计量经济学第三版版课后答案.doc

第二章（1）对于浙江省预算收入与全省生产总值的模型，用Eviews分析结果如下：Dependent Variable: YMethod: Least SquaresDate: 12/03/14 Time: 17:00Sample (adjusted): 1 33Included observations: 33 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.?XCR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)由上可知，模型的参数：斜率系数，截距为关于浙江省财政预算收入与全省生产总值的模型，检验模型的显着性：1）可决系数为，说明所建模型整体上对样本数据拟合较好。2）对于回归系数的t检验：t（2）=(31)=，对斜率系数的显着性检验表明，全省生产总值对财政预算总收入有显着影响。用规范形式写出检验结果如下：Y= t= （）R2= F= n=33经济意义是：全省生产总值每增加1亿元，财政预算总收入增加亿元。（2）当x=32000时，进行点预测，由上可知Y=，代入可得：Y= Y=*32000=进行区间预测：先由Eviews分析：XY?Mean?Median?Maximum?Minimum?Std. Dev.?Skewness?Kurtosis?Jarque-Bera?Probability?Sum?Sum Sq. Dev.?+09?Observations?33?33由上表可知，x2=（XiX）2=2x(n1)= ? x (331)=(XfX)2=(32000?2当Xf=32000时，将相关数据代入计算得到：即Yf的置信区间为（, +）(3) 对于浙江省预算收入对数与全省生产总值对数的模型，由Eviews分析结果如下：Dependent Variable: LNYMethod: Least SquaresDate: 12/03/14 Time: 18:00Sample (adjusted): 1 33Included observations: 33 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.?LNXCR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)模型方程为：lnY=由上可知，模型的参数：斜率系数为，截距为关于浙江省财政预算收入与全省生产总值的模型，检验其显着性：1）可决系数为，说明所建模型整体上对样本数据拟合较好。2）对于回归系数的t检验：t（2）=(31)=，对斜率系数的显着性检验表明，全省生产总值对财政预算总收入有显着影响。经济意义：全省生产总值每增长1%，财政预算总收入增长%（1）对建筑面积与建造单位成本模型，用Eviews分析结果如下：Dependent Variable: YMethod: Least SquaresDate: 12/01/14 Time: 12:40Sample: 1 12Included observations: 12VariableCoefficientStd. Errort-StatisticProb.?XCR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)由上可得：建筑面积与建造成本的回归方程为：Y=（2）经济意义：建筑面积每增加1万平方米，建筑单位成本每平方米减少元。（3）首先进行点预测，由Y=得，当x=，y=再进行区间估计：用Eviews分析：YX?Mean?Median?Maximum?Minimum?Std. Dev.?Skewness?Kurtosis?Jarque-Bera?Probability?Sum?Sum Sq. Dev.?Observations?12?12由上表可知，x2=（XiX）2=2x(n1)= ? x (121)=(XfX)2=?2当Xf=时，将相关数据代入计算得到：即Yf的置信区间为（, +）第三章）对出口货物总额计量经济模型，用Eviews分析结果如下：Dependent Variable: YMethod: Least SquaresDate: 12/01/14 Time: 20:25Sample: 1994 2011Included observations: 18VariableCoefficientStd. Errort-StatisticProb.?X2X3CR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid8007316.?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)由上可知，模型为：Y = + - 对模型进行检验：1）可决系数是，修正的可决系数为，说明模型对样本拟合较好2）F检验，F=F（2,15）=，回归方程显着3）t检验，t统计量分别为X2的系数对应t值为，大于t（15）=，系数是显着的，X3的系数对应t值为，小于t（15）=，说明此系数是不显着的。（2）对于对数模型，用Eviews分析结果如下：Dependent Variable: LNYMethod: Least SquaresDate: 12/01/14 Time: 20:25Sample: 1994 2011Included observations: 18VariableCoefficientStd. Errort-StatisticProb.?LNX2LNX3CR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)由上可知，模型为：LNY=+ LNX2+ LNX3对模型进行检验：1）可决系数是，修正的可决系数为，说明模型对样本拟合较好。2）F检验，F= F（2,15）=，回归方程显着。3）t检验，t统计量分别为，均大于t（15）=，所以这些系数都是显着的。（3）（1）式中的经济意义：工业增加1亿元，出口货物总额增加亿元，人民币汇率增加1，出口货物总额增加亿元。（2）式中的经济意义：工业增加额每增加1%，出口货物总额增加%，人民币汇率每增加1%，出口货物总额增加%（1）对家庭书刊消费对家庭月平均收入和户主受教育年数计量模型，由Eviews分析结果如下：Dependent Variable: YMethod: Least SquaresDate: 12/01/14 Time: 20:30Sample: 1 18Included observations: 18VariableCoefficientStd. Errort-StatisticProb.?XTCR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)模型为：Y = + 对模型进行检验：1）可决系数是，修正的可决系数为，说明模型对样本拟合较好。2）F检验，F= F（2,15）=，回归方程显着。3）t检验，t统计量分别为，均大于t（15）=，所以这些系数都是显着的。经济意义：家庭月平均收入增加1元，家庭书刊年消费支出增加元，户主受教育年数增加1年，家庭书刊年消费支出增加元。（2）用Eviews分析：Dependent Variable: YMethod: Least SquaresDate: 12/01/14 Time: 22:30Sample: 1 18Included observations: 18VariableCoefficientStd. Errort-StatisticProb.?TCR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)Dependent Variable: XMethod: Least SquaresDate: 12/01/14 Time: 22:34Sample: 1 18Included observations: 18VariableCoefficientStd. Errort-StatisticProb.?TCR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid4290746.?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)以上分别是y与T，X与T的一元回归模型分别是：Y = - X = + （3）对残差进行模型分析，用Eviews分析结果如下：Dependent Variable: E1Method: Least SquaresDate: 12/03/14 Time: 20:39Sample: 1 18Included observations: 18VariableCoefficientStd. Errort-StatisticProb.?E2CR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)模型为：E1 = + 参数：斜率系数为，截距为（3）由上可知，2与2的系数是一样的。回归系数与被解释变量的残差系数是一样的，它们的变化规律是一致的。第五章(1)由Eviews软件分析得：Dependent Variable: YMethod: Least SquaresDate: 12/10/14 Time: 16:00Sample: 1 31Included observations: 31VariableCoefficientStd. Errort-StatisticProb.?XCR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)由上表可知，2007年我国农村居民家庭人均消费支出（x）对人均纯收入（y）的模型为：Y=+（2）由图形法检验由上图可知，模型可能存在异方差。Goldfeld-Quanadt检验1）定义区间为1-12时，由软件分析得：Dependent Variable: Y1Method: Least SquaresDate: 12/10/14 Time: 11:34Sample: 1 12Included observations: 12VariableCoefficientStd. Errort-StatisticProb.?X1CR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid1772245.?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)得e1i2=1772245.2）定义区间为20-31时，由软件分析得：Dependent Variable: Y1Method: Least SquaresDate: 12/10/14 Time: 16:36Sample: 20 31Included observations: 12VariableCoefficientStd. Errort-StatisticProb.?X1CR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid7909670.?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)得e2i2=7909670.3）根据Goldfeld-Quanadt检验，F统计量为：F=e2i2 /e1i2 =7909670./ 1772245=在=水平下，分子分母的自由度均为10，查分布表得临界值（10,10）=，因为F= （10,10）=，所以拒绝原假设，此检验表明模型存在异方差。（3）1）采用WLS法估计过程中，用权数w1=1/X,建立回归得：Dependent Variable: YMethod: Least SquaresDate: 12/09/14 Time: 11:13Sample: 1 31Included observations: 31Weighting series: W1VariableCoefficientStd. Errort-StatisticProb.?XCWeighted StatisticsR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid8352726.?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)Unweighted StatisticsR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Sum squared residDurbin-Watson stat对此模型进行White检验得：Heteroskedasticity Test: WhiteF-statistic?Prob. F(2,28)Obs*R-squared?Prob. Chi-Square(2)Scaled explained SS?Prob. Chi-Square(2)Test Equation:Dependent Variable: WGT_RESID2Method: Least SquaresDate: 12/10/14 Time: 21:13Sample: 1 31Included observations: 31Collinear test regressors dropped from specificationVariableCoefficientStd. Errort-StatisticProb.?C1045682.WGT21173622.X*WGT2R-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid+13?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)从上可知，nR2=，比较计算的统计量的临界值，因为nR2=（2）=，所以接受原假设，该模型消除了异方差。估计结果为： Y= t=（）（）R2= F= DW=用权数w2=1/x2,用回归分析得：Dependent Variable: YMethod: Least SquaresDate: 12/09/14 Time: 21:08Sample: 1 31Included observations: 31Weighting series: W2VariableCoefficientStd. Errort-StatisticProb.?XCWeighted StatisticsR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid6320554.?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)Unweighted StatisticsR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Sum squared residDurbin-Watson stat对此模型进行White检验得：Heteroskedasticity Test: WhiteF-statistic?Prob. F(3,27)Obs*R-squared?Prob. Chi-Square(3)Scaled explained SS?Prob. Chi-Square(3)Test Equation:Dependent Variable: WGT_RESID2Method: Least SquaresDate: 12/10/14 Time: 21:29Sample: 1 31Included observations: 31VariableCoefficientStd. Errort-StatisticProb.?CWGT22240181.X2*WGT2X*WGT2R-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid+12?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)从上可知，nR2=，比较计算的统计量的临界值，因为nR2=（2）=，所以接受原假设，该模型消除了异方差。估计结果为： Y= t=（）（）R2= F= DW=用权数w3=1/sqr（x）,用回归分析得：Dependent Variable: YMethod: Least SquaresDate: 12/09/14 Time: 21:35Sample: 1 31Included observations: 31Weighting series: W3VariableCoefficientStd. Errort-StatisticProb.?XCWeighted StatisticsR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid9990985.?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)Unweighted StatisticsR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Sum squared residDurbin-Watson stat对此模型进行White检验得：Heteroskedasticity Test: WhiteF-statistic?Prob. F(2,28)Obs*R-squared?Prob. Chi-Square(2)Scaled explained SS?Prob. Chi-Square(2)Test Equation:Dependent Variable: WGT_RESID2Method: Least SquaresDate: 12/09/14 Time: 20:36Sample: 1 31Included observations: 31Collinear test regressors dropped from specificationVariableCoefficientStd. Errort-StatisticProb.?C1212308.2141958.WGT21301839.X2*WGT2R-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid+13?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)从上可知，nR2=，比较计算的统计量的临界值，因为nR2=（2）=，所以接受原假设，该模型消除了异方差。估计结果为： Y= t=（）（）R2= F= DW=经过检验发现，用权数w1的效果最好，所以综上可知，即修改后的结果为：Y= t=（）（）R2= F= DW=第六章(1)建立居民收入-消费模型，用Eviews分析结果如下：Dependent Variable: YMethod: Least SquaresDate: 12/20/14 Time: 14:22Sample: 1 19Included observations: 19VariableCoefficientStd. Errort-StatisticProb.?XCR-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)所得模型为：Y=+Se= t=R2= F= DW=（2）1）检验模型中存在的问题做出残差图如下：残差的变动有系统模式，连续为正和连续为负，表明残差项存在一阶自相关。该回归方程可决系数较高，回归系数均显着。对样本量为19，一个解释变量的模型，5%的显着水平，查DW统计表可知，dL=，dU=，模型中DW=,dL,显然模型中有自相关。对模型进行BG检验，用Eviews分析结果如下：Breusch-Godfrey Serial Correlation LM Test:F-statistic?Prob. F(2,15)Obs*R-squared?Prob. Chi-Square(2)Test Equation:Dependent Variable: RESIDMethod: Least SquaresDate: 12/20/14 Time: 15:03Sample: 1 19Included observations: 19Presample missing value lagged residuals set to zero.VariableCoefficientStd. Errort-StatisticProb.?XCRESID(-1)RESID(-2)R-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid?Schwarz criterionLog likelihood?Hannan-Quinn criter.F-statistic?Durbin-Watson statProb(F-statistic)如上表显示，LM=TR2=，其p值为，表明存在自相关。2）对模型进行处理：采取广义差分法a)为估计自相关系数。对et进行滞后一期的自回归，用EViews分析结果如下：Dependent Variable: EMethod: Least SquaresDate: 12/20/14 Time: 15:04Sample (adjusted): 2 19Included observations: 18 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.?E(-1)R-squared?Mean dependent varAdjusted R-squared?. dependent var. of regression?Akaike info criterionSum squared resid?Schwa