что X3 = 2X2 - 1. В уравнении для Y
нет срока нарушения, но это не важно. Предположим, что у нас есть шесть приведенных наблюдений. X2 X3 Y
10 19 51
11 21 56
12 23 61
13 25 66
14 27 71
15 29 76
X2 X3 Y
10 19 51
11 21 56
12 23 61
13 25 66
14 27 71
15 29 76
Y
X3
X2
МУЛЬТИКОЛЛИНЕАРНОСТЬ
МУЛЬТИКОЛЛИНЕАРНОСТЬ
Y
X3
X2
Y = 3.5 – 2.5p + 5pX2 + 2.5(1 – p)X3
МУЛЬТИКОЛЛИНЕАРНОСТЬ
Y
X3
X2
Y = 3.5 – 2.5p + 5pX2 + 2.5(1 – p)X3
МУЛЬТИКОЛЛИНЕАРНОСТЬ
МУЛЬТИКОЛЛИНЕАРНОСТЬ
19
МУЛЬТИКОЛЛИНЕАРНОСТЬ
. reg EARNINGS S EXP
----------------------------------------------------------------------------
Source | SS df MS Number of obs = 500
-----------+------------------------------ F( 2, 497) = 35.24
Model | 8735.42401 2 4367.712 Prob > F = 0.0000
Residual | 61593.5422 497 123.930668 R-squared = 0.1242
-----------+------------------------------ Adj R-squared = 0.1207
Total | 70328.9662 499 140.939812 Root MSE = 11.132
----------------------------------------------------------------------------
EARNINGS | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
S | 1.877563 .2237434 8.39 0.000 1.437964 2.317163
EXP | .9833436 .2098457 4.69 0.000 .5710495 1.395638
_cons | -14.66833 4.288375 -3.42 0.001 -23.09391 -6.242752
----------------------------------------------------------------------------
МУЛЬТИКОЛЛИНЕАРНОСТЬ
. reg EARNINGS S EXP
----------------------------------------------------------------------------
Source | SS df MS Number of obs = 500
-----------+------------------------------ F( 2, 497) = 35.24
Model | 8735.42401 2 4367.712 Prob > F = 0.0000
Residual | 61593.5422 497 123.930668 R-squared = 0.1242
-----------+------------------------------ Adj R-squared = 0.1207
Total | 70328.9662 499 140.939812 Root MSE = 11.132
----------------------------------------------------------------------------
EARNINGS | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
S | 1.877563 .2237434 8.39 0.000 1.437964 2.317163
EXP | .9833436 .2098457 4.69 0.000 .5710495 1.395638
_cons | -14.66833 4.288375 -3.42 0.001 -23.09391 -6.242752
----------------------------------------------------------------------------
МУЛЬТИКОЛЛИНЕАРНОСТЬ
. reg EARNINGS S EXP EXPSQ
----------------------------------------------------------------------------
EARNINGS | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
S | 1.869284 .2241882 8.34 0.000 1.428809 2.30976
EXP | 1.427853 .6814907 2.10 0.037 .0888882 2.766817
EXPSQ | -.0328379 .047896 -0.69 0.493 -.126942 .0612662
_cons | -15.7658 4.57953 -3.44 0.001 -24.76347 -6.76813
----------------------------------------------------------------------------
. reg EARNINGS S EXP
----------------------------------------------------------------------------
EARNINGS | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
S | 1.877563 .2237434 8.39 0.000 1.437964 2.317163
EXP | .9833436 .2098457 4.69 0.000 .5710495 1.395638
_cons | -14.66833 4.288375 -3.42 0.001 -23.09391 -6.242752
----------------------------------------------------------------------------
. reg EARNINGS S EXP
----------------------------------------------------------------------------
EARNINGS | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
S | 1.877563 .2237434 8.39 0.000 1.437964 2.317163
EXP | .9833436 .2098457 4.69 0.000 .5710495 1.395638
_cons | -14.66833 4.288375 -3.42 0.001 -23.09391 -6.242752
----------------------------------------------------------------------------
. reg EARNINGS S EXP EXPSQ
----------------------------------------------------------------------------
EARNINGS | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
S | 1.869284 .2241882 8.34 0.000 1.428809 2.30976
EXP | 1.427853 .6814907 2.10 0.037 .0888882 2.766817
EXPSQ | -.0328379 .047896 -0.69 0.493 -.126942 .0612662
_cons | -15.7658 4.57953 -3.44 0.001 -24.76347 -6.76813
----------------------------------------------------------------------------
. reg EARNINGS S EXP
----------------------------------------------------------------------------
EARNINGS | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
S | 1.877563 .2237434 8.39 0.000 1.437964 2.317163
EXP | .9833436 .2098457 4.69 0.000 .5710495 1.395638
_cons | -14.66833 4.288375 -3.42 0.001 -23.09391 -6.242752
----------------------------------------------------------------------------
. reg EARNINGS S EXP
----------------------------------------------------------------------------
EARNINGS | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
S | 1.877563 .2237434 8.39 0.000 1.437964 2.317163
EXP | .9833436 .2098457 4.69 0.000 .5710495 1.395638
_cons | -14.66833 4.288375 -3.42 0.001 -23.09391 -6.242752
----------------------------------------------------------------------------
. reg EARNINGS S EXP EXPSQ
----------------------------------------------------------------------------
EARNINGS | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
S | 1.869284 .2241882 8.34 0.000 1.428809 2.30976
EXP | 1.427853 .6814907 2.10 0.037 .0888882 2.766817
EXPSQ | -.0328379 .047896 -0.69 0.493 -.126942 .0612662
_cons | -15.7658 4.57953 -3.44 0.001 -24.76347 -6.76813
----------------------------------------------------------------------------
. reg EARNINGS S EXP
----------------------------------------------------------------------------
EARNINGS | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
S | 1.877563 .2237434 8.39 0.000 1.437964 2.317163
EXP | .9833436 .2098457 4.69 0.000 .5710495 1.395638
_cons | -14.66833 4.288375 -3.42 0.001 -23.09391 -6.242752
----------------------------------------------------------------------------
. reg EARNINGS S EXP EXPSQ
----------------------------------------------------------------------------
EARNINGS | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
S | 1.869284 .2241882 8.34 0.000 1.428809 2.30976
EXP | 1.427853 .6814907 2.10 0.037 .0888882 2.766817
EXPSQ | -.0328379 .047896 -0.69 0.493 -.126942 .0612662
_cons | -15.7658 4.57953 -3.44 0.001 -24.76347 -6.76813
----------------------------------------------------------------------------
. reg EARNINGS S EXP
----------------------------------------------------------------------------
EARNINGS | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
S | 1.877563 .2237434 8.39 0.000 1.437964 2.317163
EXP | .9833436 .2098457 4.69 0.000 .5710495 1.395638
_cons | -14.66833 4.288375 -3.42 0.001 -23.09391 -6.242752
----------------------------------------------------------------------------
. cor EXP EXPSQ
(obs=500)
| EXP EXPSQ
------+------------------
EXP | 1.0000
EXPSQ | 0.9677 1.0000
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