时间序列相关性检验-自相关
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序列相关性检验（一）一元线性回归结果：
Dependent Variable: Y
Method: Least Squares
Date: 06/01/12 Time: 14:16
Sample: 1981 2007
Included observations: 27
C 4276.362 1079.786 3.960380 0.0005
X 0.871668 0.029448 29.60012 0.0000 R-squared 0.972258 Mean dependent var 24869.44 Adjusted R-squared 0.971149 S.D. dependent var 25261.92 S.E. of regression 4290.920 Akaike info criterion 19.63758 Sum squared resid 4.60E+08 Schwarz criterion 19.73356 Log likelihood -263.1073 F-statistic 876.1668 Durbin-Watson stat 0.174669 Prob(F-statistic) 0.000000
（二）拉格朗日乘数检验：
含二阶残差项的回归结果：
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 120.8648 Probability 0.000000 Obs*R-squared 24.65421 Probability 0.000004
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Variable Coefficient Std. Error t-Statistic Prob.
C 361.5102 372.6461 0.970117 0.3421
X -0.025697 0.013222 -1.943398 0.0643 RESID(-1) 1.477525 0.193620 7.631049 0.0000 RESID(-2) -0.485298 0.229297 -2.116459 0.0453 R-squared 0.913119 Mean dependent var -2.29E-12 Adjusted R-squared 0.901787 S.D. dependent var 4207.593 S.E. of regression 1318.618 Akaike info criterion 17.34251 Sum squared resid 39991346 Schwarz criterion 17.53449 Log likelihood -230.1239 F-statistic 80.57655 Durbin-Watson stat 1.772240 Prob(F-statistic) 0.000000
含三阶残差项的回归结果：
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 77.16026 Probability 0.000000 Obs*R-squared 24.65663 Probability 0.000018
Test Equation:
Dependent Variable: RESID
Method: Least Squares
C 340.4064 405.7832 0.838887 0.4106
X -0.024688 0.015080 -1.637160 0.1158 RESID(-1) 1.464982 0.214682 6.823974 0.0000 RESID(-2) -0.441789 0.371964 -1.187721 0.2476 RESID(-3) -0.039199 0.260256 -0.150618 0.8816 R-squared 0.913208 Mean dependent var -2.29E-12 Adjusted R-squared 0.897428 S.D. dependent var 4207.593 S.E. of regression 1347.559 Akaike info criterion 17.41555 Sum squared resid 39950151 Schwarz criterion 17.65552 Log likelihood -230.1100 F-statistic 57.87019
序列相关性消除
（一）二阶迭代法回归结果：
Dependent Variable: Y
Method: Least Squares
Date: 06/01/12 Time: 15:22
Sample(adjusted): 1983 2007
Included observations: 25 after adjusting endpoints
Convergence not achieved after 100 iterations
C 921803.7 58583291 0.015735 0.9876
X 0.603615 0.087945 6.863519 0.0000
AR(1) 1.519561 0.189668 8.011678 0.0000
R-squared 0.998698 Mean dependent var 26697.20 Adjusted R-squared 0.998512 S.D. dependent var 25384.37 S.E. of regression 979.2577 Akaike info criterion 16.75711 Sum squared resid 20137857 Schwarz criterion 16.95213 Log likelihood -205.4639 F-statistic 5368.622