我现在有一个回归,DW很低,存在一阶自相关,但当我加入AR(1)后,P就很大了,怎么办呀?
Dependent Variable: LOG(T)
Method: Least Squares
Date: 05/16/12 Time: 14:42
Sample: 1995 2010
Included observations: 16
Variable Coefficient Std. Error t-Statistic Prob.
C 1.310918 0.054178 24.19658 0.0000
LOG(F) 0.115398 0.007894 14.61794 0.0000
R-squared 0.938511 Mean dependent var 2.100113
Adjusted R-squared 0.934119 S.D. dependent var 0.070595
S.E. of regression 0.018120 Akaike info criterion -5.067160
Sum squared resid 0.004597 Schwarz criterion -4.970586
Log likelihood 42.53728 F-statistic 213.6842
Durbin-Watson stat 0.400238 Prob(F-statistic) 0.000000
Dependent Variable: LOG(T)
Method: Least Squares
Date: 05/16/12 Time: 14:43
Sample (adjusted): 1996 2010
Included observations: 15 after adjustments
Convergence achieved after 7 iterations
Variable Coefficient Std. Error t-Statistic Prob.
C 2.207595 0.181633 12.15416 0.0000
LOG(F) 0.013746 0.014942 0.919940 0.3757
AR(1) 0.934210 0.024660 37.88394 0.0000
R-squared 0.994918 Mean dependent var 2.108717
Adjusted R-squared 0.994071 S.D. dependent var 0.063802
S.E. of regression 0.004913 Akaike info criterion -7.617140
Sum squared resid 0.000290 Schwarz criterion -7.475530
Log likelihood 60.12855 F-statistic 1174.686
Durbin-Watson stat 2.859446 Prob(F-statistic) 0.000000
Inverted AR Roots .93