《计量经济学》实验报告自相关

1、用OLS估计方法求模型的参数估计值

2、自相关检验

（1）、图示法                                                                                                       

（2）、DW检验                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                

3、自相关的修正

   GENR DY=Y- *Y(-1)

GENR DX=X-*X(-1)

在图形对话框中输入：x  x(-1)，再点击SCATTER DIOGRAM。得结果如下，

输入GENR DY=Y-0.7553*Y(-1)

GENR DX=X-0.7553*X(-1)

1、用OLS估计方法求模型的参数估计值，结果如下： =2733.799+0.2440x

2、图示法结果e-e(-1)图：说明是否存在自相关：存在自相关性

3、根据回归结果DW值判断是否存在自相关：

根据OLS计算结果，由：Durbin-Watson stat＝    0.4204      ，给定显著性水平a=0.05，查D-W表，n=21，k'（解释变量个数）＝1，得下限临界值dL=       1.22   ，上限临界值dU=       1.42 ，因为DW统计量为  0.42044、利用广义最小二乘法补救，并说明效果。

此时DW=1.483823>dU=1.42，可以认为此时已消除自相关性。