自相关的修正
对库伊克模型做广义差分法,得模型:
[img]file:///C:/Users/韩如意/Documents/Tencent%20Files/1057369167/Image/2Z@Z%7BWI~AG[%60M%25%7B7A$MH@5N.jpg[/img]
对该模型做OLS估计,得:
Dependent Variable: DLY | ||||
Method: Least Squares | ||||
Date: 05/17/05 | ||||
Sample(adjusted): 1985 2004 | ||||
Included observations: 20 after adjusting endpoints | ||||
Variable | Coefficient | Std. Error | t-Statistic | Prob. |
C | 0.825406 | 0.182501 | 4.522756 | 0.0003 |
DLX | 0.109589 | 0.028922 | 3.789113 | 0.0015 |
DLY(-1) | 0.779055 | 0.052633 | 14.80168 | 0.0000 |
R-squared | 0.992375 |
| 5.196177 | |
Adjusted R-squared | 0.991478 |
| 0.419349 | |
S.E. of regression | 0.038712 |
| -3.527874 | |
Sum squared resid | 0.025476 |
| -3.378514 | |
Log likelihood | 38.27874 |
| 1106.291 | |
Durbin-Watson stat | 1.509597 |
| 0.000000 |
回归结果显示,t检验值、F检验值及R2都显著。
修正过的模型为:lnYt=1.7098532+0.2270168lnXt+1.6138357lnYt-1
是怎么得到这个结果的,麻烦大虾帮忙呀!小弟不胜感激!!!