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REGRESIE MULTIPLA
GHEORGHITA Roxana
Grupa:
647 B
Materia: Econometrie
Profesor: Prof. univ. dr. GOSCHIN Zizi
Nume:
CUPRINS
1.
2.
3.
4.
5.
6.
7.
8.
9.
Introducere .
Datele privind populatia, suprafata, densitatea ..
Tabelul ANOVA ...................................
Interpretarea coeficientilor
Testul FISHER ......................................
Testul DURBIN-WATSON pentru verificarea corelarii ...
Testul KLEIN pentru verificarea multicolinearitatii .
Testarea ipotezei de normalitate a erorilor JB ...
Testarea homoscedasticitatii GQ ...
1
4
5
6
6
7
9
10
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http://ec.europa.eu/consumers/cons_info/cons_diary20072008/cp_ro.pdf
http://appsso.eurostat.ec.europa.eu/nui/setupModifyTableLayout.do
1.
INTRODUCERE
Centru
administrativ
Populatia
Belgium
Bulgaria
Czech Republic
Denmark
Germany
Estonia
11,000,638
7,369,431
10,486,731
5,560,628
81,751,602
1,340,194
30,510
110,910
78,866
43,094
357,021
45,226
Ireland
Greece
4,570,127
11,309,885
70,280
131,940
Spain
France
Italy
Cyprus
46,152,926
65,048,412
60,626,442
839,751
504,782
547,030
301,230
9,250
Latvia
2,348,784
64,589
Lithuania
Luxembourg
Hungary
Malta
3,052,588
511,840
9,985,722
415,198
65,200
2,586
93,030
316
16,655,799
8,404,252
38,529,866
10,572,157
21,413,815
2,050,189
5,392,446
5,375,276
9,415,570
62,498,612
41,526
83,858
312,685
92,391
237,500
20,253
48,845
337,030
449,964
244,820
Netherlands
Austria
Poland
Portugal
Romania
Slovenia
Slovakia
Finland
Sweden
United Kingdom
361
66
133
129
229
30
65
86
91
119
201
91
36
47
198
107
1314
401
100
123
114
90
101
110
16
21
255
3. TABELUL ANOVA
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.324632974
R Square
0.105386568
Adjusted R Square
0.030835448
Standard Error
243.0724965
Observations
27
ANOVA
df
Regression
Residual
Total
2
24
26
SS
167044.7114
1418021.726
1585066.437
MS
83522.36
59084.24
F
1.413614827
Significance
F
0.262799767
Coefficients
Standard
Error
t Stat
P-value
Intercept
220.5771629
66.38864104
3.322514
0.002850754
83.55774312
357.5965827
83.55774312
357.5965827
X Variable 1
3.50211E-06
2.9379E-06
1.192044
0.244898004
-2.56142E-06
9.56564E-06
-2.56142E-06
9.56564E-06
X Variable 2
-0.000712177
0.000423657
-1.68102
0.105728494
-0.001586562
0.000162208
-0.001586562
0.000162208
Lower 95%
Upper 95%
Lower 95.0%
Folosind informatiile din table (coloana Coefficients), elaboram modelul linar de regresie
multipla:
unde:
Suprafata (
)
Populatia (locuitori)
Y Densitatea ( loc/
)
De unde rezulta: Y = 220.5771 3.5021
+ (-0.007)
Upper
95.0%
Observand datele din tabel, putem deduce faptul ca intensitatea legaturii dintre variabilele
analizate este slaba, deoarece indicatorul Multiple R = 0.3246 nu se afla in apropierea
maximului 1.
Indicatorul R Square reprezinta faptul ca variatia densitatii ( variabila Y) este explicate de
variatia suprafetei si a populatiei in proportie de 10.53 %.
4.
INTERPRETAREA COEFICIENTILOR
5. TESTUL FISHER
Se utilizeaza pentru verificarea simultana a semnificatiei mai multor parametri:
:
si :
se bazeaza pe compararea sumei patratelor erorilor SSE din
modelul initial cu
din modelul restrans, prin adoptarea ipotezei nule
eliminandu-se
variabilele explicative din model.
(
(
Unde:
)
)
si SSE provin din tabelele ANOVA ale modelului restrans si initial
J = numarul restrictiilor
T = volumul esantionului
K = numarul parametrilor modelului initial
6
ANOVA
(restrans)
df
Regression
Residual
Total
SS
MS
F
1 83087.84 83087.84 1.382973
25 1501979 60079.14
26 1585066
Significance
F
0.250673
SSE
ANOVA
(initial)
df
Regression
Residual
Total
2
24
26
)
(
SS
MS
F
167044.7114 83522.36 1.413614827
1418021.726 59084.24
1585066.437
Significance
F
0.262799767
)
(
6.
Conditie:
);
unde:
coeficient de autocorelatie
T>15 ;
= constant)
( )
( )
(
)
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.2289523
R Square
0.0524192
Adjusted R
Square
0.0145159
Standard Error
245.11047
Observations
27
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
1
25
26
SS
MS
F
83087.843 83087.84 1.382973
1501978.594 60079.14
1585066.437
Coefficients
227.18086
-0.0003463
Standard
Error
t Stat
P-value
66.71177837 3.405409 0.002236
0.00029451
-1.176 0.250673
Significance
F
0.250673
Upper
Lower
Upper
Lower 95%
95%
95.0%
95.0%
89.785385 364.57634 89.7853852 364.57634
-0.000953 0.0002602 -0.0009529 0.0002602
RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
Predicted
Suprafata Residuals
216.61394
143.9445032
188.76795
-122.3228097
199.86617
-66.89719881
212.25556
-83.22070154
103.52912
125.4534978
211.51715
-181.8838881
202.83987
-137.8124542
181.48436
-95.76444918
52.353119
39.07828287
37.720817
81.19114717
122.85194
78.41101936
223.97719
-133.1932983
204.81091
-168.4458338
204.5993
-157.7804615
226.28522
-28.35791955
194.96057
-87.62183891
227.07142
1086.846302
212.79862
188.2946454
198.13723
-97.91718829
118.88458
4.338040709
195.18188
-80.75345239
144.92439
-54.76095436
220.16638
-118.9374731
210.26374
-99.86459648
110.45286
-94.50390671
71.338953
-50.41379036
142.38915
112.8947763
266.2673
-55.4256
16.3235
-208.674
307.3374
-44.0714
-42.048
-134.843
-42.1129
2.780128
211.6043
35.25254
-10.6654
-129.423
59.26392
-1174.47
898.5517
286.2118
-102.255
85.09149
-25.9925
64.17652
-19.0729
-5.36069
-44.0901
-163.309
112.8948
70898.28
3071.998
266.4567
43544.92
94456.27
1942.291
1768.035
18182.56
1773.493
7.729111
44776.39
1242.741
113.7502
16750.19
3512.212
1379375
807395.1
81917.21
10456.13
7240.562
675.61
4118.626
363.7746
28.73699
1943.938
26669.69
12745.23
2635237
20720.02
14962.87
4475.2352
6925.6852
15738.58
33081.749
18992.273
9170.8297
1527.1122
6592.0024
6148.288
17740.455
28373.999
24894.674
804.1716
7677.5867
1181234.9
35454.873
9587.7758
18.818597
6521.1201
2998.7621
14146.123
9972.9376
8930.9884
2541.5503
12745.231
1501978.6
DW =
Datorita faptului ca valorea rezultata de testul Durbin Watson (1,754511) se regaseste in
intervalul (0;2), autocorelatia intre erori este una directa si puternica.
7.
SUMMARY OUTPUT
Regression Statistics
Multiple R
R Square
Adjusted R Square
Standard Error
Observations
0.2289523
0.0524192
0.0145159
245.11047
27
Ipoteze:
: perturbatia u are o distributie normala.
: perturbatia u nu are o distributie normal.
(
10
(
(
(
(
)
)
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9. TESTAREA HOMOSCEDASTICITATII
GOLDFELD QUANDT
erori homoscedastice
erori heteroscedastice
Valoarea in urma testului GQ este de 1.059207, iar valoarea critica este de 19.
Se compara valoarea lui GQ cu valoarea lui F-critic: 1.059207<4.259677 prezumtia
homoscedasticitatii este infirmata si se accepta alternativa: eroarea este heteroscedastica.
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