異方差的檢驗(yàn)與修正

異方差的檢驗(yàn)與修正根據(jù)北京市1978-1998年人均儲(chǔ)蓄與人均收入的數(shù)據(jù)資料，若假定X為人均收入（元），Y為人均儲(chǔ)蓄（元），通過(guò)建立一元線性回歸模型分析人均儲(chǔ)蓄受人均收入的線性影響，并討論異方差的檢驗(yàn)與修正過(guò)程。1.用OLS估計(jì)法估計(jì)參數(shù)（1）導(dǎo)入數(shù)據(jù)打開(kāi)Eviews軟件，選擇“File”菜單中的“New--Workfile”選項(xiàng)，出現(xiàn)“WorkfileRange”對(duì)話(huà)框，在“Workfilefrequency”框中選擇“Annual”，在“Startdate”和“Enddate”框中分別輸入“1978”和“1998”，如下圖：然后單擊“OK”，然后單擊“OK”，彈出如下窗口:圖1—2建立新文件選擇“File”菜單中的“Import--ReadText-Lotus-Excel”選項(xiàng)，找到要導(dǎo)入的名為EX3.2.xls的Excel文檔，單擊“打開(kāi)”出現(xiàn)“ExcelSpreadsheetImport”對(duì)話(huà)框并在其中輸入“x”和“y”，如下圖所示：(2)回歸數(shù)據(jù)估計(jì)方程設(shè)模型為丫=6]+°2X+旦，在Eviews命令窗口中輸入“LSYCX”并回車(chē)，得到如下結(jié)果:E￥iews-[Equation:UHTITLEDlorkfile:UN苦…□0?FileEditObjectsViewProcs里uickO^tionsWindowHelp_o'XVi曰貴|Fitdcw1Dbj曰口|Frint|Nam亙|Feewn|DependentVariable:YMethod:LeastSquaresDate:02/09/07Time:19:27Sample:19781998Includedobservations:21R-squaredAdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat2.異方iR-squaredAdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat2.異方i差檢驗(yàn)0.974766Meandependentvar0.973438S.D.dependentvar1065.086圖]—^SEVeWs回歸結(jié)果住criterionAkaikeinfocriterion-175.1339F-statistic0.293421Prob(F-statistic)4533.2386535.10316.8698916.96937733.94950.000000七通過(guò)“Equation”對(duì)詁框中“Procs”菜單的““M您臉州Series^命令生捋差序列卻)圖示法點(diǎn)擊“OK”。VariableCoefficientStd.Errort-StatisticProb.C-2185.998339.9020-6.4312620.0000X1.6841580.06216627.091500.0000然后在“Quick”菜單中選“Graph”選項(xiàng)，再在彈出的對(duì)話(huà)框中輸入次E&”，并單擊“OK”即可得到:再在“G頁(yè)，彈出如再在“G頁(yè)，彈出如再在Eviews命令區(qū)輸入命令“LSYCX”回車(chē)得到:

R=0.9826R=0.9826匕=5811189乙2求F統(tǒng)計(jì)量：F=￡-二=4334.9370,查F分布表，給定顯著性水平a=0.05，得臨界值F）05（6,6）=4.28,1比較F=4334.9370＞「）05（6,6）=4.28則拒絕H0：°；=C；，表明隨機(jī)誤差項(xiàng)顯著存在異方差。（3）ARCH檢驗(yàn)在“EquationEQ01”窗口的“View”菜單中選擇一“ResidualTests”一"ARCHLMTest”選項(xiàng)，然后在彈出的對(duì)話(huà)框中選擇滯后階數(shù)為3階，即可得到下圖：

選擇“Equation”對(duì)話(huà)框中“Estimate”菜單的“Option”選項(xiàng)，填入權(quán)重XN-0.5）即可得到下圖:S! -^Equation:dJBjjaXEBiTork^ge:麗JJjhEgJ.□!X□FileEditObjectsViewFroce蟲(chóng)iiekOfitiotleWiridowHelp_n1X|Frgw|Ubj我姑■FirintJNam〉］Fvize|Estim角t「IFor曰〉向w1.1St.角土w|Rlwi|DependentVariable:YMethod:LeastSquaresDate:02/12/07Time:14:20Sample:19701990Includedobservations:21Weightingseries:Xrt(-0.5)VariableCoefficientStd.Errort-StatisticProb.C-1378.9621.481876220.3101 -6.2589590.083096 17.663260.00000.0000WeightedStatisticsR-squaredAdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat0.9093360.904564832.716313174913-169.96540.165765MeandependentvarS.D.dependentvarAkaikeinfocriterionSchwarzcriterionF-statisticPrcib(F-statistic)2384.9382695.51116.3776616.47713311.9908□.000000UnweightedStatisticsR-squaredAdjustedR-sauared0.9607040.958636MeandependentvarS.D.