最新试题库含答案庞皓计量经济学课后答案第五章Word文档下载推荐.docx
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最新试题库含答案庞皓计量经济学课后答案第五章Word文档下载推荐.docx
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Prob.0.01280.0000119.666738.689847.2722467.3420581024.5640.000000
0.946423Meandependentvar0.945500S.D.dependentvar9.032255Akaikeinfocriterion4731.735Schwarzcriterion-216.1674F-statistic1.790431Prob(F-statistic)
(2)
White检验结果:
WhiteHeteroskedasticityTest:
F-statisticObs*R-squared
TestEquation:
RESID_Method:
45Sample:
VariableCXX_
AdjustedR-squaredS.E.ofregression
Coefficient-10.036140.1659770.001800
Std.Error131.14241.6198560.004587
t-Statistic-0.0765290.1024640.392469
Prob.0.93930.91870.696278.86225111.137512.14285
6.301373Probability10.86401Probability
0.0033700.004374
0.181067Meandependentvar0.152332S.D.dependentvar102.3231Akaikeinfocriterion
SumsquaredresidLoglikelihoodDurbin-Watsonstat
596790.5Schwarzcriterion-361.2856F-statistic1.442328Prob(F-statistic)
12.247576.3013730.003370
nR2=10.86401,查表得?
20.05
(2)=5.99147,nR25.99147,所以拒绝原假设,表明模型中随机误差项存在异方差。
Goldfeld-Quandt检验:
16:
16Sample:
122
22
Coefficient12.536950.605911
Std.Error7.0695780.063910
t-Statistic1.7733659.480730
Prob.0.09140.000078.6363612.560506.3305946.42978089.884240.000000
0.817990Meandependentvar0.808890S.D.dependentvar5.490969Akaikeinfocriterion603.0148Schwarzcriterion-67.63654F-statistic1.136382Prob(F-statistic)
17Sample:
3960
AdjustedR-squaredS.E.ofregressionSumsquaredresid
Coefficient-39.543930.841215
Std.Error27.082720.113266
t-Statistic-1.4601167.426927
Prob.0.15980.0000160.818221.133677.7510337.850219
0.733898Meandependentvar0.720593S.D.dependentvar11.17103Akaikeinfocriterion2495.840Schwarzcriterion
LoglikelihoodDurbin-Watsonstat
-83.26137F-statistic0.610587Prob(F-statistic)
55.159240.000000
eF=?
e
2221
=2495.840/603.0148=4.139,查得F0.05(20,20)=2.12,
4.1392.12,则拒绝原假设,表明模型中随机误差项存在异方差。
(3)加权最小二乘法修正异方差W1=1/X
53Sample:
60Weightingseries:
W1
WeightedStatisticsR-squared
AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodDurbin-WatsonstatUnweightedStatisticsR-squared
AdjustedR-squaredS.E.ofregressionDurbin-Watsonstat
Coefficient10.370510.630950
Std.Error2.6297160.018532
t-Statistic3.94358734.04667
Prob.0.00020.0000106.21018.6853766.9734707.04328115.551880.000219
119.666738.689844739.526
0.211441Meandependentvar0.197845S.D.dependentvar7.778892Akaikeinfocriterion3509.647Schwarzcriterion-207.2041F-statistic1.969805Prob(F-statistic)
0.946335Meandependentvar0.945410S.D.dependentvar9.039689Sumsquaredresid1.796748
STD_RESID_Method:
54Sample:
Coefficient238.8363-2.1395840.005690
Std.Error73.631910.9094930.002575
t-Statistic3.243652-2.3525022.209642
Prob.0.00200.02210.031258.4941259.4967810.9884411.093163.1384910.050925
3.138491Probability5.951910Probability
0.0509250.050999
0.099198Meandependentvar0.067591S.D.dependentvar57.45087Akaikeinfocriterion188134.3Schwarzcriterion-326.6533F-statistic1.606243Prob(F-statistic)
虽然White检验结果nR2=5.95191?
20.05
(2)=5.99147,显示已消除异方差,但R2=0.2114,拟合优度太低,不是理想的结果。
W2=1/X2
55Sample:
W2
Coefficient10.123270.633029
Std.Error2.7557750.024590
t-Statistic3.67347525.74374
Prob.0.00050.0000
UnweightedStatisticsR-squared
94.0120641.029657.0571307.1269411451.6600.000000
0.961581Meandependentvar0.960918S.D.dependentvar8.111184Akaikeinfocriterion3815.896Schwarzcriterion-209.7139F-statistic2.091305Prob(F-statistic)
119.666738.689844735.444
0.946381Meandependentvar0.945457S.D.dependentvar9.035795Sumsquaredresid1.795043
56Sample:
Coefficient735.7452-7.3807900.018132
Std.Error89.808821.1093090.003141
t-Statistic8.192349-6.6535055.772821
Prob.0.00000.00000.000063.59827106.242911.3856511.4903739.314550.000000
39.31455Probability34.78417Probability
0.0000000.000000
0.579736Meandependentvar0.564990S.D.dependentvar70.07281Akaikeinfocriterion279881.3Schwarzcriterion-338.5696F-statistic1.520939Prob(F-statistic)
虽然R2=0.9616,拟合优度很高,但White检验结果nR2=34.78417?
20.05
(2)=5.99147,显示异方差仍存在,不是理想的结
篇二:
计量经济学第三版庞皓课后习题答案
(1)对百户拥有家用汽车量建立计量经济模型,用Eviews分析如下:
?
Y
Method:
LeastSquares
Date:
05/24/15Time:
22:
28
Sample:
131
31C246.854051.975004.7494760.0001
X25.9968651.4060584.2650200.0002
X3-0.5240270.179280-2.9229500.0069
X4-2.2656800.518837-4.3668420.0002
R-squared0.666062Meandependentvar16.77355
AdjustedR-squared0.628957S.D.dependentvar8.252535
S.E.ofregression5.026889Akaikeinfocriterion6.187394
Sumsquaredresid682.2795Schwarzcriterion6.372424
Loglikelihood-91.90460Hannan-Quinncriter.6.247709
F-statistic17.95108Durbin-Watsonstat1.147253
Prob(F-statistic)0.000001
得到模型为
Y=246.8540+5.996865X2—0.524027X3—2.265680X4
对模型进行检验
1)可决系数是0.666062,修正的可决系数为0.628957,说明模型对样本拟合较好
2)F检验,F=17.95108F(3.27)=3.65,回归方程显著。
3)t检验,t统计量分别为4.749476,4.265050,-2.922950,-4.366843,均大于t(27)=2,0518,所以这些系数都是显著的。
依据
1)可决系数越大,说明拟合程度越好
2)F的值与临界值比较,若大于临界值,则否定原假设,回归方程是显著的;
若小于临界值,则接受原假设,回归方程不显著。
3)t的值与临界值比较,若大于临界值,则否定原假设,系数都是显著的;
若小于临界值,则接受原假设,系数不显著。
(2)经济意义:
人均GDP增加一万元,百户拥有家用汽车增加5.996865辆,城镇人口比重增加一个百分点,百户拥有家用汽车减少0.524047辆,交通工具消费价格指数每上升1,百户拥有家用汽车减少2.265680辆。
(3)模型改进:
收集其他年份的截面数据进行分析
3.3
(1)用Eviews分析得
05/26/15Time:
13:
13
118
18VariableCoefficientStd.Errort-StatisticProb.C-50.4868549.44365-1.0210990.3234
X0.0862140.0291982.9527250.0099
T52.436075.17660310.129430.0000R-squared0.951338Meandependentvar755.1222
AdjustedR-squared0.944850S.D.dependentvar258.7206
S.E.ofregression60.75813Akaikeinfocriterion11.20269
Sumsquaredresid55373.25Schwarzcriterion11.35109
Loglikelihood-97.82422Hannan-Quinncriter.11.22315
F-statistic146.6246Durbin-Watsonstat2.606756
Prob(F-statistic)0.000000
①模型为:
Y=-50.48685+0.086214X+52.43607T
②对模型进行检验:
1)可决系数是0.951338,修正的可决系数为0.944850,说明模型对样本拟合很好。
2)F检验,F=146.6246F(2,15)=4.77,回归方程显著。
3)t检验,t统计量分别为2.952725,10.12943,均大于t(15)=2.131,所以这些系数都是显著的。
经济意义检验:
模型估计结果说明,在假定其他变量不变的情况下,家庭月平均收入每增长1元,平均说来家庭书刊年消费支出会增长0.086214元;
户主受教育年数每增长1年,平均说来家庭书刊年消费支出增加52.43607元。
(2)用Eviews分析:
①
05/28/15Time:
30
18VariableCoefficientStd.Errort-StatisticProb.T63.016764.54858113.854160.0000
C-11.5817158.02290-0.1996060.8443
R-squared0.923054Meandependentvar
AdjustedR-squared0.918245S.D.dependentvar
S.E.ofregression73.97565Akaikeinfocriterion
Sumsquaredresid87558.36Schwarzcriterion
Loglikelihood-101.9481Hannan-Quinncriter.
F-statistic191.9377Durbin-Watsonstat
②
X
05/28/15Time:
34
18
VariableCoefficientStd.Errort-Statistic
T123.151631.841503.867644
C444.5888406.17861.094565
R-squared0.483182Meandependentvar
AdjustedR-squared0.450881S.D.dependentvar
S.E.ofregression517.8529Akaikeinfocriterion
Sumsquaredresid4290746.Schwarzcriterion
Loglikelihood-136.9753Hannan-Quinncriter.
F-statistic14.95867Durbin-Watsonstat
Prob(F-statistic)0.001364
以上分别是Y与T,X与T的一元回归
模型分别是:
Y=63.01676T-11.58171
X=123.1516T+444.5888
(3)用Eviews分析结果如下:
E1
05/29/15Time:
20:
39
E20.0864500.0284313.040742
C3.96E-1413.880832.85E-15
R-squared0.366239Meandependentvar
AdjustedR-squared0.326629S.D.dependentvar755.1222258.720611.5497911.6487211.563432.134043Prob.0.00140.28991942.933698.832515.4417015.5406315.455341.052251Prob.0.00781.00002.30E-1471.76693
S.E.ofregression58.89136Akaikeinfocriterion11.09370
Sumsquaredresid55491.07Schwarzcriterion11.19264
Loglikelihood-97.84334Hannan-Quinncriter.11.10735
F-statistic9.246111Durbin-Watsonstat
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