Download - 第六章 多重共线性 ( Multi-Collinearity)
Transcript
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(Multi-Collinearity)
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, 0(0),,.
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1 i=1,2,,n (6.1)
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i=1,2,,n (6.2) : 0 i=1,2,,n (6.3) 0()(intercorrelated)
- Y=XB+N(X)
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X2=X1X1X21X2X1
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2
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=f(,
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3. (1)(2)(3)
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1.,2.TTFR2,BLUE3.
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4()(XX) -1
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5 OLS |XX|0(XX) -1OLS
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(Variance Inflation Factor)1/(1-r2)
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6 X1X2 X1X2
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7tt 0
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8
+
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1 2
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1 (1) X1X2r|r|1
(2)
OLSR2FtYYt
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2(1) Xji=1X1i+2X2i+LXLiXjXXjX
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F Rj2j Rj211- Rj2 FjF
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: XjXjXj
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(2) Y
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OLSR2R2T
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3
OLSRi2,
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Ri2=0.9, VIF=10Ri2=0.8, VIF=5,VIF>810,,Xi.,.
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Eviews 1GroupQuick\Group Statistics\Correlation2OLSR2T
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Eviews 31Y2OLSR2R2T
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1234J
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567
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1
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2
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3()1C-D 2 x1x2yb1=b2
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4J
YPI
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5-- Yi=1 X1i+2 X2i++k Xki+ i
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2
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YC(-1)0.9845 YC(-1)0.7456 0.8
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6
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Ridge Regression 70 D D D=aI (2.6.6)a0 DB(2.6.5)2.6.5)
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0110101P1843.2 3.5 3.9 3.14P1843.10 3.12 3.17