资源描述
,单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,*,Eviews,AIC,信息准则,董志勇 博士 教授,北京大学经济学院,Email:,dong,电话,:133-6603-5111,010-62759760,AIC,信息准则,AIC (Akaike Information Criterion)/,赤池信息准则,用于选择模型,通过,AIC,可以说明回归的好坏，所取得变量使得,AIC,越小则越好,AIC,的计算,-(1),计算公式：,AIC= -2l / n + 2k/ n,其中：,l,是对数似然函数值，,n,为样本容量，,k,为系数个数,对数似然函数值,(Log Likelihood):,AIC,的计算,-(2),其中,2k/n,为惩罚因子,有些教材直接定义,AIC,为,ln,形式,AIC,准则的原理,直接：,间接：,AIC,的替代方法,Adjusted R-squared(,调整后的判定系数,R,2,),该指标越大越好,SC,（,Schwarz Criterion,，施瓦兹准则）,:,SC = -2l / n+ (k log n) / n,Schwarz,准则引入了对增加稀疏的更大的惩罚，,SC,越小则越好,AIC,标准和,SC,标准有时候不统一，可以选一个,AIC,准则的应用,(LI 2-4),Dependent Variable: Y,Method: Least Squares,Date: 03/25/07 Time: 15:26,Sample: 1987 1998,Included observations: 12,Variable,Coefficient,Std. Error,t-Statistic,Prob.,C,-180859.9,42190.69,-4.286725,0.0016,X2,220364.4,42122.47,5.231518,0.0004,R-squared,0.732397,Mean dependent var,38953.65,Adjusted R-squared,0.705637,S.D. dependent var,24406.49,S.E. of regression,13241.81,Akaike info criterion,21.97116,Sum squared resid,1.75E+09,Schwarz criterion,22.05198,Log likelihood,-129.8269,F-statistic,27.36878,Durbin-Watson stat,0.716502,Prob(F-statistic),0.000383,Dependent Variable: Y,Method: Least Squares,Date: 03/25/07 Time: 15:24,Sample: 1987 1998,Included observations: 12,Variable,Coefficient,Std. Error,t-Statistic,Prob.,C,-327701.5,75644.37,-4.332134,0.0019,X2,146213.8,49110.47,2.977242,0.0155,X3,573.3049,260.0840,2.204307,0.0550,R-squared,0.826219,Mean dependent var,38953.65,Adjusted R-squared,0.787601,S.D. dependent var,24406.49,S.E. of regression,11248.17,Akaike info criterion,21.70612,Sum squared resid,1.14E+09,Schwarz criterion,21.82734,Log likelihood,-127.2367,F-statistic,21.39463,Durbin-Watson stat,1.247999,Prob(F-statistic),0.000380,Dependent Variable: Y,Method: Least Squares,Date: 03/25/07 Time: 15:28,Sample: 1987 1998,Included observations: 12,Variable,Coefficient,Std. Error,t-Statistic,Prob.,C,-306717.4,89148.80,-3.440511,0.0088,X2,142124.4,51901.06,2.738372,0.0255,X3,570.9199,271.5682,2.102308,0.0687,X4,-4222.676,8323.401,-0.507326,0.6256,R-squared,0.831636,Mean dependent var,38953.65,Adjusted R-squared,0.768499,S.D. dependent var,24406.49,S.E. of regression,11743.08,Akaike info criterion,21.84112,Sum squared resid,1.10E+09,Schwarz criterion,22.00275,Log likelihood,-127.0467,F-statistic,13.17199,Durbin-Watson stat,1.425642,Prob(F-statistic),0.001839,董志勇 博士 教授,北京大学经济学院,Email: dong,电话,:133-6603-5111,010-62759760,
展开阅读全文