计量经济学检验
①多重共线性检验
利用简单相关系数矩阵法检验,得
X D D*X
X 1.000000 0.886540 0.905644
Z 0.886540 1.000000 0.989222
Z*X 0.905644 0.989222 1.000000
相关系数非常大,该模型存在严重的多重共线性,但对此无法进行修正,因为虚拟变量的引入带来了多重共线性.这是模型的一个比较大的缺陷,从而使模型的解释力有所下降.
② 异方差检验
ARCH检验
ARCH Test:
F-statistic 0.579265 Probability 0.641799
Obs*R-squared 2.072718 Probability 0.557452
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 12/15/02 Time: 17:30
Sample(adjusted): 1988 2001
Included observations: 14 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
C 75.93210 57.65622 1.316980 0.2172
RESID^2(-1) 0.841709 0.949384 0.886584 0.3961
RESID^2(-2) -8.532462 13.78786 -0.618839 0.5499
RESID^2(-3) -5.233045 7.831470 -0.668207 0.5191
R-squared 0.148051 Mean dependent var 51.27278
Adjusted R-squared -0.107533 S.D. dependent var 134.4577
S.E. of regression 141.5025 Akaike info criterion 12.97747
Sum squared resid 200229.5 Schwarz criterion 13.16006
Log likelihood -86.84228 F-statistic 0.579265
Durbin-Watson stat 1.965059 Prob(F-statistic) 0.641799