中级计量课后习题参考答案第九章Word格式.docx
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39
Sample:
19802000
Includedobservations:
21
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
3919.180
1702.691
2.301756
0.0335
EMP1
31.99998
5.305756
6.031181
0.0000
OTM1
722.7758
348.2873
2.075229
0.0526
R-squared
0.674135
Meandependentvar
10339.75
AdjustedR-squared
0.637928
S.D.dependentvar
1653.825
S.E.ofregression
995.1473
Akaikeinfocriterion
16.77522
Sumsquaredresid
17825726
Schwarzcriterion
16.92444
Loglikelihood
-173.1398
Hannan-Quinncriter.
16.80761
F-statistic
18.61879
Durbin-Watsonstat
0.436339
Prob(F-statistic)
0.000041
橡胶和塑料产业:
Y2
40
-49122.54
3331.606
-14.74440
EMP2
135.4948
6.703255
20.21328
OTM2
2646.557
1087.284
2.434099
0.0256
0.989264
80662.43
0.988071
13744.48
1501.188
17.59746
40564183
17.74668
-181.7734
17.62985
829.2748
1.590448
0.000000
SUR的估计:
在主菜单选择Object->
NewObject,在弹出的对话框中选择System,点击OK。
在编辑框中输入:
y_gt=c
(1)+c
(2)*emp_gt+c(3)*otm_gt
y_xj=c(4)+c(5)*emp_xj+c(6)*otm_xj
估计结果如下:
System:
SUR_Y
EstimationMethod:
SeeminglyUnrelatedRegression
12/04/10Time:
56
Totalsystem(balanced)observations42
Linearestimationafterone-stepweightingmatrix
C
(1)
4967.336
1497.399
3.317309
0.0021
C
(2)
28.88222
4.732282
6.103232
C(3)
539.5766
308.8569
1.747012
0.0892
C(4)
-51805.33
3007.227
-17.22695
C(5)
142.1699
5.885360
24.15653
C(6)
1822.018
965.5852
1.886958
0.0673
Determinantresidualcovariance
1.22E+12
Equation:
Y_GT=C
(1)+C
(2)*EMP_GT+C(3)*OTM_GT
Observations:
0.666480
0.629422
1006.768
18244464
0.486554
Y_XJ=C(4)+C(5)*EMP_XJ+C(6)*OTM_XJ
0.988661
0.987401
1542.747
42841220
1.484711
SUR估计的模型如下:
SubstitutedCoefficients:
=====================
Y_GT=4967.33600398+28.8822169308*EMP_GT+539.576580766*OTM_GT
Y_XJ=-51805.3302975+142.169865054*EMP_XJ+1822.0182034*OTM_XJ
估计结果说明采用SUR估计得到的斜率和用OLS法估计得到的斜率相同。
(2)
1.混合回归模型:
Y_GT=-14046.4794265+86.7390745907*EMP_GT+3170.25123496*OTM_GT
Y_XJ=-14046.4794265+86.7390745907*EMP_XJ+3170.25123496*OTM_XJ
Y_SZ=-14046.4794265+86.7390745907*EMP_SZ+3170.25123496*OTM_SZ
Y_FZ=-14046.4794265+86.7390745907*EMP_FZ+3170.25123496*OTM_FZ
Y?
PooledLeastSquares
11:
20
Cross-sectionsincluded:
4
Totalpool(balanced)observations:
84
-14046.48
3233.619
-4.343888
EMP?
86.73907
2.175434
39.87208
OTM?
3170.251
731.4102
4.334437
0.953292
48601.24
0.952139
26268.36
5746.759
20.18572
2.68E+09
20.27254
-844.8003
20.22062
826.5976
0.097683
2.变截距模型:
Y_GT=5513.35297339-23271.5488569+92.1914938172*EMP_GT+4644.35831606*OTM_GT
Y_XJ=4576.61080153-23271.5488569+92.1914938172*EMP_XJ+4644.35831606*OTM_XJ
Y_SZ=-3412.39724347-23271.5488569+92.1914938172*EMP_SZ+4644.35831606*OTM_SZ
Y_FZ=-6677.56653145-23271.5488569+92.1914938172*EMP_FZ+4644.35831606*OTM_FZ
12:
03
-23271.55
3783.341
-6.151058
92.19149
5.377237
17.14477
4644.358
510.1546
9.103825
FixedEffects(Cross)
_GT--C
5513.353
_XJ--C
4576.611
_SZ--C
-3412.397
_FZ--C
-6677.567
EffectsSpecification
Cross-sectionfixed(dummyvariables)
0.986194
0.985309
3183.855
19.03832
7.91E+08
19.21195
-793.6095
19.10812
1114.371
0.536797
3.变系数模型
Y_GT=17035.7314082-13116.5513831+31.9999750501*EMP_GT+722.775832436*OTM_GT
Y_XJ=-36005.9857126-13116.5513831+135.494779734*EMP_XJ+2646.5568381*OTM_XJ
Y_SZ=-958.330237755-13116.5513831+81.1448912349*EMP_SZ+3450.40621266*OTM_SZ
Y_FZ=19928.5845421-13116.5513831+48.967070419*EMP_FZ+2860.78889467*OTM_FZ
06
-13116.55
3127.955
-4.193332
0.0001
_GT--EMP_GT
10.27417
3.114604
0.0026
_XJ--EMP_XJ
8.604734
15.74654
_SZ--EMP_SZ
81.14489
12.69908
6.389825
_FZ--EMP_FZ
48.96707
7.707955
6.352797
_GT--OTM_GT
674.4303
1.071684
0.2874
_XJ--OTM_XJ
1395.709
1.896210
0.0619
_SZ--OTM_SZ
3450.406
522.6299
6.602007
_FZ--OTM_FZ
2860.789
903.4975
3.166350
0.0023
17035.73
-36005.99
-958.3302
19928.58
0.995332
0.994618
1927.023
18.09690
2.67E+08
18.44416
-748.0700
18.23650
1395.550
0.694607
模型类型的检验过程如下:
在5%的显著性水平下查表得:
72.3大于临界值,拒绝原假设,继续检验
在5%的显著性水平下查表得,23.54大于临界值,拒绝原假设,此模型为变截距、变系数模型。
但由于随机效应的估计需要numberofcrosssections>
numberofcofes
所以本题选用变截距模型来说明固定效应和随机效应
固定效应:
43
1