最尤法 アウトプット
Current sample: 1 to 5
Equation 1
============
Method of estimation = Ordinary Least Squares
Dependent variable: Y
Current sample: 1 to 5
Number of observations: 5
Mean of dep. var. = 24.0000 LM het. test = .068604 [.793]
Std. dev. of dep. var. = 11.4018 Durbin-Watson = 2.53333 [<1.00]
Sum of squared residuals = 30.0000 Jarque-Bera test = .361343 [.835]
Variance of residuals = 10.0000 Ramsey's RESET2 = .625000 [.512]
Std. error of regression = 3.16228 F (zero slopes) = 49.0000 [.006]
R-squared = .942308 Schwarz B.I.C. = 13.1835
Adjusted R-squared = .923077 Log likelihood = -11.5741
Estimated Standard
Variable Coefficient Error t-statistic P-value
C 10.0000 2.44949 4.08248 [.027]
X 7.00000 1.000000 7.00000 [.006]
MAXIMUM LIKELIHOOD ESTIMATION
=============================
EQUATION: EQ1
Working space used: 475
STARTING VALUES
S2 B0 B1
VALUE 10.0000 10.0000 7.00000
F= 7.2565 FNEW= 7.2465 ISQZ= 0 STEP= 1.0000 CRIT= 0.10000E-01
*** WARNING in line 11 Procedure ML: Numeric warning (result set to
missing) in operation LOG . Argument value ====> -9.21765
IN OBSERVATION 1 COMPUTING LOG LIKELIHOOD.
F= 7.2465 FNEW= 7.0125 ISQZ= 2 STEP= 0.25000 CRIT= 1.9018
F= 7.0125 FNEW= 6.9809 ISQZ= 1 STEP= 0.50000 CRIT= 0.18329
F= 6.9809 FNEW= 6.9795 ISQZ= 0 STEP= 1.0000 CRIT= 0.21398E-02
F= 6.9795 FNEW= 6.9794 ISQZ= 0 STEP= 1.0000 CRIT= 0.25280E-03
F= 6.9794 FNEW= 6.9794 ISQZ= 0 STEP= 1.0000 CRIT= 0.13014E-05
CONVERGENCE ACHIEVED AFTER 6 ITERATIONS
15 FUNCTION EVALUATIONS.
Number of observations = 5 Log likelihood = -6.97940
Schwarz B.I.C. = 9.39356
Standard
Parameter Estimate Error t-statistic P-value
S2 6.00008 6.11900 .980567 [.327]
B0 10.0000 2.59619 3.85180 [.000]
B1 7.00000 1.20002 5.83325 [.000]
Standard Errors computed from covariance of analytic first derivatives
(BHHH)
Standard
Parameter Estimate Error t-statistic P-value
S2 6.00008 3.79484 1.58112 [.114]
B0 10.0000 1.89738 5.27043 [.000]
B1 7.00000 .774602 9.03690 [.000]
Standard Errors computed from analytic second derivatives
(Newton)
Standard
Parameter Estimate Error t-statistic P-value
S2 6.00008 2.63826 2.27426 [.023]
B0 10.0000 1.49666 6.68153 [.000]
B1 7.00000 .509902 13.7281 [.000]
Standard Errors computed from analytic first and second derivatives
(Eicker-White)