本人在 看李子奈老师的计量经济学。有一个例子:M表示进口商品额,gdp代表收入。用gdp来解释M,用LS建立回归方程后由于有残差项自相关,并且判断是二阶自相关。于是用eviews广义差分建立方程:
输入:M C GDP AR(1) AR(2),eviews输出结果如下,但我不知如何根据这个写出它的数学形式。还有AR(1)的系数是什么意思,怎么会大于1?谢谢各位啦。
Dependent Variable: M
Method: Least Squares
Date: 11/04/09 Time: 11:26
Sample (adjusted): 1982 2001
Included observations: 20 after adjustments
Convergence achieved after 5 iterations
Variable Coefficient Std. Error t-Statistic Prob.
C 192.7387 44.27483 4.353234 0.0005
GDP 0.019278 0.001045 18.44368 0.0000
AR(1) 1.102117 0.186528 5.908599 0.0000
AR(2) -0.889425 0.245718 -3.619701 0.0023
R-squared 0.981347 Mean dependent var 958.0450
Adjusted R-squared 0.977849 S.D. dependent var 655.9980
S.E. of regression 97.63295 Akaike info criterion 12.17716
Sum squared resid 152515.1 Schwarz criterion 12.37631
Log likelihood -117.7716 F-statistic 280.5866
Durbin-Watson stat 1.909618 Prob(F-statistic) 0.000000
Inverted AR Roots .55+.77i .55-.77i
AR(1)是正的,AR(2)系数怎么是负的。
求求各位指导呀。