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. reg consumption temp price income Source SS df MS Number of obs = 30 F( 3, 26) = 22.17 Model .090250523 3 .030083508 Prob > F = 0.0000 Residual .035272835 26 .001356647 R-squared = 0.7190 Adj R-squared = 0.6866 Total .125523358 29 .004328392 Root MSE = .03683 consumption Coef. Std. Err. t P>|t| [95% Conf. Interval] temp .0034584 .0004455 7.76 0.000 .0025426 .0043743 price -1.044413 .834357 -1.25 0.222 -2.759458 .6706322 income .0033078 .0011714 2.82 0.009 .0008999 .0057156 _cons .1973149 .2702161 0.73 0.472 -.3581223 .752752 BG¼ìÑé

. estat bgodfreyBreusch-Godfrey LM test for autocorrelation lags(p) chi2 df Prob > chi2 1 4.237 1 0.0396 H0: no serial correlationÏÔÖø ¾Ü¾øÁËÔ­¼ÙÉèÎÞ×ÔÏà¹Ø£¬ÔòÈÏΪ´æÔÚ×ÔÏà¹Ø Q¼ìÑ飨ÂÔ£©¡¢DW¼ìÑéÈçÏÂ

. estat dwatsonDurbin-Watson d-statistic( 4, 30) = 1.021169DW=1.02 ¾àÀë2ºÜÔ¶ ¿ÉÒÔÈÏΪ´æÔÚ×ÔÏà¹Ø¡£

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ʹÓÃÒì·½²î×ÔÏà¹ØÎȽ¡±ê×¼Îó£¬ÓÉÓÚÑù±¾Îª30¸ö£¬n=2.34£¬¹ÊÈ¡NEWey-West¹À¼ÆÁ¿µÄÖͺóֵΪP=3£¬½á¹ûÈçÏ£º

. newey consumption temp price income,lag(3)Regression with Newey-West standard errors Number of obs = 30maximum lag: 3 F( 3, 26) = 27.63 Prob > F = 0.0000 Newey-West consumption Coef. Std. Err. t P>|t| [95% Conf. Interval] temp .0034584 .0004002 8.64 0.000 .0026357 .0042811 price -1.044413 .9772494 -1.07 0.295 -3.053178 .9643518 income .0033078 .0013278 2.49 0.019 .0005783 .0060372 _cons .1973149 .3378109 0.58 0.564 -.4970655 .8916952

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. newey consumption temp price income,lag(6)Regression with Newey-West standard errors Number of obs = 30maximum lag: 6 F( 3, 26) = 52.97 Prob > F = 0.0000 Newey-West consumption Coef. Std. Err. t P>|t| [95% Conf. Interval] temp .0034584 .0003504 9.87 0.000 .0027382 .0041787 price -1.044413 .9821798 -1.06 0.297 -3.063313 .9744864 income .0033078 .00132 2.51 0.019 .0005945 .006021 _cons .1973149 .3299533 0.60 0.555 -.4809139 .8755437

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. reg consumption temp L.temp price income Source SS df MS Number of obs = 29 F( 4, 24) = 28.98 Model .103387183 4 .025846796 Prob > F = 0.0000 Residual .021406049 24 .000891919 R-squared = 0.8285 Adj R-squared = 0.7999 Total .124793232 28 .004456901 Root MSE = .02987 consumption Coef. Std. Err. t P>|t| [95% Conf. Interval] temp --. .0053321 .0006704 7.95 0.000 .0039484 .0067158 L1. -.0022039 .0007307 -3.02 0.006 -.0037119 -.0006959 price -.8383021 .6880205 -1.22 0.235 -2.258307 .5817025 income .0028673 .0010533 2.72 0.012 .0006934 .0050413 _cons .1894822 .2323169 0.82 0.423 -.2899963 .6689607È»ºóʹÓÃBG¼ìÑéÊÇ·ñ´æÔÚ×ÔÏà¹Ø£º

. estat bgoBreusch-Godfrey LM test for autocorrelation lags(p) chi2 df Prob > chi2 1 0.120 1 0.7292 H0: no serial correlation

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. pwcorr iq s,sig iq s iq 1.0000 s 0.5131 1.0000 0.0000

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. reg lw s expr tenure rns smsa,rLinear regression Number of obs = 758 F( 5, 752) = 84.05 Prob > F = 0.0000 R-squared = 0.3521 Root MSE = .34641 Robust lw Coef. Std. Err. t P>|t| [95% Conf. Interval] s .102643 .0062099 16.53 0.000 .0904523 .1148338 expr .0381189 .0066144 5.76 0.000 .025134 .0511038 tenure .0356146 .0079988 4.45 0.000 .0199118 .0513173 rns -.0840797 .029533 -2.85 0.005 -.1420566 -.0261029 smsa .1396666 .028056 4.98 0.000 .0845893 .194744 _cons 4.103675 .0876665 46.81 0.000 3.931575 4.275775

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