《计量经济学》(庞浩第一版)第七章分布滞后模型与自回归模型eviews上机操作.doc

第七章分布滞后模型与自回归模型案例分析一、问题的提出和模型设定货币主义学派认为，产生通货膨胀的必要条件是货币的超量供应。物价变动与货币供应量的变化有着较为密切的联系，但是二者之间的关系不是瞬时的，货币供应量的变化对物价的影响存在一定时滞。在中国，大家普遍认同货币供给的变化对物价具有滞后影响，但滞后期究竟有多长，还存在不同的认识。下面采集19962005年全国广义货币供应量和物价指数的月度数据对这一问题进行研究。 月度广义货币M2广义货币增长量M2z居民消费价格同比指数tbzs 月度广义货币M2广义货币增长量M2z居民消费价格同比指数tbzs (千亿元）（千亿元） (千亿元）（千亿元）Jan-9658.401Oct-00129.522-0.9518100Feb-9663.7785.377109.3Nov-00130.99411.4721101.3Mar-9664.5110.733109.8Dec-00134.61033.6162101.5Apr-9665.7231.212109.71-Jan137.54362.9333101.2May-9666.881.157108.91-Feb136.2102-1.3334100Jun-9668.1321.252108.61-Mar138.74452.5343100.8Jul-9669.3461.214108.31-Apr139.94991.2054101.6Aug-9672.3092.963108.11-May139.0158-0.9341101.7Sep-9669.643-2.666107.41-Jun147.80978.7939101.4Oct-9673.15223.50921071-Jul149.22871.419101.5Nov-9674.1420.9898106.91-Aug149.94180.7131101Dec-9676.09491.95291071-Sep151.82261.880899.9Jan-9778.6482.5531105.91-Oct151.4973-0.3253100.2Feb-9778.9980.35105.61-Nov154.08832.59199.7Mar-9779.8890.8911041-Dec158.30194.213699.7Apr-9780.8180.929103.22-Jan159.63931.337499May-9781.1510.333102.82-Feb160.93561.2963100Jun-9782.7891.638102.82-Mar164.06463.12999.2Jul-9783.460.671102.72-Apr164.57060.50698.7Aug-9784.7461.286101.92-May166.0611.490498.9Sep-9785.8921.146101.82-Jun169.60123.540299.2Oct-9786.6440.752101.52-Jul170.85111.249999.1Nov-9787.590.946101.12-Aug173.25092.399899.3Dec-9790.99533.4053100.42-Sep176.98243.731599.3Jan-9892.21141.2161100.32-Oct177.29420.311899.2Feb-9892.024-0.187499.92-Nov179.73632.442199.3Mar-9892.015-0.009100.72-Dec185.00735.27199.6Apr-9892.6620.64799.73-Jan190.48835.481100.4May-9893.9361.274993-Feb190.1084-0.3799100.2Jun-9894.6580.72298.73-Mar194.48734.3789100.9Jul-9896.3141.65698.63-Apr196.13011.6428101Aug-9897.2990.98598.63-May199.50523.3751100.7Sep-9899.7952.49698.53-Jun204.93145.4262100.3Oct-98100.87521.080298.93-Jul206.19311.2617100.5Nov-98102.2291.353898.83-Aug210.59194.3988100.9Dec-98104.49852.2695993-Sep213.56712.9752101.1Jan-99105.51.001598.83-Oct214.46940.9023101.8Feb-99107.7782.27898.73-Nov216.35171.8823103Mar-99108.4380.6698.23-Dec221.22284.8711103.2Apr-99109.2180.7897.84-Jan225.101933.87913103.2May-99110.0610.84397.84-Feb227.050721.94879102.1Jun-99111.3631.30297.94-Mar231.65464.60388103Jul-99111.4140.05198.64-Apr233.627861.97326103.8Aug-99112.8271.41398.74-May234.84241.21454104.4Sep-99115.0792.25299.24-Jun238.427493.58509105Oct-99115.390.31199.44-Jul234.8424-3.58509105.3Nov-99116.5591.16999.14-Aug239.729194.88679105.3Dec-99119.8983.339994-Sep243.7574.02781105.2Jan-00121.221.32299.84-Oct243.74-0.017104.3Feb-00121.58340.3634100.74-Nov247.135583.39558102.8Mar-00122.58070.997399.84-Dec253.20776.07212102.4Apr-00124.12191.541299.75-Jan257.752834.54513101.9May-00124.0533-0.0686100.15-Feb259.35611.60327103.9Jun-00126.60532.552100.55-Mar264.58895.2328102.7Jul-00126.3239-0.2814100.55-Apr266.992662.40376101.8Aug-00127.791.4661100.35-May269.22942.23674101.8Sep-00130.47382.6838100Eviews上机具体操作：利用eviews3.0进行分析第一步：建立数据1新建工作文档：file-new-workfile，在打开的workfile range对话框中的workfile frequency 中选择monthly，start date输入1996-1，end date输入2005-5，点击ok。2输入数据（先是data y x2 x3然后是将excel中的数据复制过来即可）并保存本题在命令窗口输入data TBZS M2Z，并点击name命名为GROUP01.然后将上面的数据录入。第二步 分析数据为了考察货币供应量的变化对物价的影响，我们用广义货币M2的月增长量用广义货币作为解释变量，以居民消费价格月度同比指数TBZS为被解释变量进行研究。首先估计如下回归模型:在命令窗口输入ls TBZS C M2Z ，并点击name命名为EQ01.得到如下回归Dependent Variable: TBZSMethod: Least SquaresDate: 12/20/12 Time: 10:23Sample(adjusted): 1996:02 2005:05Included observations: 112 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C101.43560.397419255.23580.0000M2Z0.0683710.1518720.4501900.6535R-squared0.001839 Mean dependent var101.5643Adjusted R-squared-0.007235 S.D. dependent var2.911111S.E. of regression2.921623 Akaike info criterion4.999852Sum squared resid938.9472 Schwarz criterion5.048396Log likelihood-277.9917 F-statistic0.202671Durbin-Watson stat0.047702 Prob(F-statistic)0.653460从回归结果来看，的t统计量值不显著，表明当期货币供应量的变化对当期物价水平的影响在统计意义上不明显。为了分析货币供应量变化影响物价的滞后性，我们做滞后6个月的分布滞后模型的估计.在命令窗口输入ls TBZS C M2Z M2Z(-1) M2Z(-2) M2Z(-3) M2Z(-4) M2Z(-5) M2Z(-6)，并点击name命名为EQ02.Dependent Variable: TBZSMethod: Least SquaresDate: 12/20/12 Time: 10:27Sample(adjusted): 1996:08 2005:05Included observations: 106 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C100.04920.584318171.22400.0000M2Z-0.0110370.140613-0.0784930.9376M2Z(-1)0.0161690.1379980.1171660.9070M2Z(-2)0.0530440.1368080.3877230.6991M2Z(-3)0.0286790.1431550.2003330.8416M2Z(-4)0.1308250.1391830.9399510.3496M2Z(-5)0.1377940.1425020.9669650.3359M2Z(-6)0.2487780.1433941.7349240.0859R-squared0.055557 Mean dependent var101.1377Adjusted R-squared-0.011904 S.D. dependent var2.347946S.E. of regression2.361879 Akaike info criterion4.629264Sum squared resid546.6902 Schwarz criterion4.830278Log likelihood-237.3510 F-statistic0.823546Durbin-Watson stat0.094549 Prob(F-statistic)0.570083从回归结果来看，各滞后期的系数逐步增加，表明当期货币供应量的变化对物价水平的影响要经过一段时间才能逐步显现。但各滞后期的系数的t统计量值不显著，因此还不能据此判断滞后期究竟有多长。为此，我们做滞后12个月的分布滞后模型的估计.在命令窗口输入ls TBZS C M2Z M2Z(-1) M2Z(-2) M2Z(-3) M2Z(-4) M2Z(-5) M2Z(-6) M2Z(-7) M2Z(-8) M2Z(-9) M2Z(-10) M2Z(-11) M2Z(-12)，并点击name命名为EQ03.Dependent Variable: TBZSMethod: Least SquaresDate: 12/20/12 Time: 10:30Sample(adjusted): 1997:02 2005:05Included observations: 100 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C98.356680.467897210.21020.0000M2Z-0.1676650.121743-1.3772030.1720M2Z(-1)-0.0320650.111691-0.2870840.7747M2Z(-2)-0.0009950.111464-0.0089250.9929M2Z(-3)0.0042430.1138150.0372760.9704M2Z(-4)0.1065810.1127270.9454800.3471M2Z(-5)0.0432170.1131610.3819080.7035M2Z(-6)0.1175810.1184600.9925750.3237M2Z(-7)0.1404180.1155711.2149880.2277M2Z(-8)0.2208750.1143681.9312710.0567M2Z(-9)0.1408750.1153541.2212470.2253M2Z(-10)0.1804970.1158951.5574100.1230M2Z(-11)0.2469110.1255431.9667520.0524M2Z(-12)0.3923590.1300583.0167980.0034R-squared0.317136 Mean dependent var100.7830Adjusted R-squared0.213913 S.D. dependent var1.890863S.E. of regression1.676469 Akaike info criterion4.000434Sum squared resid241.7072 Schwarz criterion4.365158Log likelihood-186.0217 F-statistic3.072325Durbin-Watson stat0.265335 Prob(F-statistic)0.000906上表显示，从M2Z到M2Z(-11), 回归系数都不显著异于零(P值均大于0.05)，而M2Z(-12)的回归系数t统计量值为3.016798，在5显著性水平下拒绝系数为零的原假设。这一结果表明，当期货币供应量变化对物价水平的影响在经过12个月（即一年）后明显地显现出来。为了考察货币供应量变化对物价水平影响的持续期，我们做滞后18个月的分布滞后模型的估计。在命令窗口输入ls TBZS C M2Z M2Z(-1) M2Z(-2) M2Z(-3) M2Z(-4) M2Z(-5) M2Z(-6) M2Z(-7) M2Z(-8) M2Z(-9) M2Z(-10) M2Z(-11) M2Z(-12) M2Z(-13) M2Z(-14) M2Z(-15) M2Z(-16) M2Z(-17) M2Z(-18)，并点击name命名为EQ04.Dependent Variable: TBZSMethod: Least SquaresDate: 12/20/12 Time: 10:33Sample(adjusted): 1997:08 2005:05Included observations: 94 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C97.414110.370000263.28150.0000M2Z-0.0836490.094529-0.8849000.3791M2Z(-1)-0.1167440.093984-1.2421610.2181M2Z(-2)-0.1199390.094428-1.2701560.2080M2Z(-3)-0.0929930.095720-0.9715090.3345M2Z(-4)-0.0329120.095823-0.3434680.7322M2Z(-5)-0.0238910.097813-0.2442560.8077M2Z(-6)0.0172900.1006450.1717940.8641M2Z(-7)0.0282880.0975700.2899290.7727M2Z(-8)0.0487080.0958770.5080210.6129M2Z(-9)0.0259950.0975690.2664220.7907M2Z(-10)0.1182470.0967641.2220110.2256M2Z(-11)0.1574080.1025581.5348150.1291M2Z(-12)0.2712810.1123162.4153260.0182M2Z(-13)0.3257600.1092172.9826840.0039M2Z(-14)0.3962420.1070463.7016010.0004M2Z(-15)0.3354820.1067763.1419410.0024M2Z(-16)0.2708110.1072222.5256970.0137M2Z(-17)0.2000240.1092781.8304150.0712M2Z(-18)0.1696960.1015471.6711140.0989R-squared0.610520 Mean dependent var100.6085Adjusted R-squared0.510519 S.D. dependent var1.795733S.E. of regression1.256348 Akaike info criterion3.480597Sum squared resid116.8024 Schwarz criterion4.021724Log likelihood-143.5881 F-statistic6.105105Durbin-Watson stat0.308938 Prob(F-statistic)0.000000结果表明，从滞后12个月开始t统计量值显著，一直到滞后16个月为止，从滞后第17个月开始t值变得不显著；再从回归系数来看，从滞后11个月开始，货币供应量变化对物价水平的影响明显增加，再滞后14个月时达到最大，然后逐步下降。通过上述一系列分析，我们可以做出这样的