| Heteroskedasticity Test: White | |
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| F-statistic | 0.429071 | Prob. F(20,110) | 0.9838 |
| Obs*R-squared | 9.480128 | Prob. Chi-Square(20) | 0.9766 |
| Scaled explained SS | 33.54876 | Prob. Chi-Square(20) | 0.0293 |
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| Test Equation: | | | |
| Dependent Variable: RESID^2 | | |
| Method: Least Squares | | |
| Date: 10/26/18 Time: 10:38 | | |
| Sample: 1 131 | | | |
| Included observations: 131 | | |
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| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
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| | | | 0 |
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| R-squared | 0.072367 | Mean dependent var | 0.328680 |
| Adjusted R-squared | -0.096293 | S.D. dependent var | 0.919909 |
| S.E. of regression | 0.963182 | Akaike info criterion | 2.908744 |
| Sum squared resid | 102.0491 | Schwarz criterion | 3.369654 |
| Log likelihood | -169.5227 | Hannan-Quinn criter. | 3.096032 |
| F-statistic | 0.429071 | Durbin-Watson stat | 1.439913 |
| Prob(F-statistic) | 0.983765 | | | |
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用white稳健的标准误试了一下,系数反而小了一些,不是没有异方差吗,为什么异方差修正后系数的p值会变小
| Dependent Variable: EPS | | |
| Method: Least Squares | | |
| Date: 10/26/18 Time: 10:35 | | |
| Sample: 1 131 | | | |
| Included observations: 131 | | |
| HAC standard errors & covariance (Bartlett kernel, Newey-West fixed |
| bandwidth = 5.0000) | | |
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| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
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| C | 1.160754 | 0.236124 | 4.915870 | 0.0000 |
| ECR | -0.515376 | 0.339274 | -1.519057 | 0.1313 |
| CS | -1.347082 | 0.281263 | -4.789397 | 0.0000 |
| AROIT | 0.049261 | 0.038500 | 1.279487 | 0.2031 |
| APTR | 7.13E-06 | 6.31E-06 | 1.129532 | 0.2608 |
| ICR | -0.001046 | 0.000177 | -5.903565 | 0.0000 |
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| R-squared | 0.212379 | Mean dependent var | 0.122794 |
| Adjusted R-squared | 0.180874 | S.D. dependent var | 0.648473 |
| S.E. of regression | 0.586904 | Akaike info criterion | 1.816810 |
| Sum squared resid | 43.05710 | Schwarz criterion | 1.948498 |
| Log likelihood | -113.0011 | Hannan-Quinn criter. | 1.870321 |
| F-statistic | 6.741143 | Durbin-Watson stat | 1.371464 |
| Prob(F-statistic) | 0.000014 | Wald F-statistic | 16.31179 |
| Prob(Wald F-statistic) | 0.000000 | | | |
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