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7599 1
2012-03-06
这是我通过怀特检验后的结果
White Heteroskedasticity Test:   
   
F-statistic 35.11214     Probability  0.000000
Obs*R-squared 542.0337     Probability  0.000000
   
怎么判断是否存在异方差,而且
Test Equation:   
Dependent Variable: RESID^2   
Method: Least Squares   
Date: 03/06/12   Time: 09:50   
Sample: 51 935   
Included observations: 737   
Excluded observations: 148   
   
Variable Coefficient Std. Error t-Statistic Prob.  
   
C 79.74079 233.5222 0.341470 0.7329
X1 -2.741930 6.444796 -0.425449 0.6706
X1^2 0.003573 0.001428 2.502821 0.0126
X1*X10 -0.000323 0.000285 -1.133634 0.2573
X1*X11 0.040165 0.050260 0.799133 0.4245
X1*X12 0.001408 0.000777 1.811020 0.0706
X1*X13 0.006691 0.084562 0.079127 0.9370
X1*X2 -0.001722 0.000819 -2.103553 0.0358
X1*X3 2.659216 8.019899 0.331577 0.7403
X1*X5 0.047504 0.015846 2.997766 0.0028
X1*X6 -0.035066 0.323997 -0.108229 0.9138
X10 0.228955 0.323912 0.706842 0.4799
X10^2 8.42E-05 5.09E-06 16.53949 0.0000
X10*X11 -0.004479 0.005147 -0.870257 0.3845
X10*X12 7.63E-05 8.02E-05 0.951263 0.3418
X10*X13 -0.024340 0.008538 -2.850683 0.0045
X10*X2 -0.000215 8.00E-05 -2.681101 0.0075
X10*X3 -0.127111 0.400985 -0.316997 0.7513
X10*X5 -0.011240 0.001466 -7.667246 0.0000
X10*X6 0.130364 0.034720 3.754681 0.0002
X11 6.681023 72.47922 0.092178 0.9266
X11^2 -0.196905 0.199982 -0.984613 0.3252
X11*X12 0.013068 0.014924 0.875602 0.3816
X11*X13 3.069636 1.801115 1.704298 0.0888
X11*X2 -0.001176 0.012597 -0.093382 0.9256
X11*X3 -6.421119 89.82336 -0.071486 0.9430
X11*X5 -0.146054 0.255219 -0.572271 0.5673
X11*X6 -0.890237 5.654887 -0.157428 0.8750
X12 -0.440737 0.981611 -0.448993 0.6536
X12^2 -6.87E-06 7.37E-05 -0.093123 0.9258
X12*X13 -0.019712 0.027308 -0.721853 0.4706
X12*X2 -0.000134 0.000133 -1.005455 0.3150
X12*X3 0.524030 1.224527 0.427945 0.6688
X12*X5 -0.000468 0.003966 -0.118028 0.9061
X12*X6 0.051436 0.102071 0.503919 0.6145
X13 -62.62072 164.6642 -0.380293 0.7038
X13^2 2.968353 2.148046 1.381885 0.1675
X13*X2 0.004962 0.025107 0.197653 0.8434
X13*X3 70.45415 205.2290 0.343295 0.7315
X13*X5 0.497438 0.506685 0.981750 0.3266
X13*X6 16.19002 10.97107 1.475702 0.1405
X2 -0.386959 0.998732 -0.387451 0.6985
X2^2 0.000104 0.000119 0.870402 0.3844
X2*X3 0.427339 1.226776 0.348343 0.7277
X2*X5 0.006657 0.005171 1.287249 0.1984
X2*X6 -0.038669 0.083150 -0.465047 0.6420
X3 -90.66062 300.3969 -0.301803 0.7629
X3^2 16.61650 42.37534 0.392127 0.6951
X3*X5 3.329045 13.31757 0.249974 0.8027
X3*X6 -3.008582 472.4112 -0.006369 0.9949
X5 -5.834402 10.91132 -0.534711 0.5930
X5^2 0.143813 0.065561 2.193574 0.0286
X5*X6 -0.507412 1.706240 -0.297386 0.7663
X6 3.573127 379.4926 0.009416 0.9925
X6^2 -25.75269 20.98065 -1.227449 0.2201
   
R-squared 0.735460     Mean dependent var  0.343088
Adjusted R-squared 0.714514     S.D. dependent var  1.136491
S.E. of regression 0.607238     Akaike info criterion  1.911903
Sum squared resid 251.4791     Schwarz criterion  2.255380
Log likelihood -649.5362     F-statistic  35.11214
Durbin-Watson stat 1.864045     Prob(F-statistic)  0.000000
   
这上面一大串的内容是什么?
如何消除异方差?
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2012-3-8 11:30:16
原假设被拒绝,看这个就可以了。
F-statistic 35.11214     Probability  0.000000
Obs*R-squared 542.0337     Probability  0.000000
异方差修正,可以用加权最小二乘
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