1、点击确定,得到:Dependent Variable: C01Method: Two-Stage Least SquaresDate: 06/02/11 Time: 14:08Sample (adjusted): 1979 2009Included observations: 31 after adjustmentsInstrument list: C G C01(-1)VariableCoefficientStd. Errort-StatisticProb.C1290.053402.73533.2032290.0034Y0.1071330.0231504.6277390.0001C01(-1
2、)0.7857560.07185910.934710.0000R-squared0.998513Mean dependent var34025.26Adjusted R-squared0.998407S.D. dependent var34218.49S.E. of regression1365.679Sum squared resid52222209F-statistic9402.761Durbin-Watson stat0.743434Prob(F-statistic)0.000000Second-Stage SSR53379247得到结构参数的工具变量法估计量:2. 间接最小二乘法估计消
3、费方程消费方程中包含的内生变量的简化方程为参数关系体系为用普通最小二乘法估计第一个简化式: Least Squares461086.594386.55342.8109810.00890.9545380.03625626.32772G0.2655810.0580214.5773100.9984800.9983721380.725Akaike info criterion17.39037Schwarz criterion17.52914Log likelihood-266.5507Hannan-Quinn criter.17.435619198.9480.743999用普通最小二乘法估计第二个简化
4、式: Y47-1899.1342081.958-0.9121860.36951.5754550.1952738.0679502.4789920.3124997.9327940.99431884244.670.99391295306.597436.52120.757961.55E+0920.89673-318.748420.803202449.7550.686339得到简化式参数估计量为:由参数体系计算得到结构参数间接最小二乘估计值为3. 二阶段最小二乘法点击objects/new object,选择systemSystem: UNTITLEDEstimation Method: 15:09Sa
5、mple: 31Total system (balanced) observations 62C(1)0.0022C(2)C(3)C(4)-2538.266948.1448-2.6770870.0097C(5)0.4413900.00753458.58576Determinant residual covariance1.63E+13Equation: C01=C(1)+C(2)*Y+C(3)*C01(-1)Instruments: G C01(-1) CObservations: I=C(4)+C(5)*Y0.99177434646.510.99149142513.373921.7224.46E+080.538847消费方程的参数估计量为投资方程的参数估计量为4. 三阶段最小二乘法 Three-Stage Least Squares20Linear estimation after one-step weighting matrix1384.346361.67293.8276200.00030.1165380.0181096.4351730.
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