1、經典線性回歸模型的診斷與修正卜表為最近20年我國全社會固定資產投資與gdm統計數據:年份國內生產總值（億元）gdp全社會固定資產投資（億元）pi199671813.622913.519977971524941.1199885195.528406.2199990564.429854.72000100280.132917.72001110863.137213.492002121717.443499.91200313742255566.612004161840.270477.432005187318.988773.612006219438.5109998.162007270232.3137323.9

2、42008319515.5172828.42009349081.4224598.772010413030.3251683.772011489300.6311485.132012540367.4374694.742013595244.4446294.092014643974512020.652015689052.1561999.831、普通最小二乘法回歸結果如下:=equation eq01 恤wile: 04zllntitled= 1 工proc，objcc:| |printmamefreozctxmatcforcurtdepen(ient variable gd3 hfletlmd le目s

3、t squares dale： 12/06/17 timet 14：5q 1996 2015nrludsd ohservalionp- 2二vans bitctjetfit lentstd e=rror 1-siabsttprabc7s9og&4s即吊曰4匕期用隆,cpmethod： least squares date: o1ju4j1b fme： 21:01sample 200s 2015 killnjt?d lbs小dti5).svaraolecocfiicicrtstd lrror t-slaasticprobc1620t2.1203 72687.9946320 0002pi。由583

4、220 0555411t,8987s0 0000lwo9on stat1.1276s2protnf statistic)0 000002殘差平方和rss=2.39e+09.根據g-q檢驗，f統計量為f=二2 3 /4274 201 = 59168.836，0,47,7) = 3.79因此，在5%勺顯著性水平下拒絕兩組子樣本方差相同的假設，即存在異方差。gleiser 檢驗結果如下=equation： untitled vubrkfile q4;un1itlkl- xfview|prck j object frint naine jfreezr pestimate j forecast $tat

5、5 reid5jdepaidentvarmble: log(e2)mettiod least squares date d1/o4/10 lime 20 48sample (adjusted) 2004 2011included observation: 7 oher adjustmcntavariablecoefficieristd. error l-slalislp 0tc-18 014677 507a31-2 sofiooroqs41log(pi)23620060631560378838200r-5quared0.741677.kan depended v和9.606314a 1j li

6、sted r-qqu用印1但07113s d dependent var1 5p472rs e qf regression0.837700akake info criterion2718334sur squared resul3.909375schwarz crreion2laq ikel hood-7 515917harrah-quinn criler2.527822f-statistic14 we渣3durtziin-watsoti stat，39324&prumf-statistic)0 012773參數的估計值顯著地不為 0,則可以認定模型存在著異方差。異方差的修正:運用加權最小二乘法

7、對異方差進行修正(s equation： uwitlfd wnrfcfiler 04 ,ljnti+led曰 *- if尚roccbjsdiprinlnarrefreezee5tiriflleforecktstats rebelsdcpcnee variable gdpmethod. lea與l squaresdate: di w13 tine:21:11sampg20tsincluded cbseraticns 3weighting series nweiqtit type. inverse standard dviaiicxi (eviews defauk scaing)white het

8、eruskeda5hcity-consistenf standard errws g covanancear ablecoetiicientstd tirort-statisrcfrobc144704.013141.28m 口 1410.0000pi1 0128790.04133724 320550.0000weighted stat檔收與r-squared0976382u？fln dap產也nt var4555932adjuj r squared0 972445s d. deperxient war3825,90s e of egression47rakaike mfn 4rterfin22

9、 93046sum scxiflred dd258e+09schwarz criterion22 950321 og ike ihwd-8s hi*hmnan-quinn errtsr22 79651f-statistk248 d432dirbiriava-son 5iat1.540253ptxf-staustc)0000001weighted mean dep的 2667.7wald f-statistic591 /8d8probiaald h-sieiishn0 3d0000unareghted statist,5h-scriared0976329near depe-xient 田5049

10、45.7aljl 總led r squdrfedg971717s.d. dtiptitderil yar136279.0s e of fcgits5ion216s9 04sum 軸留cd irsid2b2e+q9dwhn-writeon hat11 04 卿 8對加權后的模型進行異方差檢驗，結果如下:fs equationi untitled wxdile:-口算w*wrftwcot|j|act |幅13.682,因此，可以判斷在給定顯著性水平0.05的情況下，加權后的模型不再存在異方差，說明異方差性已經消除。3、序列相關性的檢驗與修正序列相關性的檢驗如下：做殘差與殘差滯后一期的散點圖：可以看

11、出，e與e (-1 )逐漸合攏，因此殘差與其滯后一期的殘差存在序列相關性。d-w僉驗：從ols估計結果中可直接得到dw值為0.3653 ,給定a =0.05 ,已知n=20, k=2,查dw檢驗臨界值表可得，%=l41,由0.3653irbir -watson slat1 575941prob曰statistic)i inonoo在新序列估計結果下,= 141 dw=1.5774-叱=4 - 1 41 = 253 ,故不再存在序列相關性，自相關已經得到消除。運用cochrane-orcutt迭代法進行自相關的修正：rf=1 equatkxi：; eq02 wskwe duntitleg一口算m

12、”jphje,后ect卜亍1m311卜口0 estimateforecast stals也dependent variable gop l/ethod. least squares date; i2w17 lime: 15:05 sample (adjusted): 1397 2d15included dber/atinns- 19 白什eadjustment!?corvergence achieved after 23 rterrtiarisvariablecoefficit?!std error t-slalslicfretc544367.16724gls0 0950870.9254pi0802(398。.除圜 861.1/5460d.2b0ah0976619o2/s63s3 5427 必0.0027r*squdred0 99g147medri dwjefideril v出2s4955 4adjusted r-squdiej0 995665s.c. ciepeixliii tar2077807s.e rtyreon13680 eeak扯5nki c ril&rk?n22度儂sum squared resid2.90e+09schwarz crtcrian22 1783log likelihood206 2783hannan qun