第十章练习题及参考答案.docx

1、第十章练习题及参考答案第十章练习题及参考解答10.1 表10.10是某国的宏观经济季度数据。其中, GDP为国内生产总值， PDI为个人可支配收入， PCE为个人消费支出，利润为公司税后利润，红利为公司净红利支出。 表10.10 19802001年某国宏观经济季度数据 （单位: 亿元）季度GDPPDIPCE利润红利季度GDPPDIPCE利润红利Jan-802878.81990.61800.544.724.5Jan-913860.52783.72475.5159.3564Feb-802860.32020.11087.544.423.9Feb-913844.42776.72476.1143.768

2、.4Mar-802896.62045.31824.744.923.3Mar-913864.52814.12487.4147.671.9Apr-802873.72045.21821.242.123.1Apr-913803.12808.82468.8140.372.4Jan-812942.92073.91849.948.823.8Jan-923756.127952484114.470Feb-812947.420981863.550.723.7Feb-923771.12824.82488.911468.4Mar-8129662106.61876.954.223.8Mar-923754.4282925

3、02.5114.669.2Apr-812980.82121.11904.655.723.7Apr-923759.62832.62539.3109.972.5Jan-823037.32129.71929.359.425Jan-933783.32843.62556.5113.677Feb-823089.72149.11963.360.125.5Feb-933886.52867260413380.5Mar-823125.82193.91989.162.826.1Mar-933944.429032639145.783.1Apr-823175.322722032.168.326.5Apr-934012.

4、12960.62678.2141.684.2Jan-833253.32300.72063.979.127Jan-944221.83123.62824.3125.287.2Feb-833267.62315.2206281.227.8Feb-9441443065.92741152.682.2Mar-833264.32337.92073.781.328.3Mar-944166.43102.72754.6141.881.7Apr-833289.12382.72067.48529.4Apr-944194.23118.52784.8136.383.4Jan-843259.42334.72050.88929

5、.8Jan-954221.83123.62824.9125.287.2Feb-843267.72304.5205991.230.4Feb-954254.83189.62849.7124.890.8Mar-843239.123152065.597.130.9Mar-9543093156.52893.3129.894.1Apr-843226.42313.72039.986.830.5Apr-954333.53178.72895.313497.4Jan-8531542282.52051.875.830Jan-964390.53227.52922.4109.2105.1Feb-853190.42390

6、.32086.98129.7Feb-964387.73281.42947.9106110.7Mar-853249.92354.42114.497.830.1Mar-964412.63272.62993.4111112.3Apr-853292.52389.42137103.430.6Apr-964427.13266.23012.5119.2111Jan-863356.72424.52179.3108.432.6Jan-9744603295.23011.5140.2108Feb-863369.22434.92194.7109.235Feb-974515.33241.73045.8157.9105.

7、5Mar-8633812444.7221311036.6Mar-974559.33285.73075.8169.1105.1Apr-863416.32459.52242110.338.3Apr-974625.53335.83074.6176106.3Jan-872466.424632271.3121.539.2Jan-984655.33380.13128.2195.5109.6Feb-8735252490.32280.8129.740Feb-984704.83386.33147.8207.2113.3Mar-873574.425412302.6135.141.4Mar-984779.73443

8、.13170.6213.4117.5Apr-873567.22556.22331.6134.842.4Apr-984779.73473.93202.9226121Jan-883591.82587.32347.1137.543.5Jan-994809.83473.93200.9221.3124.6Feb-883707.72631.9239415444.5Feb-994832.43450.93208.6206.2127Mar-883735.62653.22404.515846.6Mar-994845.63446.93241.1195.7129Apr-883779.62680.92421.6167.

9、848.9Apr-994859.734933241.6203130.7Jan-893780.82699.22437.9168.250.5Jan-004880.83531.43258.8199.1132.3Feb-893784.32697.62435.4174.151.8Feb-004832.43545.33258.6193.7132.5Mar-893807.52715.32454.7178.152.7Mar-004903.335473281.2196.3133.8Apr-893814.62728.12465.4173.457.6Apr-004855.13529.53251.8199136.2J

10、an-903830.82742.92464.6174.357.6Jan-0148243514.83241.1189.7137.8Feb-903732.626922414.2144.558.7Feb-014840.73537.43252.4182.7136.7Mar-903733.52722.52440.315159.3Mar-014862.73539.93271.2189.6138.1Apr-903808.527772469.2154.660.5Apr-0148683547.53271.1190.3138.51） 画出利润和红利的散点图，并直观地考察这两个时间序列是否是平稳的。2) 应用单位根

11、检验分别检验利润和红利两个时间序列是否是平稳的。3) 分别检验GDP、PDI和PCE等序列是否平稳，并判定其单整阶数是否相同？练习题10.1参考解答:1) 利润和红利的散点图如下, 从图中可看出，利润和红利序列均值和方差不稳定，因此可能是非平稳的。2）利润序列有截距项，在Eviews5.0中选取截距项，同时最大滞后长度取11进行单位根检验，检验结果如下，Null Hypothesis: PFT has a unit rootExogenous: Constant, Linear TrendLag Length: 0 (Automatic based on SIC, MAXLAG=11)t-St

12、atisticProb.*Augmented Dickey-Fuller test statistic-1.7970790.6978Test critical values:1% level-4.0669815% level-3.46229210% level-3.157475t统计量大于所有显著性水平下的MacKinnon临界值，故不能拒绝原假设，该序列是不平稳的。红利序列有截距项和趋势项，在Eviews5.0中选取截距项和趋势项，同时最大滞后长度取11进行单位根检验，检验结果如下，Null Hypothesis: BNU has a unit rootExogenous: Constant

13、, Linear TrendLag Length: 1 (Automatic based on SIC, MAXLAG=11)t-StatisticProb.*Augmented Dickey-Fuller test statistic-2.8935590.1698Test critical values:1% level-4.0682905% level-3.46291210% level-3.157836*MacKinnon (1996) one-sided p-values.t统计量大于所有显著性水平下的MacKinnon临界值，故不能拒绝原假设，该序列是不平稳的。10.2 下表数据是1

14、970-1991年美国制造业固定厂房设备投资Y和销售量X，以10亿美元计价，且经过季节调整，根据该数据，判断厂房开支和销售量序列是否平稳？ 表10.11 19701991年美国制造业固定厂房设备投资Y和销售量X（单位：美元）年份固定厂房设备投资销售量年份固定厂房设备投资销售量197036.9952.8051981128.68168.129197133.655.9061982123.97163.351197235.4263.0271983117.35172.547197342.3572.0271984139.61190.682197452.4884.791985182.88194.5381975

15、53.6686.5891986137.95194.657197658.5398.7971987141.06206.326197767.48113.2011988163.45223.541197878.13126.9051989183.8232.724197995.13143.9361990192.61239.4591980112.6154.391991182.81235.142练习题10.2参考解答:1）X为销售量，Y为固定厂房设备投资从图形中可看出，销售量序列有截距项和趋势项，故在Eviews5.0中选取截距项和趋势项，同时最大滞后长度取6进行单位根检验，检验结果如下，Null Hypoth

16、esis: X has a unit rootExogenous: Constant, Linear TrendLag Length: 0 (Automatic based on SIC, MAXLAG=6)t-StatisticProb.*Augmented Dickey-Fuller test statistic-1.8862380.6258Test critical values:1% level-4.4678955% level-3.64496310% level-3.261452*MacKinnon (1996) one-sided p-values.t统计量大于所有显著性水平下的M

17、acKinnon临界值，故不能拒绝原假设，该序列是不平稳的。2）从图形中可看出，固定厂房设备投资序列有截距项和趋势项，故在Eviews5.0中选取截距项和趋势项，同时最大滞后长度取6进行单位根检验，检验结果如下，Null Hypothesis: Y has a unit rootExogenous: Constant, Linear TrendLag Length: 1 (Automatic based on SIC, MAXLAG=6)t-StatisticProb.*Augmented Dickey-Fuller test statistic-4.3140270.0144Test crit

18、ical values:1% level-4.4983075% level-3.65844610% level-3.268973*MacKinnon (1996) one-sided p-values.t统计量小于5%显著性水平下的MacKinnon临界值，故在5% 的显著性水平下，拒绝原假设，该序列是平稳的。10.3 根据习题10.1的数据，回答如下问题： (1) 如果利润和红利时间序列并不是平稳的，而如果你以利润来回归红利，那么回归的结果会是虚假的吗？为什么？你是如何判定的，说明必要的计算。(2) 取利润和红利两个时间序列的一阶差分，确定一阶差分时间序列是否是平稳的。练习题10.3参考解答

19、:1）回归的结果是虚假的。以利润回归红利，回归的估计结果如下，Dependent Variable: BNUMethod: Least SquaresDate: 07/23/05 Time: 12:09Sample: 1980Q1 2001Q4Included observations: 88VariableCoefficientStd. Errort-StatisticProb.C-13.026447.371237-1.7671980.0807PFT0.6282190.05286611.883120.0000R-squared0.621493Mean dependent var69.2420

20、5Adjusted R-squared0.617092S.D. dependent var38.36748S.E. of regression23.74163Akaike info criterion9.194802Sum squared resid48475.19Schwarz criterion9.251105Log likelihood-402.5713F-statistic141.2085Durbin-Watson stat0.083355Prob(F-statistic)0.000000根据Granger和Newbold提出的一个经验性规则：当时，所估计的回归式就有虚假回归之嫌。在本

21、题中，远大于DW值，说明所估计的回归式存在伪回归。2）一次差分后的利润序列有截距项, 故在Eviews5.0中选取截距项，同时最大滞后长度取11进行单位根检验，检验结果如下，Null Hypothesis: D(PFT) has a unit rootExogenous: ConstantLag Length: 0 (Automatic based on SIC, MAXLAG=11)t-StatisticProb.*Augmented Dickey-Fuller test statistic-7.7390720.0000Test critical values:1% level-3.5083

22、265% level-2.89551210% level-2.584952*MacKinnon (1996) one-sided p-values.t统计量小于所有显著性水平下的MacKinnon临界值，故拒绝原假设，一次差分后的利润序列是平稳的。一次差分后的红利序列有截距项, 故在Eviews5.0中选取截距项，同时最大滞后长度取11进行单位根检验，检验结果如下，Null Hypothesis: D(BNU) has a unit rootExogenous: ConstantLag Length: 2 (Automatic based on SIC, MAXLAG=11)t-Statist

23、icProb.*Augmented Dickey-Fuller test statistic-5.8555120.0000Test critical values:1% level-3.5102595% level-2.89634610% level-2.585396*MacKinnon (1996) one-sided p-values.t统计量小于所有显著性水平下的MacKinnon临界值，故拒绝原假设，一次差分后的红利序列是平稳的。10.4 自行从中国统计年鉴中查找1952年-2009年中国国内生产总值的数据，检验其是否平稳，并确定其单整阶数。练习题10.4参考解答:1952年2009年

24、GDP（单位：亿元）年度数据如下,年份国内生产总值年份国内生产总值年份国内生产总值195267919722530.2199226923.51953824.219732733.4199335333.91954859.419742803.7199448197.91955910.819753013.1199560793.71956102919762961.5199671176.619571069.319773221.119977897319581308.219783645.2199884402.319591440.419794062.6199989677.119601457.519804545.6200099214.619611220.919814891.62001109655.219621151.219825323.42002120332.719631236.419835962.72003135822.819641455.519847208.12004159878.319651717.2198590162005183217.419661873.119