(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)

Y=XB+N(X)

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