'1、做一个方程
equation ols.ls gdp c cs inv gov_net
show ols
'2、做white异方差检验((如果是no cross则如下,否则为ols.white(c))
ols.white
White’s test is a test of the null hypothesis of no heteroskedasticity against heteroskedasticity
of some unknown general form. The test statistic is computed by an auxiliary regression,
where we regress the squared residuals on all possible (nonredundant) cross
products of the regressors.
Now this is the result, What can we know about it?
White Heteroskedasticity Test:
F-statistic 13.08147 Prob. F(6,184) 0.000000
Obs*R-squared 57.11238 Prob. Chi-Square(6) 0.000000
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 05/14/07 Time: 09:55
Sample: 1947Q2 1994Q4
Included observations: 191
Variable Coefficient Std. Error t-Statistic Prob.
C 19314.49 2233.775 8.646569 0.0000
CS -22.08585 3.275450 -6.742845 0.0000
CS^2 0.005651 0.000938 6.024419 0.0000
INV 25.57363 8.010134 3.192659 0.0017
INV^2 -0.045871 0.009317 -4.923321 0.0000
GOV_NET -10.84981 13.49588 -0.803935 0.4225
GOV_NET^2 -0.048491 0.044609 -1.087023 0.2784
R-squared 0.299018 Mean dependent var 2342.796
Adjusted R-squared 0.276160 S.D. dependent var 3146.576
S.E. of regression 2677.069 Akaike info criterion 18.65879
Sum squared resid 1.32E+09 Schwarz criterion 18.77799
Log likelihood -1774.915 F-statistic 13.08147
Durbin-Watson stat 0.524501 Prob(F-statistic) 0.000000
First,From F-statistic and Obs*R-squared, we konw taht the test results refuse the null hypothesis, namely there is heteroskedasticity.
Second,the following equation is used to test heteroskedasticity, which tell you how the test run!