2011冬季本科生选修计量经济学复习题.doc

一、解释下列概念0）总体回归函数1) 回归分析2) 虚拟变量3) 随机误差项（ui）和残差项（ei）4) 拟合优度检验5) R2检验6) 单位根检验二、简答题1.简述线性回归模型最小二乘法的基本假定；为了假设检验，还应该增加什么假定？如果是多元回归模型，还应增加什么假定？2.多重共线性可能产生的后果主要有哪些? 3.什么单整？什么是协整？，什么是误差修正机制？它和协整有什么关系？4简述结构方程识别的阶条件和秩条件的步骤。5计量经济模型中为何要包括随机误差项？简述随机误差项形成的原因。6什么是异方差性？举例说明经济现象中的异方差性。检验异方差性的方法思路是什么？7什么是序列相关性？举例说明经济现象中序列相关性的存在。检验序列相关性的方法思路是什么？四、计量软件输出结果分析题1.（1）试由下表判断序列lnY 和lnX是否具有平稳性（2）由下表试判断lnY和lnX的单整性 五、填写下列EVIEWS输出结果中的空白（附答案）：（1）Dependent Variable: YMethod: Least SquaresDate: 08/20/97 Time: 01:24Sample(adjusted): 1959:01 1989:12Included observations: 340Excluded observations: 32 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb.C0.1542060.8746830.3824X-0.0006450.0024030.7885R-squaredMean dependent var0.108655Adjusted R-squared-0.002745S.D. dependent var0.883724S.E. of regression0.884936Akaike info criterion2.599262Sum squared residSchwarz criterion2.621786Log likelihood-439.8746F-statisticDurbin-Watson stat1.965179Prob(F-statistic)0.788467Dependent Variable: YMethod: Least SquaresDate: 08/20/97 Time: 01:24Sample(adjusted): 1959:01 1989:12Included observations: 340Excluded observations: 32 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb.C0.1542060.1762990.8746830.3824X-0.0006450.002403-0.2685150.7885R-squared0.000213Mean dependent var0.108655Adjusted R-squared-0.002745S.D. dependent var0.883724S.E. of regressionAkaike info criterion2.599262Sum squared resid264.6919Schwarz criterion2.621786Log likelihood-439.8746F-statisticDurbin-Watson stat1.965179Prob(F-statistic)0.788467（2）Dependent Variable: LOG(M1)Method: Least SquaresDate: 08/19/97 Time: 05:02Sample: 1959:01 1989:12Included observations: 372VariableCoefficientStd. Errort-StatisticProb.C0.164954-10.305390.0000LOG(IP)1.76586640.551990.0000TB3-0.0118950.0046280.0106R-squared0.886416Mean dependent var5.663717Adjusted R-squared0.885800S.D. dependent var0.553903S.E. of regressionAkaike info criterion-0.505429Sum squared resid12.92882Schwarz criterion-0.473825Log likelihood97.00980F-statistic1439.848Durbin-Watson stat0.008687Prob(F-statistic)0.000000Dependent Variable: LOG(M1)Method: Least SquaresDate: 08/19/97 Time: 05:02Sample: 1959:01 1989:12Included observations: 372VariableCoefficientStd. Errort-StatisticProb.C-1.6999120.164954-10.305390.0000LOG(IP)1.7658660.04354640.551990.0000TB3-0.0118950.004628-2.5700160.0106R-squared0.886416Mean dependent var5.663717Adjusted R-squared0.885800S.D. dependent var0.553903S.E. of regression0.187183Akaike info criterion-0.505429Sum squared