计量经济学（庞浩）第五章练习题参考解答

Obs*R-squared

Test Equation:

7.031364 Probability

0.008009

Dependent Variable: RESID^2 Method: Least Squares Date: 08/08/05 Time: 17:11 Sample(adjusted): 1979 2000

Included observations: 22 after adjusting endpoints Variable C RESID^2(-1) R-squared

Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient 1676.876 0.588797 Std. Error 1086.874 0.192098 t-Statistic 1.542843 3.065093 Prob. 0.1385 0.0061 5097.707 19.66118 19.76037 9.394796 0.006109 0.319607 Mean dependent var 3457.332 0.285588 S.D. dependent var 4308.730 Akaike info criterion 3.71E+08 Schwarz criterion -214.2730 F-statistic 1.874793 Prob(F-statistic)

由上表可知，(n?p)R?7.0314，在??0.05和自由度为1下，查卡方分布表，得临界值为?0.05(1)?3.8415，显然，(n?p)R?7.0314>?0.05(1)?3.8415，则说明模型中随机误差项存在异方差。

（3）修正异方差。取权数为W?1/X，得如下估计结果

22222??8.3065?0.8558XY

(1.8563)(34.1172)R2?0.9941,s.e.?13.4795,F?1163.99

经检验异方差的表现有明显的降低。

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