计量经济学作业

1、计量经济学作业3.2（1）用Eviews分析如下Dependent Variable: YMethod: Least SquaresDate: 12/01/14 Time: 20:25Sample: 1994 2011Included observations: 18VariableCoefficientStd. Errort-StatisticProb.X20.1354740.01279910.584540.0000X318.853489.7761811.9285120.0729C-18231.588638.216-2.1105730.0520R-squared0.985838Mean de

2、pendent var6619.191Adjusted R-squared0.983950S.D. dependent var5767.152S.E. of regression730.6306Akaike info criterion16.17670Sum squared resid8007316.Schwarz criterion16.32510Log likelihood-142.5903Hannan-Quinn criter.16.19717F-statistic522.0976Durbin-Watson stat1.173432Prob(F-statistic)0.000000由表可

3、知模型为：Y = 0.135474X2 + 18.85348X3 - 18231.58检验：可决系数是0.985838，修正的可决系数为0.983950，说明模型对样本拟合较好。 F检验，F=522.0976F（2,15）=4.77，回归方程显著。 t检验，t统计量分别为X2的系数对应t值为10.58454，大于t（15）=2.131，系数是显著的，X3的系数对应t值为1.928512，小于t（15）=2.131，说明此系数是不显著的。（2）（2）表内数据ln后重新输入数据：Dependent Variable: LNYMethod: Least SquaresDate: 10/25/15 T

4、ime: 22:18Sample: 1994 2011Included observations: 18VariableCoefficientStd. Errort-StatisticProb.C-10.810901.698653-6.3643970.0000LNX21.5737840.09154717.191060.0000X30.0024380.0009362.6053210.0199R-squared0.986373Mean dependent var8.400112Adjusted R-squared0.984556S.D. dependent var0.941530S.E. of r

5、egression0.117006Akaike info criterion-1.302176Sum squared resid0.205355Schwarz criterion-1.153780Log likelihood14.71958Hannan-Quinn criter.-1.281714F-statistic542.8930Durbin-Watson stat0.684080Prob(F-statistic)0.000000模型为 lny=-10.81090+1.573784lnx2+0.002438x3检验：经济意义为其他条件不变的情况下，工业增加值每增加一个单位百分比出口货物总和

6、增加1.57单位百分比，汇率每增加一单位百分比，出口总额增加0.0024个单位百分比。拟合优度检验，R2=0.986373 修正可决系数为0.984556，拟合很好。F检验对于H0:X2=X3=0，给定显著性水平a=0.05 F(2,15)=4.77 F=542.8930F(2,15) 显著t检验对于H0:Xj =0（j=2,3），给定显著性水平a=0.05 t（15）=2.131 当j=2时tt(15)显著，当j=3时 tt(15)显著。(3)两个模型表现出的汇率对Y的印象存在巨大差异 3.3（1）用Eviews分析如下Dependent Variable: YMethod: Least S

7、quaresDate: 12/01/14 Time: 20:30Sample: 1 18Included observations: 18VariableCoefficientStd. Errort-StatisticProb.X0.0864500.0293632.9441860.0101T52.370315.20216710.067020.0000C-50.0163849.46026-1.0112440.3279R-squared0.951235Mean dependent var755.1222Adjusted R-squared0.944732S.D. dependent var258.

8、7206S.E. of regression60.82273Akaike info criterion11.20482Sum squared resid55491.07Schwarz criterion11.35321Log likelihood-97.84334Hannan-Quinn criter.11.22528F-statistic146.2974Durbin-Watson stat2.605783Prob(F-statistic)0.000000由表可知模型为：Y = 0.086450X + 52.37031T-50.01638检验：可决系数是0.951235，修正的可决系数为0.9

9、44732，说明模型对样本拟合较好。 F检验，F=539.7364 F（2,15）=4.77，回归方程显著。 t检验，t统计量分别为2.944186，10.06702，均大于t（15）=2.131，所以这些系数都是显著的。经济意义：家庭月平均收入增加1元，家庭书刊年消费支出增加0.086450元，户主受教育年数增加1年，家庭书刊年消费支出增加52.37031元。（2）用Eviews分析如下Y与T的一元回归Dependent Variable: YMethod: Least SquaresDate: 12/01/14 Time: 22:30Sample: 1 18Included observa

10、tions: 18VariableCoefficientStd. Errort-StatisticProb.T63.016764.54858113.854160.0000C-11.5817158.02290-0.1996060.8443R-squared0.923054Mean dependent var755.1222Adjusted R-squared0.918245S.D. dependent var258.7206S.E. of regression73.97565Akaike info criterion11.54979Sum squared resid87558.36Schwarz

11、 criterion11.64872Log likelihood-101.9481Hannan-Quinn criter.11.56343F-statistic191.9377Durbin-Watson stat2.134043Prob(F-statistic)0.000000模型：Y = 63.01676T - 11.58171X与T的一元回归Dependent Variable: XMethod: Least SquaresDate: 12/01/14 Time: 22:34Sample: 1 18Included observations: 18VariableCoefficientSt

12、d. Errort-StatisticProb.T123.151631.841503.8676440.0014C444.5888406.17861.0945650.2899R-squared0.483182Mean dependent var1942.933Adjusted R-squared0.450881S.D. dependent var698.8325S.E. of regression517.8529Akaike info criterion15.44170Sum squared resid4290746.Schwarz criterion15.54063Log likelihood

13、-136.9753Hannan-Quinn criter.15.45534F-statistic14.95867Durbin-Watson stat1.052251Prob(F-statistic)0.001364模型：X = 123.1516T + 444.5888（3）对残差模型进行分析，用Eviews分析如下Dependent Variable: E1Method: Least SquaresDate: 12/03/14 Time: 20:39Sample: 1 18Included observations: 18VariableCoefficientStd. Errort-Stati

14、sticProb.E20.0864500.0284313.0407420.0078C3.96E-1413.880832.85E-151.0000R-squared0.366239Mean dependent var2.30E-14Adjusted R-squared0.326629S.D. dependent var71.76693S.E. of regression58.89136Akaike info criterion11.09370Sum squared resid55491.07Schwarz criterion11.19264Log likelihood-97.84334Hanna

15、n-Quinn criter.11.10735F-statistic9.246111Durbin-Watson stat2.605783Prob(F-statistic)0.007788模型：E1 = 0.086450E2 + 3.96e-14参数：斜率系数为0.086450，截距为3.96e-14（4）由上可知，2与2的系数是一样的。回归系数与被解释变量的残差系数是一样的，它们的变化规律是一致的。3.4为了分析中国税收收入（Y）与国内生产总值（X2）、财政支出（X3）、商品零售价格指数（X4）的关系，利用19782007年的数据，用EViews作回归，部分结果如下：表3 回归结果Depend

16、ent Variable: LNYMethod: Least SquaresDate: 06/30/13 Time: 19:39Sample: 1978 2007Included observations: 30VariableCoefficientStd. Errort-StatisticProb. C-2.7553670.640080（1）0.0002LNX20.451234（2）3.1748310.0038LNX30.6271330.161566（3）0.0006X4（4） 0.0056451.7955670.0842R-squared0.987591 Mean dependent va

17、r8.341376Adjusted R-squared（5） S.D. dependent var1.357225S.E. of regression（6） Akaike info criterion-0.707778Sum squared resid0.662904 Schwarz criterion-0.520952Log likelihood14.61668 F-statistic（7）Durbin-Watson stat0.616136 Prob(F-statistic)0.000000填补表中空缺数据：（1）t c=4.304723（2）=0.130789（3）=3.881590（4）=0.010136（5）=0.986159（6）S.E of regression回归标准差=0.154783（7）=689.751148分析回归结果：根据图中数据，模型估计的结果写为：=-2.755367+0.451234+0.627133+0.0101361) 拟合优度：由上图数据可以得到，可决系数=0.987591，修正的可决系数=0.986159，这说明模型对样本的拟合很好。2)F检验：针对，给定显著性水平，在F分布表中查出自由度为k-1=3和n-k=26的临界值=8.63。由上图得到F=689.751148，由于F=689.751148，应拒绝原假设，说明回归方程