# §4.3 多重共线性 Multi-Collinearity. 一、多重共线性的概念 二、实际经济问题中的多重共线性 三、多重共线性的后果 四、多重共线性的检验 五、克服多重共线性的方法 六、案例 * 七、分部回归与多重共线性 §4.3 多重共线性

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### Text of §4.3 多重共线性 Multi-Collinearity. 一、多重共线性的概念...

• Slide 1
• 4.3 Multi-Collinearity
• Slide 2
• * 4.3
• Slide 3
• Y i = 0 + 1 X 1i + 2 X 2i + + k X ki + i i=1,2,,n (Multicollinearity)
• Slide 4
• c 1 X 1i +c 2 X 2i ++c k X ki =0 i=1,2,,n : c i 0 perfect multicollinearity c 1 X 1i +c 2 X 2i ++c k X ki +v i =0 i=1,2,,n c i 0 v i approximate multicollinearity (intercorrelated)
• Slide 5
• Y=X + (X)
• 1 OLS R 2 1 =5% F F 0.05 (5,12)=3.11 F=638.4 > 15.19 X 4 X 5 t (-0.91) (8.39) (3.32) (-2.81) (-1.45) (-0.14)
• Slide 34
• 2 X 1 X 4 X 1 X 2 X 3 X 4 X 5
• Slide 35
• 3 1 Y X 1 X 2 X 4 X 5 (25.58) (11.49) R 2 =0.8919 F=132.1 DW=1.56 (-0.49) (1.14) R 2 =0.075 F=1.30 DW=0.12 (17.45) (6.68) R 2 =0.7527 F=48.7 DW=1.11 (-1.04) (2.66) R 2 =0.3064 F=7.07 DW=0.36
• Slide 36
• 4
• Slide 37
• Y=f( X 1 X 2 X 3 ) 5
• Slide 38
• *
• Slide 39
• 1 (Partitioned Regression)
• Slide 40
• X 2 X 1
• Slide 41
• 2
• Slide 42

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