计量经济学第六章案例分析.docx
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计量经济学第六章案例分析
6013205281金融一班谢明亮
习题6.1
(1)
DependentVariable:
Y
Method:
LeastSquares
Date:
11/09/15Time:
08:
52
Sample:
119
Includedobservations:
19
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
79.93004
12.39919
6.446390
0.0000
X
0.690488
0.012877
53.62068
0.0000
R-squared
0.994122
Meandependentvar
700.2747
AdjustedR-squared
0.993776
S.D.dependentvar
246.4491
S.E.ofregression
19.44245
Akaikeinfocriterion
8.872095
Sumsquaredresid
6426.149
Schwarzcriterion
8.971510
Loglikelihood
-82.28490
Hannan-Quinncriter.
8.888920
F-statistic
2875.178
Durbin-Watsonstat
0.574663
Prob(F-statistic)
0.000000
分析结果如下:
=79.9300+0.6905
(12.3992)(0.0129)
T=(6.4464)(53.6207)
=0.9941
=0.9938
F=2875.178n=19DW=0.5747
(2)
该回归方差的可决系数较高,回归系数显著。
对样本量为,一个解释变量的模型,5%的显著水平,查DW统计表可知,
=1.180,
=1.401,模型中DW<
,说明消费模型中有自相关。
DependentVariable:
E
Method:
LeastSquares
Date:
11/09/15Time:
08:
59
Sample(adjusted):
219
Includedobservations:
18afteradjustments
Variable
Coefficient
Std.Error
t-Statistic
Prob.
E(-1)
0.657352
0.177626
3.700759
0.0018
R-squared
0.440747
Meandependentvar
1.717433
AdjustedR-squared
0.440747
S.D.dependentvar
17.85134
S.E.ofregression
13.34980
Akaikeinfocriterion
8.074833
Sumsquaredresid
3029.692
Schwarzcriterion
8.124298
Loglikelihood
-71.67349
Hannan-Quinncriter.
8.081653
Durbin-Watsonstat
1.634573
DependentVariable:
Y-0.6573*Y(-1)
Method:
LeastSquares
Date:
11/09/15Time:
09:
15
Sample(adjusted):
219
Includedobservations:
18afteradjustments
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
11.66011
26.87864
0.433806
0.6702
X--0.6573*X(-1)
0.179504
0.017043
10.53225
0.0000
R-squared
0.873945
Meandependentvar
278.1351
AdjustedR-squared
0.866066
S.D.dependentvar
105.1878
S.E.ofregression
38.49554
Akaikeinfocriterion
10.24340
Sumsquaredresid
23710.51
Schwarzcriterion
10.34233
Loglikelihood
-90.19061
Hannan-Quinncriter.
10.25704
F-statistic
110.9283
Durbin-Watsonstat
1.444633
Prob(F-statistic)
0.000000
=11.6601+0.1796
(26.8786)(0.0170)
T=(0.4338)(10.5323)
=0.8740
=0.8661F=110.9283n=18DW=1.444633
由于使用了广义差分数据,样本容量减少一个,为18个。
5%的显著水平,查DW统计表可知,
=1.158,
=1.931,模型中DW=1.444633,
,说明在5%显著性水平下广义差分模型中以无自相关。
(3)
经济意义解释:
其他条件不变的情况下,人均实际收入每增加1元,人均实际支出就增加0.179504元。
习题6.2
DependentVariable:
Y
Method:
LeastSquares
Date:
11/09/15Time:
09:
25
Sample:
19852011
Includedobservations:
27
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-1668.731
555.7701
-3.002555
0.0060
X
0.265056
0.011719
22.61745
0.0000
R-squared
0.953406
Meandependentvar
8521.571
AdjustedR-squared
0.951542
S.D.dependentvar
7680.981
S.E.ofregression
1690.825
Akaikeinfocriterion
17.77501
Sumsquaredresid
71472219
Schwarzcriterion
17.87100
Loglikelihood
-237.9626
Hannan-Quinncriter.
17.80355
F-statistic
511.5491
Durbin-Watsonstat
0.601376
Prob(F-statistic)
0.000000
分析结果如下:
=-1668.731+0.2651
(555.7701)(0.0117)
T=(-3.0026)(22.6174)
=0.9534
=0.9515F=511.5491n=27DW=0.6014
该回归方差的可决系数较高,回归系数显著。
5%的显著水平,查DW统计表可知,
=1.316,
=1.469,模型中DW<
,显然消费模型中有自相关,这一点从残差图中也可以看出。
DependentVariable:
E
Method:
LeastSquares
Date:
11/10/15Time:
14:
20
Sample(adjusted):
19862011
Includedobservations:
26afteradjustments
Variable
Coefficient
Std.Error
t-Statistic
Prob.
E(-1)
0.700133
0.144281
4.852570
0.0001
R-squared
0.484955
Meandependentvar
-21.17165
AdjustedR-squared
0.484955
S.D.dependentvar
1687.099
S.E.ofregression
1210.774
Akaikeinfocriterion
17.07361
Sumsquaredresid
36649313
Schwarzcriterion
17.12200
Loglikelihood
-220.9569
Hannan-Quinncriter.
17.08754
Durbin-Watsonstat
1.645156
DependentVariable:
Y-0.7001*Y(-1)
Method:
LeastSquares
Date:
11/10/15Time:
14:
27
Sample(adjusted):
19862011
Includedobservations:
26afteradjustments
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-460.9703
458.2325
-1.005975
0.3245
X--0.7001*X(-1)
0.057798
0.005806
9.955501
0.0000
R-squared
0.805056
Meandependentvar
3279.442
AdjustedR-squared
0.796933
S.D.dependentvar
2968.340
S.E.ofregression
1337.622
Akaikeinfocriterion
17.30898
Sumsquaredresid
42941592
Schwarzcriterion
17.40575
Loglikelihood
-223.0167
Hannan-Quinncriter.
17.33685
F-statistic
99.11200
Durbin-Watsonstat
1.578832
Prob(F-statistic)
0.000000
=-460.9703+0.057798
(458.2325)(0.0058)
T=(-1.0060)(9.9555)
=0.8051
=0.7969F=99.1120n=26DW=1.5788
由于使用了广义差分数据,样本容量减少一个,为26个。
5%的显著水平,查DW统计表可知,
=1.302,
=1.461,模型中DW=1.578832,
,说明在5%显著性水平下广义差分模型中以无自相关。
习题6.3
(1)
DependentVariable:
Y
Method:
LeastSquares
Date:
11/10/15Time:
14:
50
Sample:
19812006
Includedobservations:
26
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
2995.318
271.4633
11.03397
0.0000
X
1.195811
0.062948
18.99680
0.0000
R-squared
0.937643
Meandependentvar
7305.946
AdjustedR-squared
0.935044
S.D.dependentvar
2981.130
S.E.ofregression
759.7823
Akaikeinfocriterion
16.17774
Sumsquaredresid
13854461
Schwarzcriterion
16.27452
Loglikelihood
-208.3107
Hannan-Quinncriter.
16.20561
F-statistic
360.8784
Durbin-Watsonstat
0.409551
Prob(F-statistic)
0.000000
分析结果如下:
=2995.318+1.1958
(271.4633)(0.0629)
T=(11.0338)(18.9968)
=0.9376
=0.9350F=360.8784n=26DW=0.4096
(2)
该回归方差的可决系数较高,回归系数显著。
对样本量为26,一个解释变量的模型,5%的显著水平,查DW统计表可知,
=1.3021,
=1.461,模型中DW<
,消费模型中有自相关,这一点从残差图中也可以看出。
Breusch-GodfreySerialCorrelationLMTest:
F-statistic
34.44637
Prob.F(2,22)
0.0000
Obs*R-squared
19.70687
Prob.Chi-Square
(2)
0.0001
TestEquation:
DependentVariable:
RESID
Method:
LeastSquares
Date:
11/10/15Time:
15:
15
Sample:
19812006
Includedobservations:
26
Presamplemissingvaluelaggedresidualssettozero.
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-14.67235
140.7680
-0.104231
0.9179
X
0.000905
0.032591
0.027777
0.9781
RESID(-1)
1.268989
0.166615
7.616299
0.0000
RESID(-2)
-0.650628
0.170205
-3.822616
0.0009
R-squared
0.757956
Meandependentvar
-1.01E-12
AdjustedR-squared
0.724951
S.D.dependentvar
744.4316
S.E.ofregression
390.4184
Akaikeinfocriterion
14.91295
Sumsquaredresid
3353383.
Schwarzcriterion
15.10651
Loglikelihood
-189.8684
Hannan-Quinncriter.
14.96869
F-statistic
22.96424
Durbin-Watsonstat
2.180156
Prob(F-statistic)
0.000001
P=0.0001远小于0.05,拒绝
,存在2阶自相关。
习题6.4
(1)
DependentVariable:
LOG(Y)
Method:
LeastSquares
Date:
11/10/15Time:
15:
19
Sample:
19802000
Includedobservations:
21
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
2.171041
0.241025
9.007529
0.0000
LOG(X)
0.951090
0.038897
24.45123
0.0000
R-squared
0.969199
Meandependentvar
8.039307
AdjustedR-squared
0.967578
S.D.dependentvar
0.565486
S.E.ofregression
0.101822
Akaikeinfocriterion
-1.640785
Sumsquaredresid
0.196987
Schwarzcriterion
-1.541307
Loglikelihood
19.22825
Hannan-Quinncriter.
-1.619196
F-statistic
597.8626
Durbin-Watsonstat
1.159788
Prob(F-statistic)
0.000000
=2.171041+0.951090
(0.241025(0.038897)
T=(9.007529)(24.45123)
=0.969199
=0.967578F=597.8626n=21DW=1.15978
(2)
DependentVariable:
LOG(Y)
Method:
LeastSquares
Date:
11/10/15Time:
15:
25
Sample(adjusted):
19812000
Includedobservations:
20afteradjustments
Convergenceachievedafter136iterations
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
441.2249
157823.1
0.002796
0.9978
LOG(X)
0.442293
0.067962
6.507951
0.0000
AR
(1)
0.999876
0.044793
22.32218
0.0000
R-squared
0.990826
Meandependentvar
8.078990
AdjustedR-squared
0.989747
S.D.dependentvar
0.549358
S.E.ofregression
0.055627
Akaikeinfocriterion
-2.802817
Sumsquaredresid
0.052604
Schwarzcriterion
-2.653457
Loglikelihood
31.02817
Hannan-Quinncriter.
-2.773660
F-statistic
918.0413
Durbin-Watsonstat
1.589711
Prob(F-statistic)
0.000000
InvertedARRoots
1.00