《计量经济学》课程作业.doc

本文档系作者精心整理编辑，实用价值高。计量经济学课程作业专 业 金 融班 级 金融1212学 号 1201151204姓 名 彭佳乐 计量经济学 第二版 （庞浩）第二章 一元线性相关2.1 研究深圳市地方预算收入与国内生产总值的关系Dependent Variable: YMethod: Least SquaresDate: 06/19/13 Time: 16:36Sample: 1990 2001Included observations: 12VariableCoefficientStd. Errort-StatisticProb.C-3.6111514.161790-0.8676920.4059X0.1345820.00386734.800130.0000R-squared0.991810Mean dependent var119.8793Adjusted R-squared0.990991S.D. dependent var79.36124S.E. of regression7.532484Akaike info criterion7.027338Sum squared resid567.3831Schwarz criterion7.108156Log likelihood-40.16403F-statistic1211.049Durbin-Watson stat2.051640Prob(F-statistic)0.000000 1）设回归模型为： 由图可知 -3.611151+0.134582 （4.161790）（0.003867） t =（-0.867692）（34.80013） =0.991810 F=1211.049 n=122）经济意义：所估计的参数=-3.611151，=0.134582，说明国内生产总值每增加1亿元，地方预算内财政收入平均增加0.315亿元。3）拟合优度的度量：由表中可以看出，本题中的可决系数 =0.991810，说明所建的模型整体上对样本数据拟合较好，即解释变量“国内生产总值”对被解释变量“地方预算内财政收入”的绝大部分差异做出了解释。4）预测：点预测 2008年GDP为3600亿元，则地方预算内财政收入为480.884049亿元。 = -3.611151+ 0.134582*3600=480.884049 第五章 异方差性5.4 个人储蓄 与个人收入关系1）Dependent Variable: YMethod: Least SquaresDate: 06/21/13 Time: 17:12Sample: 1901 1931Included observations: 31VariableCoefficientStd. Errort-StatisticProb.C-648.1236118.1625-5.4850180.0000X0.0846650.00488217.341640.0000R-squared0.912050Mean dependent var1250.323Adjusted R-squared0.909017S.D. dependent var820.9407S.E. of regression247.6234Akaike info criterion13.92404Sum squared resid1778203.Schwarz criterion14.01655Log likelihood-213.8226F-statistic300.7324Durbin-Watson stat0.911579Prob(F-statistic)0.000000由图可得到一元回归函数 se=（118.1625） （0.004882） 用white检验其异方差性White Heteroskedasticity Test:F-statistic7.840687Probability0.001977Obs*R-squared11.12883Probability0.003832Test Equation:Dependent Variable: RESID2Method: Least SquaresDate: 06/21/13 Time: 17:16Sample: 1901 1931Included observations: 31VariableCoefficientStd. Errort-StatisticProb.C11957.4969304.550.1725350.8643X-1.0850046.784670-0.1599200.8741X20.0001190.0001470.8086230.4255R-squared0.358995Mean dependent var57361.38Adjusted R-squared0.313208S.D. dependent var68305.92S.E. of regression56607.09Akaike info criterion24.81742Sum squared resid8.97E+10Schwarz criterion24.95619Log likelihood-381.6700F-statistic7.840687Durbin-Watson stat1.842409Prob(F-statistic)0.001977由图表可以看出 11.12883，在=0.05下，查表知=3.84146，因为11.12883=3.84146,所以拒绝原假设，表明模型存在异方差。2）分别用权数经检验估计发现用全数的效果最好Dependent Variable: YMethod: Least SquaresDate: 06/23/13 Time: 19:06Sample: 1901 1931Included observations: 31Weighting series: W2VariableCoefficientStd. Errort-StatisticProb. C-652.473479.37501-8.2201360.0000X0.0828240.00661612.519330.0000Weighted StatisticsR-squared0.010693 Mean dependent var593.3507Adjusted R-squared-0.023421 S.D. dependent var193.6396S.E. of regression195.8941 Akaike info criterion13.45537Sum squared resid1112860. Schwarz criterion13.54788Log likelihood-206.5582 F-statistic156.7337Durbin-Watson stat0.953349 Prob(F-statistic)0.000000Unweighted StatisticsR-squared0.908426 Mean dependent var1250.323Adjusted R-squared0.905269 S.D. dependent var820.9407S.E. of regression252.6729 Sum squared resid1851464.Durbin-Watson stat0.882689 t=(-8.220136） （12.51933） =0.010693 DW=0.953349 F=156.7337第六章 自相关性6.1 个人实际可支配收入和个人实际消费问题1）Dependent Variable: YMethod: Least SquaresDate: 06/21/13 Time: 08:49Sample: 1960 1995Included observations: 36VariableCoefficientStd. Errort-StatisticProb.C-9.4287452.504347-3.7649510.0006X0.9358660.007467125.34110.0000R-squared0.997841Mean dependent var289.9444Adjusted R-squared0.997777S.D. dependent var95.82125S.E. of regression4.517862Akaike info criterion5.907908Sum squared resid693.9767Schwarz criterion5.995881Log likelihood-104.3423F-statistic15710.39Durbin-Watson stat0.523428Prob(F-statistic)0.000000有上面的图可得到 (2.504347) (0.007467)R2 = 0.9978，F = 15710.39 ，DW = 0.5234282） 根据上一问得到的数据，样本量为36，显著水平5%，查DW统计表可得到=1.411，=1.525 DW=1.411,显然模型中有自相关。3）使用广义差分法来处理自相关问题Dependent Variable: EMethod: Least SquaresDate: 06/24/13 Time: 20:46Sample(adjusted): 1961 1995Included observations: 35 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. E(-1)0.7285500.1186766.1389950.0000R-squared0.525100 Mean dependent var-0.157079Adjusted R-squared0.525100 S.D. dependent var4.415507S.E. of regression3.042858 Akaike info criterion5.091627Sum squared resid314.8055 Schwarz criterion5.136065Log likelihood-88.10347 Durbin-Watson stat2.024396由图可到回归方程：Dependent Variable: Y-0.72855*Y(-1)Method: Least SquaresDate: 06/24/13 Time: 20:57Sample(adjusted): 1961 1995Included observations: 35 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C-3.7830591.870964-2.0219840.0513X-0.72855*X(-1)0.9484060.01890550.168200.0000R-squared0.987058 Mean dependent var86.40203Adjusted R-squared0.986666 S.D. dependent var26.56943S.E. of regression3.068065 Akaike info criterion5.135417Sum squared resid310.6298 Schwarz criterion5.224294Log likelihood-87.86979 F-statistic2516.848Durbin-Watson stat2.097157 Prob(F-statistic)0.000000由上表可得回归方程： (1.870964) (0.018905) t=(-2.021984) (50.1682) 0.987058 F=2516.848 DW=2.097157=-0.72855 =-0.728550.5%的显著水平 n=35，查DW表知dL = 1.402，dU = 1.519 dU DW4- dU 说明在0.5%的显著水平下广义差分模型中已无自相关，不必在迭代。由差分方程式 最终的个人实际可支配收入与实际消费支出模型为：=-13.9336+0.948406第七章 分布滞后模型73 分布滞后模型： 系数（i=0,1,2,3,4）即，因此原模型可变形为：Dependent Variable: YMethod: Least SquaresDate: 06/22/13 Time: 15:41Sample: 1980 2001Included observations: 22VariableCoefficientStd. Errort-StatisticProb. C-18.801994.097403-4.5887580.0002X0.8380790.02547232.902410.0000R-squared0.981861 Mean dependent var105.9336Adjusted R-squared0.980954 S.D. dependent var52.83141S.E. of regression7.291201 Akaike info criterion6.897722Sum squared resid1063.232 Schwarz criterion6.996907Log likelihood-73.87494 F-statistic1082.569Durbin-Watson stat1.031687 Prob(F-statistic)0.000000 Dependent Variable: YMethod: Least SquaresDate: 06/22/13 Time: 15:47Sample(adjusted): 1984 2001Included observations: 18 after adjusting endpointsVariableCoefficientStd. Errort-StatisticPro