第七章 滞后变量案例分析.doc

第七章 滞后变量实验报告一、研究目的改革开放以来，我国对外贸易和吸引外资都取得了较快的发展，特别是20世纪90年代以来，FDI流入一直保持着迅猛的势头，对外贸易额和FDI在数量上呈现出稳定增长的趋势。而且通常FDI对我国对外贸易额的影响会持续一定的时间段。为了研究FDI对我国对外贸易发展规模的影响时间分布，以我国对外贸易总额为解释变量，FDI（外商直接投资）为被解释变量，建立回归模型，进行定量分析。二、模型设定设定初始模型为：Yt=+1Xt+ Ut 参数说明：Yt对外贸易总额 (单位：亿元)Xt外商直接投资FDI（单位：亿美元）Ut随机误差项收集到数据如下（见表2-1）表2-1 1985-2011年对外贸易总额和FDI数据年份对外贸易总额亿元FDI亿美元年份对外贸易总额亿元FDI亿美元19852066.719.56199929896.2403.1919862580.422.44200039273.2407.1519873084.2236468.7819883821.831.94200251378.2527.4319894155.933.92200370483.5535.0519905560.134.87200495539.1606.3019917225.843.662005116921.8603.2519929119.6110.082006140971.4630.21199311271275.152007166740.2747.68199420381.9337.672008179921.5923.95199523499.9375.212009150648.1900.33199624133.8417.262010201722.11057.35199726967.2452.572011236402.01160.11199826857.7454.63为了考察FDI对我国对外贸易总额的影响，首先估计如下模型：Yt=+1Xt+ Ut在Eviews主菜单中，命令栏中输入：Y C X，得到如下回归结果。 表2-2 初步回归结果Dependent Variable: YMethod: Least SquaresDate: 12/07/13 Time: 20:05Sample: 1985 2011Included observations: 27CoefficientStd. Errort-StatisticProb.C-22706.108422.495-2.6958870.0124X198.732715.6070012.733560.0000R-squared0.866413Mean dependent var62696.55Adjusted R-squared0.861069S.D. dependent var71023.40S.E. of regression26472.85Akaike info criterion23.27681Sum squared resid1.75E+10Schwarz criterion23.37280Log likelihood-312.2370Hannan-Quinn criter.23.30536F-statistic162.1436Durbin-Watson stat0.254949Prob(F-statistic)0.000000从回归结果来看，当期FDI对我国对外贸易额影响显著。为了分析FDI对我国对外贸易总额的滞后性影响，继续做FDI滞后一期的分布滞后模型估计，在Eviews主菜单命令栏中输入：Y C X X(-1)， 得到如下结果。 表2-3 滞后一期回归结果Dependent Variable: YMethod: Least SquaresDate: 12/07/13 Time: 21:19Sample (adjusted): 1986 2011Included observations: 26 after adjustmentsCoefficientStd. Errort-StatisticProb.C-25328.019049.259-2.7989040.0102X260.801897.083932.6863540.0132X(-1)-64.32031104.7087-0.6142780.5451R-squared0.868355Mean dependent var65028.47Adjusted R-squared0.856908S.D. dependent var71368.07S.E. of regression26996.79Akaike info criterion23.35299Sum squared resid1.68E+10Schwarz criterion23.49816Log likelihood-300.5889Hannan-Quinn criter.23.39479F-statistic75.85621Durbin-Watson stat0.286519Prob(F-statistic)0.000000从以上回归结果来看，上期FDI对当期我国对外贸易总额影响不显著，继续做FDI滞后二期的分布滞后模型估计。在Eviewis主菜单命令栏中输入：Y C X X(-1) X(-2)，结果如下图。表2-4 滞后二期回归结果Dependent Variable: YMethod: Least SquaresDate: 12/07/13 Time: 21:32Sample (adjusted): 1987 2011Included observations: 25 after adjustmentsCoefficientStd. Errort-StatisticProb.C-27868.879720.265-2.8670900.0092X271.607899.039772.7424110.0122X(-1)-140.4507149.4107-0.9400310.3579X(-2)75.52178106.60550.7084230.4865R-squared0.872009Mean dependent var67526.39Adjusted R-squared0.853725S.D. dependent var71670.33S.E. of regression27410.99Akaike info criterion23.42092Sum squared resid1.58E+10Schwarz criterion23.61594Log likelihood-288.7615Hannan-Quinn criter.23.47501F-statistic47.69145Durbin-Watson stat0.320168Prob(F-statistic)0.000000从以上回归结果来看， FDI滞后两期对当期我国对外贸易总额影响仍不显著，继续增加FDI滞后期数的模型估计，其中只有到滞后9期，其t检验值通过检验。在Eviews主菜单命令栏中输入：Y C X X(-1) X(-2) X（-3） X(-4) X(-5) X(-6) X(-7) X(-8) X(-9)回归结果如下： 表2-5 滞后九期回归结果Dependent Variable: YMethod: Least SquaresDate: 12/07/13 Time: 21:34Sample (adjusted): 1994 2011Included observations: 18 after adjustmentsCoefficientStd. Errort-StatisticProb.C-49389.8813636.03-3.6220140.0085X228.298188.349082.5840470.0363X(-1)-99.40283124.2913-0.7997570.4501X(-2)27.72987116.95830.2370920.8194X(-3)38.48884139.29310.2763150.7903X(-4)7.175291175.61870.0408570.9686X(-5)-16.26624204.4271-0.0795700.9388X(-6)-25.40574223.6458-0.1135980.9127X(-7)67.25972225.39420.2984090.7741X(-8)-206.4725203.6285-1.0139670.3444X(-9)295.8591115.09442.5705770.0370R-squared0.977960Mean dependent var91328.97Adjusted R-squared0.946474S.D. dependent var71456.39S.E. of regression16531.91Akaike info criterion22.54173Sum squared resid1.91E+09Schwarz criterion23.08585Log likelihood-191.8756Hannan-Quinn criter.22.61676F-statistic31.06033Durbin-Watson stat1.178495Prob(F-statistic)0.000075 从上述结果看，只有到FDI滞后九期才对当期对外贸易总额影响显著。从实际情况来看，确定这是不相符的，2011年中国加入世界贸易组织仅十年时间，理论和实际都表明FDI对我国对外贸易发展影响快速显著。因此，将本案例估计模型改为自回归分布滞后模型来分析。经过分析测试滞后期数，最终得到如下相对合理结果 。表2-6 最终结果 Method: Least SquaresDate: 12/07/13 Time: 21:38Sample (adjusted): 1987 2011Included observations: 25 after adjustmentsCoefficientStd. Errort-StatisticProb.C-2800.2354581.727-0.6111750.5480X120.652842.344242.8493330.0099X(-1)-216.698860.51201-3.5810880.0019Y(-1)0.9772250.09321610.483460.0000X(-2)127.942543.153392.9648310.0077R-squared0.980294Mean dependent var67526.39Adjusted R-squared0.976353S.D. dependent var71670.33S.E. of regression11021.09Akaike info criterion21.62987Sum squared resid2.43E+09Schwarz criterion21.87364Log likelihood-265.3733Hannan-Quinn criter.21.69748F-statistic248.7351Durbin-Watson stat1.447337Prob(F-statistic)0.000000最后得到的回归模型为： t =2800.235+120.6528 Xt216.6988 X