variable: Y
Method: Least Squares
Date: 04/01/09 Time: 16:16
Sample: 1 22
Included observations: 22
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C




X




R-squared

Mean dependent var

Adjusted R-squared

. dependent var

. of regression

Akaike info criterion

Sum squared resid

Schwarz crit