做异方差问题时出了一个问题,想请教一下大侠,暂时没有积分,有详细解答的之后一定补分,谢谢啦~~
这是是原始数据做出的最小平方估计
Dependent Variable: Y
Method: Least Squares
Date: 11/02/10 Time: 14:46
Sample: 1 21
Included observations: 21
Variable Coefficient Std. Error t-Statistic Prob.
C -562.9074 291.5642 -1.930646 0.0686
X 5.372828 0.644239 8.339811 0.0000
R-squared 0.785438 Mean dependent var 1588.143
Adjusted R-squared 0.774145 S.D. dependent var 1310.975
S.E. of regression 623.0301 Akaike info criterion 15.79746
Sum squared resid 7375164. Schwarz criterion 15.89694
Log likelihood -163.8733 F-statistic 69.55245
Durbin-Watson stat 0.430291 Prob(F-statistic) 0.000000
二是给每个解释变量,被解释变量,常数项分别加权得到的广义最小平平方估计
Dependent Variable: YY
Method: Least Squares
Date: 11/02/10 Time: 15:06
Sample: 1 21
Included observations: 21
Variable Coefficient Std. Error t-Statistic Prob.
XX0 368.6203 84.16826 4.379564 0.0003
XX 2.952837 0.822684 3.589272 0.0020
R-squared 0.938666 Mean dependent var 0.019657
Adjusted R-squared 0.935438 S.D. dependent var 0.026408
S.E. of regression 0.006710 Akaike info criterion -7.080059
Sum squared resid 0.000855 Schwarz criterion -6.980581
Log likelihood 76.34062 Durbin-Watson stat 1.706018
三是直接做ls(w-1/x^2)y c x得到的广义最小平方估计
Dependent Variable: Y
Method: Least Squares
Date: 11/02/10 Time: 15:08
Sample: 1 21
Included observations: 21
Weighting series: 1/X^2
Variable Coefficient Std. Error t-Statistic Prob.
C 368.6203 84.16826 4.379564 0.0003
X 2.952837 0.822684 3.589272 0.0020
Weighted Statistics
R-squared 0.938666 Mean dependent var 808.6869
Adjusted R-squared 0.935438 S.D. dependent var 1086.417
S.E. of regression 276.0477 Akaike info criterion 14.16942
Sum squared resid 1447845. Schwarz criterion 14.26890
Log likelihood -146.7789 F-statistic 12.88288
Durbin-Watson stat 1.706018 Prob(F-statistic) 0.001956
Unweighted Statistics
R-squared 0.625243 Mean dependent var 1588.143
Adjusted R-squared 0.605519 S.D. dependent var 1310.975
S.E. of regression 823.3933 Sum squared resid 12881555
Durbin-Watson stat 0.380812
请教一下,为什么二和三中,只有r2和调整r方几个值相同,剩下的数都不相同,三中表示的没有加权的部分与原始最小平方估计的结果也是不同的?非常感谢~