(Multi-Collinearity)
, 0(0),,.
1 i=1,2,,n (6.1)
i=1,2,,n (6.2) : 0 i=1,2,,n (6.3) 0()(intercorrelated)
X2=X1X1X21X2X1
2
=f(,
3. (1)(2)(3)
1.,2.TTFR2,BLUE3.
4()(XX) -1
5 OLS |XX|0(XX) -1OLS
(Variance Inflation Factor)1/(1-r2)
6 X1X2 X1X2
7tt 0
8
+
1 2
1 (1) X1X2r|r|1
(2)
OLSR2FtYYt
2(1) Xji=1X1i+2X2i+LXLiXjXXjX
F Rj2j Rj211- Rj2 FjF
: XjXjXj
(2) Y
OLSR2R2T
3
OLSRi2,
Ri2=0.9, VIF=10Ri2=0.8, VIF=5,VIF>810,,Xi.,.
Eviews 1GroupQuick\Group Statistics\Correlation2OLSR2T
Eviews 31Y2OLSR2R2T
1234J
567
1
2
3()1C-D 2 x1x2yb1=b2
4J
YPI
5-- Yi=1 X1i+2 X2i++k Xki+ i
2
YC(-1)0.9845 YC(-1)0.7456 0.8
6
Ridge Regression 70 D D D=aI (2.6.6)a0 DB(2.6.5)2.6.5)
0110101P1843.2 3.5 3.9 3.14P1843.10 3.12 3.17
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