Ljung-BoxのQ統計量, Breusch-Godfrey Test
Sample period: 1953/1-1971/7 (36th-258th. 233 obs.) Autocorrelations for R and Std. Err.): -0.1011431 0.06696495 0.1724276 0.06696495 -0.01876959 0.06696495 -0.003948545 0.06696495 -0.06381973 0.06696495 -0.02134482 0.06696495 -0.09148832 0.06696495 0.09445276 0.06696495 0.09422956 0.06696495 0.01862946 0.06696495 0.003937857 0.06696495 0.2067585 0.06696495 Ljung-Box Statistics and p-values: 2.312104 0.1283702 9.062178 0.01076894 9.142526 0.02745473 9.146098 0.05754967 10.08353 0.07290269 10.18888 0.11692 12.13318 0.09626321 14.21517 0.07632656 16.29702 0.06093229 16.37877 0.08929096 16.38244 0.1275163 26.54801 0.008971044 Mean of dependent variable(PAI)= 2.3456 R-squared: 0.236385 SER (Standard error of regression)= 2.842962 Est. Coef. Std. Err. t-value p-value B1 -0.8677665 0.4312246 -2.012331 0.04539866 B2 1.014697 0.1122013 9.043534 7.912024e-017 Robut t-ratio for H0:beta2=1 vs H1:beta != 1: 0.130985 p-value: 0.8957872 (using normal) 0.8959064 (using t) Breusch-Godfrey Test of serial correaltion using p=12: nR^2: 27.00019 p-value: 0.007726699