White Heteroskedasticity Test: | | |||
| | | | |
| | | | |
F-statistic | 80.63509 | Prob. F(2,101) | 0.000000 | |
Obs*R-squared | 63.94970 | Prob. Chi-Square(2) | 0.000000 | |
| | | | |
| | | | |
| | | | |
Test Equation: | | | ||
Dependent Variable: RESID^2 | | | ||
Method: Least Squares | | | ||
Sample: 1 105 | | | ||
Included observations: 104 | | | ||
| | | | |
| | | | |
Variable | Coefficient | Std. Error | t-Statistic | Prob. |
| | | | |
| | | | |
C | -1011.666 | 560.9287 | -1.803556 | 0.0743 |
X | 19.63291 | 1.819448 | 10.79059 | 0.0000 |
X^2 | -0.003983 | 0.000588 | -6.772357 | 0.0000 |
| | | | |
| | | | |
R-squared | 0.614901 | Mean dependent var | 2838.944 | |
Adjusted R-squared | 0.607275 | S.D. dependent var | 7618.713 | |
S.E. of regression | 4774.477 | Akaike info criterion | 19.80838 | |
Sum squared resid | 2.30E+09 | Schwarz criterion | 19.88466 | |
Log likelihood | -1027.036 | F-statistic | 80.63509 | |
Durbin-Watson stat | 2.001203 | Prob(F-statistic) | 0.000000 | |
| | | | |
| | | | |
另外,为什么用White 异方差校正的估计结果和普通最小二乘的参数结果一样?而只是标准差之类的不一样?
Thank you!