自相关问检验的Eviews的操作方法

计 量 经 济 学 实 验 报 告

实验目的：掌握自相关问题的检验以及相关的Eviews的操作方法。实验内容：消费总量的多少主要有GDP决定。为了考察GDP对消费总额的影响，可使用如下模型：Yi=01Xi；其中，X表示GDP，Y表示消费总量。下表列出了中国1990-2000的GDP的X与消费总额Y的统计数据。

年份 GDP（X） 消费总额（Y） 年份 GDP（X） 消费总额（Y） 46405.9 1990 18319.5 1998 79003.3 11365.2 1991 21280.4 1992 25863.7 1993 34500.7 1994 46690.7 1995 58510.5 1996 68330.4 1997 74894.2 13145.9 15952.1 20182.1 26796 33635 40003.9 43579.4 1999 82673.2 2000 89112.5 2001 98592.9 2002 107897.6 2003 121730.3 2004 142394.2 49722.8 54617.2 58927.4 62798.5 67493.5 75439.7 一、估计回归方程

OLS法的估计结果如下：

Y=2329.401+0.546950X （1.954322）（36.71110）

R2=0.990446，R2=0.989711，SE=2091.475，D.W.=0.478071。

二、进行序列相关性检验 （1）图示检验法

（2）回归检验法

一阶回归检验

二阶回归检验

et=1.144406et-1－0.343796et-2+εt

3）拉格朗日乘数（LM）检验法

Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared

Test Equation:

Dependent Variable: RESID Method: Least Squares Date: 12/17/12 Time: 21:51 Variable C X RESID(-1) RESID(-2) R-squared

Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

Coefficient 37.31393 -0.002008 1.744086 -1.088243 Std. Error 644.3315 0.009377 0.234326 0.315853 t-Statistic 0.057911 -0.214144 7.442998 -3.445408 Prob. 0.9549 0.8344 0.0000 0.0055 4.37E-12 2015.396 16.67111 16.85992 19.61188 0.000101

29.41781 Probability 12.63731 Probability

0.000038 0.001802

0.842487 Mean dependent var 0.799529 S.D. dependent var 902.3726 Akaike info criterion 8957040. Schwarz criterion -121.0333 F-statistic 2.360720 Prob(F-statistic)

C=37.31393 x=-0.002008 RESID(-1)=1.744086 RESID(-2)= -1.088243 三、序列相关的补救

Dependent Variable: DY Method: Least Squares Date: 12/17/12 Time: 22:07 Sample(adjusted): 1991 2004

Included observations: 14 after adjusting endpoints

Variable C DX

R-squared

Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

Coefficient 2369.885 0.465880

Std. Error 789.9844 0.029328

t-Statistic 2.999914 15.88520

Prob. 0.0111 0.0000

0.954604 Mean dependent var 13875.68 0.950821 S.D. dependent var 1179.971 Akaike info criterion 16707973 Schwarz criterion -117.8115 F-statistic 0.521473 Prob(F-statistic)

5320.847 17.11593 17.20722 252.3397 0.000000

（2）科克伦-奥科特法估计模型

Dependent Variable: Y Method: Least Squares Date: 12/17/12 Time: 22:09 Sample(adjusted): 1991 2004

Included observations: 14 after adjusting endpoints Convergence achieved after 16 iterations Variable C X AR(1) R-squared

Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Inverted AR Roots Coefficient 55169.41 0.345292 0.961253 Std. Error 54542.80 0.057754 0.042004 t-Statistic 1.011488 5.978675 22.88491 Prob. 0.3335 0.0001 0.0000 19591.16 16.71985 16.85679 2810.040 0.000000 0.998047 Mean dependent var 43478.53 0.997691 S.D. dependent var 941.3171 Akaike info criterion 9746856. Schwarz criterion -114.0389 F-statistic 0.941831 Prob(F-statistic) .96