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.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
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