B4: kiêm định thông kê
3,000
4,000
Từ bảng kết quả hồi quy-> view/Residual Tests/ Heteroskedasticity Tests/ * nêu chọn Breusch-Pagan-Godfrey -> ta có bảng: * nêu chọn Breusch-Pagan-Godfrey -> ta có bảng:
Heteroskedasticity Test: Breusch-Pagan-Godfrey
F-statistic 4.920500 Prob. F(4.45) 0.0022
Obs#R-squared 15.21443 Prob. Chi-Square(4) 0.0043 Scaled explained SS 23.41351 Prob. Chi-Square(4) 0.0001 Test Equation:
Dependent Variable: RESID^2 Mcthod: Least Squares Date: 05/21/09 Time: 10:56 Sample: I 50
Tncluded observations: 50
Variable Coefficient Std. Error {-Statistic Prob.
C 4.29E-26 §.36E-26 0.513627 0.6100
BONUS -9.18E-29 1.15E-28 -0.799212 0.4284
OTHERCOM -2.83E-27 1.05E-27 -2.681876 0.0102
COMPENS 2.17E-28 5.03E-29 4.322641 0.0001
PROE -6.06E-27 1.18E-26 -0.512163 0.6110
R-squared 0.304289_ Mecan dependent var 1.25E-25 Adjusted R-squared 0.242448. S.D. dependent var 2.46E-25 S.E. of regression 2.14E-25_ Sum squared resid 2.06E-48 F-statistic 4.920500 Durbin-Watson stat 2.394366
Prob(F-statistic) 0.002235
* nếu chọn Harvey -> ta có bảng :
Heteroskedasticity Test: Harvey
F-statistic 2.092208 Prob. F(4.45) 0.0976
Obs#R-squared 7.840561 Prob. Chi-Square(4) 0.0976 Scaled explained SS 5.869265_ Prob. Chi-Square(4) 0.2091 Test Equation:
Dependent Variable: LRESID2 Mcthod: Least Squares Date: 05/21/09 Time: 11:01 Sample: I 50
Included observations: 50
'Variable Coefficient Std. Error t-Statistic Prob.
C -57.35134 0.726762 ~78.91346 0.0000
BONUS 0.000305 0.000999 0.304804 0.7619
OTHERCOM -0.011447 0.009172 -1.248043 0.2185
COMPENS 0.000462 0.000437 1.056523 0.2964
PROF -0.254434 0.102877 -2.473194 0.0172
R-squared 0.156811 Mean dependent var -58.56495 Adjusted R-squared 0.081861 S.D. dependent var 1.941512 S.E. of regression 1.860349 Akaike info criterion 4.174044 Sum squared resid 155.7404_ Schwarz criterion 4.365247 Log likelihood -99.35111 Hannan-Quinn criter. 4.246855 F-statistic 2.092208_ Durbin-Watson stat 1.975815 (adsbygoogle = window.adsbygoogle || []).push({});
Prob(F-statistic) 0.097553
* nếu chọn Glejser -> ta có bảng:
Heteroskedasticity Test: Glejser
F-statistic 3.681065_ Prob. F(4.45) 0.0112
Obs#R-squared 12.32687 Prob. Chi-Square(4) 0.0151 Scaled explained SS 12.27461 Prob. Chi-Square(4) 0.0154 Test Equation:
Dependent Variable: ARESID Mcthod: Least Squares Date: 05/21/09 Time: 11:02 Sample: I 50
Included observations: 50
Variable Coefficient Std. Error {-Statistic Prob.
BONUS -4.69E-17 1.10E-16 -0.426069 0.6721
OTHERCOM -1.98E-1§5 1.01E-15 -1.962031 0.0560
COMPENS 1.44E-I6 4.82E-I7 2.995479 0.0044
PROE -2.46E-14 1.13E-14 -2.172259 0.0351
R-squared 0.246537 Mecan dependent var 2.73E-13 Adjusted R-squared 0.179563 S.D. dependent var 2.26E-13 S.E. of regression 2.05E-I3_ Sum squared resid 1.89E-24 F-statistic 3.681065 Durbin-Watson stat 2.093847
Prob(F-statistic) 0.011219 e _ nếu chọn arch-> ta có bảng :
Heteroskedasticity Test: ARCH
F-statistic 0.058717 Prob. F(1,47) 0.8096
Obs#R-squared 0.061140 Prob. Chi-Square(1) 0.8047 Test Equation:
Dependent Variable: RESID^2 Mcthod: Least Squares Date: 05/21/09 Time: 11:05 Sample (adjusted): 2 50
TIncluded observations: 49 after adjustments
'Variable Coefficient Std. Error t-Statistic Prob.
C 1.28E-25 4.00E-26 3.201934 0.0024
RESID^2(1) -0.035390 0.146048 -0.242317 0.8096 R-squared 0.001248 Mecan dependent var 1.24E-25 Adjusted R-squared -0.020002_ S.D. dependent var 2.48E-25 S.E. of regression 2.5IE-25_ Sum squared resid 2.95E-48 F-statistic 0.058717 _ Durbin-Watson stat 2.000941
Prob(F-statistic) 0.809589 * nếu chọn white -> ta có bảng:
Heteroskedasticity Test: White
F-statistic 62.57475_ Prob. F(14.35) 0.0000
Obs#R-squared 48.07913 Prob. Chi-Square(14) 0.0000 Scaled explained SS 73.98905 _ Prob. Chi-Square(14) 0.0000 Test Equation:
Dependent Variable: RESID^2 Mcthod: Least Squares Date: 05/21/09 Time: 11:08 Sample: I 50
Included observations: 50
'Variable Coefficient Std. Error t-Statistic Prob. (adsbygoogle = window.adsbygoogle || []).push({});
C 5.27E-25 5.66E-26 9.315531 0.0000
BONUS 5.10E-28 1.69E-28 3.009395 0.0048
BONUS^2 3.67E-31 1.18E-31 3.125379 0.0036
BONUS*OTHERCOM 7.98E-31 2.27E-30 0.352161 0.7268 BONUS*COMPENS -2.17E-3I 7.8§E-32 -2.755959 0.0092 BONUS*PROF -8.70E-29 1.72E-29 -5.052587 0.0000
OTHERCOM 7.63E-27 1.5IE-27 5.069448 0.0000
OTHERCOM^2 1.27E-30 9.01E-30 0.141156 0.8886
OTHERCOM*COMPENS -2.91E-30 5.78E-31I -5.043283 0.0000 OTHERCOM*PROF -6.77E-28 1.39E-28 -4.887697 0.0000
COMPENS -5.27E-28 7.14E-29 ~7.375194 0.0000
COMPENS^2 1.14E-3I 1.66E-32 6.884827 0.0000
COMPENS*PROF 7.1§E-29 6.21E-30 11.54878 0.0000
PROF -1.30E-25 1.72E-26 ~7.567793 0.0000
PROF^2 7.5SE-27 1.50E-27 5.045868 0.0000
R-squared 0.961583 Mean dependent var 1.25E-25
Adjusted R-squared 0.946216_ S.D. dependent var 2.46E-25 S.E. 0Ÿ regression Š.70E-26 Sum squared resid 1.14E-49 F-statistic 62.57475 _ Durbin-Watson stat 1.420857 Prob(F-statistic) 0.000000
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