计量经济学第三次实验报告.doc

课程名称：计量经济学调查报告题目：随机解释变量分析学生姓名学号：汪佳瑶 2013105020所在院系：经济学院2013级经济统计专业日期：2015年6月20日1、 实验目的：掌握用Eviews检验模型中随机解释变量的方法，学会豪斯曼检验和工具变量法2、 实验内容：1. 以1983-2013年中国城镇居民人均消费为被解释变量，人均可支配收入和前一年人均消费为解释变量，建立模型。数据来自2014统计年鉴。2. 选择工具变量3. 采用豪斯曼检验，判断城镇居民人均可支配收入是否为内生变量4. 采用工具变量估计3、 实验步骤：1. 建立工作表，导入EXCEL数据，在命令窗口输入 LS Y C X1 X2，点击enter,可得原模型最小二乘法估计obsYX1X2Z11516121810134711910921126517175112431578139997137868697117594794310493718294215651184726030770265309686049986280746165854433254258418651603919483893538428328513496102111257716722026111454170012791510121211137311041181138841002799899146737395596511550656547152616457491412477Dependent Variable: YMethod: Least SquaresDate: 06/24/15 Time: 16:59Sample: 1 16Included observations: 16VariableCoefficientStd. Errort-StatisticProb.C249.937811298103139.64889066844781.7897586590322540.09680072290437808X10.39787273264761480.17408210873296992.2855463754631130.03970889470833046X20.45066865008292560.27700544554167751.6269306518565150.1277349700661276R-squared0.9956787058239001Mean dependent var4738.875Adjusted R-squared0.9950138913352694S.D. dependent var4413.E. of regression311.6232288551938Akaike info criterion14.48882741813145Sum squared resid1262417.477907774Schwarz criterion14.63368780355141Log likelihood-112.9106193450516Hannan-Quinn criter.14.49624545833328F-statistic1497.679010989362Durbin-Watson stat2.166335430262757Prob(F-statistic)4.280454747098539e-16Y=249.937+0.39787X1+0.4506X2(1.78) (2.28) (1.62)F=1497.67 DW=2.166335432. 如果考虑居民人均消费支出（Y）由人均可支配收入（X1）决定的同时，人均消费支出（Y）又反过来影响着同期居民人均可支配收入。所以死那些在模型中独立列出而纳入随机干扰项的影响居民人均消费支出的因素，也影响着居民可支配收入。据此有理由怀疑居民可支配收入和随机干扰项u同期相关对前一年城镇居民消费支出而言，它影响着当年的消费支出，而当年的消费支出不会反过来影响前一年的消费支出，因此可认为X2是同期外生变量。3. 选择前一年的可支配收入Z作为X1的工具变量，Z与原模型的随机干扰项不会存在同期相关性，将X1关于X2。Z进行普通最小二乘估计得到Dependent Variable: X1Method: Least SquaresDate: 06/24/15 Time: 17:01Sample: 1 16Included observations: 16VariableCoefficientStd. Errort-StatisticProb.C70.58253532737854154.67324510001680.45633318989161660.6556808130450225X2-0.24582406930104920.3815450051854325-0.64428590588304960.5305944029944285Z1.2974957551393930.26974719168242754.8100436080421940.0003406533811147322R-squared0.9981638320306457Mean dependent var6396.25Adjusted R-squared0.9978813446507451S.D. dependent var6469.5245729497S.E. of regression297.7847984126216Akaike info criterion14.39797984693022Sum squared resid1152785.220153394Schwarz criterion14.54284023235018Log likelihood-112.1838387754418Hannan-Quinn criter.14.40539788713206F-statistic3533.481150137393Durbin-Watson stat2.671838385990076Prob(F-statistic)1.642217389432566e-18X1=70.58-0.245X2+1.297Z记录残差V，并将其加入原模型进行最小二乘法估计得到Dependent Variable: YMethod: Least SquaresDate: 06/24/15 Time: 17:15Sample: 1 16Included observations: 16VariableCoefficientStd. Errort-StatisticProb.C57.7027648956918866.284371530100420.87053348419375810.4010884758211431X10.029033239908381290.09518219894522919-0.30502804337487430.7655706195205639X21.128240303885780.15131807803522567.456084022050137.672452456570388e-06V1.186684308211320.15869279829134547.4778712139959697.45132102279135e-06R-squared0.9992365042527139Mean dependent var4738.875Adjusted R-squared0.9990456303158924S.D. dependent var4413.E. of regression136.3349713792029Akaike info criterion12.88042475857535Sum squared resid223046.693051617Schwarz criterion13.07357193913529Log likelihood-99.04339806860279Hannan-Quinn criter.12.89031547884446F-statistic5235.059960999177Durbin-Watson stat2.023506287031011Prob(F-statistic)5.807015110481363e-19t检验表明，V之前的参数显著不为0，因此判断居民人均可支配收入确实是内生变量。从而原模型的普通最小二乘估计量有偏并且非一致。需采用工具变量法进行估计。4.模型的修正Dependent Variable: YMethod: Two-Stage Least SquaresDate: 06/24/15 Time: 17:18Sample: 1 16Included observations: 16Instrument list: C Z X2VariableCoefficientStd. Errort-StatisticProb.C57.70276489563366183.2304374418250.31491910242234770.7578207596987273X10.0290332399085110.2631129412080197-0.11034516118900070.9138209533874776X21.1282403038859870.41828981690896742.6972693531564640.0182889386426963R-squared0.9936796419823371Mean dependent var4738.875Adjusted R-squared0.992707279210389S.D. dependent var4413.E. of regression376.8718910321991Sum squared resid1846421.489252415F-statistic1022.198968488498Durbin-Watson stat2.805505838229212Prob(F-statistic)5