《计量经济学》第9章数据

计量经济学各章数据第9章 时间序列分析例9.2.1 检验中国1978-2003年间支出法GDP时间序列（表9.2.1）的平稳性。表9.2.1 1978-2003年中国GDP（单位：亿元）年份GDP（亿元）19783624.119794038.219804517.819814862.419825294.719835934.519847171.019858964.4198610202.2198711962.5198814928.3198916909.2199018547.9199121617.8199226638.1199334634.4199446759.4199558478.1199667884.6199774462.6199878345.2199982067.5200089468.1200197314.82002.32003.9例9.3.1 根据表9.3.1给出的样本调查数据，建立AR(p)模型。表9.3.1 样本数据日期t样本y日期t样本y1-0.058130.06820.058140.59530.72915-0.21740.28016-1.02351.02717-0.22660.67018-0.26170.559190.3788-0.48220-0.1289-1.46221-1.00310-2.039221.19711-1.306232.064120.037例9.4.2 检验中国城镇居民人均消费性支出与人均可支配收入（见表9.3.3与图9.4.1）时间序列的协整关系。表9.4.2 中国城镇居民人均收入、人均消费（单位：元）年份人均可支配收入PI人均消费性支出PC年份人均可支配收入PI人均消费性支出PC1978343.4311.1619911700.61453.811979405.0361.8019922026.61671.731980477.6412.4419932577.42110.811981500.4456.8419943496.22851.341982535.3471.0019954283.03537.571983564.6505.9219964838.93919.471984652.1559.4419975160.34185.641985739.1673.2019985425.14331.611986900.1798.9619995854.04615.9119871002.1884.4020006280.04998.0019881180.21103.9820016895.65309.0119891373.91210.9520027702.86029.8819901510.21278.8920038472.06510.94例9.5.1 表9.5.1给出了我国1978-2000年按当年价格计算的GDP与居民消费CS数据，试检验GDP与CS是否存在因果关系。表9.5.1 中国GDP与消费支出（单位：亿元）年份CSGDP19781759.13605.619792005.4407419802317.14551.319812604.14901.419822867.95489.219833182.56076.319843674.57164.4198545898792.11986517510132.819875961.211784.719887633.11470419898523.51646619909113.218319.5199110315.921280.4199212459.825863.7199315682.434500.7199420809.846690.7199526944.558510.5199632152.368330.4199734854.674894.2199836921.179003.3199939334.482673.1200042911.989112.5资料来源：中国统计年鉴（2001） 例9.6.2 钢铁行业的需求对下游行业相关行业变化的影响本例选择钢铁行业及其主要的下游行业的销售收入数据（表9.6.4）作为各行业的需求变量，利用脉冲响应函数分析各下游行业自身需求的变动对钢铁行业需求的影响。表9.6.4 我国钢材、建材、汽车、机械、家电销售收入（单位：亿元）时间钢材销售收入y1建材销售收入y2汽车销售收入y3机械销售收入y4家电销售收入y51999.1100.2593.23120.62334.55117.341999.2150.37139.85180.94501.83176.011999.3156.50153.84247.08572.42161.591999.4171.29176.69234.56610.12196.481999.5188.46181.36238.32634.57197.201999.6195.57202.88213.0645.86170.711999.7175.77195.88214.28650.19265.711999.8178.14187.10213.18602.46204.561999.9178.69188.71266.67657.80175.111999.10191.73188.96253.95644.98172.251999.11178.80204.83255.25687.57253.751999.12226.32269.42321.17939.11280.152000.1122.06104.74142.43385.39136.6282000.2183.10157.10213.65578.09204.942000.3190.55172.83291.75658.54188.162000.4208.56198.49276.97702.52228.782000.5229.47203.74281.41730.80229.622000.6228.87234.15234.92695.12205.692000.7215.35213.49269.45769.96299.712000.8215.05213.88272.89720.86215.892000.9230.31213.09292.22779.11244.742000.10237.58216.97315.66775.77236.122000.11235.39210.81277.97790.80229.452000.12260.39287.36386.021045.38297.562001.1151.66115.76188.82445.58153.132001.2227.50173.63283.24668.37229.692001.3237.36205.96381.71806.15233.112001.4247.40218.87354.64811.39246.372001.5247.75222.21344.00837.38260.712001.6247.54236.03321.65895.51319.152001.7252.03216.28295.45758.41234.812001.8341.38224.99321.66787.95288.392001.9195.96242.86367.93843.44190.412001.10232.40233.04335.31836.82207.012001.11227.17244.00368.36883.79233.412001.12307.99317.46452.601185.33333.512002.1162.46130.15232.26505.332174.482002.2243.69195.23348.39757.998261.732002.3240.61218.67458.73873.84293.222002.4261.64238.74515.33937.25286.662002.5326.27254.72490.66964.00299.242002.6291.73278.20504.271036.48339.722002.7305.22240.07462.53909.48302.102002.8265.59258.77473.45967.98277.622002.9294.10273.33542.931037.8283.592002.10299.51284.86495.601052.29234.992002.11298.25289.77499.171081.40276.502002.12324.26331.21602.191445.66317.069.9 案例分析中国GDP、消费、投资与出口的协整分析 根据表9.9.1给出了1980-2004年间按当年价格计算的中国总产出(用支出法核算的国内生产总值GDP度量，单位：亿元)，最终消费CS(单位：亿元)，固定资产投资总额I(单位：亿元)，出口总额EX（单位：亿元），GDP缩减指数。试对中国GDP、消费、投资与出口进行协整分析。表9.9.1 1980-2004年中国GDP、最终消费、投资总额与出口总额（单位：亿元）年 份GDP最终消费CS投资总额I出口总额EXGDP缩减指数(定基)PGDP缩减指数(环比)19804551.32976.1910.9271.21.03801.03819814901.43309.1961.0367.61.06191.02319825489.23637.91230.4413.81.05980.99819836076.34020.51430.1438.31.07141.01119847164.44694.51832.9580.51.12391.04919858792.15773.02543.2808.91.23741.101198610132.86542.03120.61082.11.29431.046198711784.77451.23791.71614.21.36041.051198814704.09360.14753.81766.71.52501.121198916466.010556.54410.41956.11.65921.088199018319.511365.24517.02985.81.75371.057199121280.413145.95594.53827.11.87121.067199225863.715952.18080.14676.32.01911.079199334500.720182.113072.35284.82.31381.146199446690.726796.017042.110421.82.77431.199199558510.533635.020019.312451.83.14051.132199668330.440003.922974.012576.43.32581.059199774894.243579.424941.115160.73.35241.008199879003.346405.928406.215223.63.27190.976199982673.149722.729854.716159.83.19990.978200089340.954600.932917.720634.43.22871.009200198592.958927.437213.522024.43.26751.0122002.662798.543499.926947.93.26100.9982003.367493.555566.636287.93.32621.0202004.275439.770477.449103.33.53571.063思考与练习13表1为美国1970-1991年制造业固定厂房设备(y)和产品销售量(x)的数据(单位：10亿美元)。(1)试检验y与x的因果关系，使用直至6期为止的滞后并评述其结果。(2) 对固定厂房设备(y)和产品销售量(x)的VAR模型进行估计。表1 美国1970-1991年制造业固定厂房设备和产品销售量数据年份设备投资y销售量x197036.99052.8050197133.60055.9060197235.42063.0270197342.35072.9310197452.48084.7900197553.66086.5890197658.53098.7970197767.480113.201197878.130126.905197995.130143.9361980112.60154.3911981128.68168.1291982123.97163.3511983117.35172.5471984139.61190.6821985152.88194.5381986137.95194.6571987141.06206.3261988163.45223.5411989183.80232.7241990192.61239.4591991182.81235.14214中国的国民生产总值，基本建设投资和价格指数数据（1966-1997）见表9.7.2，定义对数的国民生产总值变量和对数的基本建设投资变量为试对序列和进行单整、协整检验。如果是协整的，试建立相应的误差修正模型。表2 1966-1997年中国国民生产总值、基建投资和价格指数数据年GNP基建投资价格指数19661868.0209.420.47619671773.9140.170.47219681723.1113.060.47219691937.9200.830.46819702252.7312.551.46619712426.4340.840.46219722518.1327.980.46119732720.9338.100.46419742789.9347.710.46719752997.3409.320.46719762934.7376.440.46919773201.9382.370.47819783624.1500.990.48219794038.2523.480.49119804517.8588.890.52119814826.4442.910.53319825294.7555.530.54319835934.5594.130.55119847171.0743.150.56719858964.41074.370.617198610202.21176.110.654198711962.51341.100.702198814928.31574.310.831198916909.21551.740.979199018547.91703.811.000199124617.82115.81.029199226638.13012.651.085199334634.44615.51.228199446759.46436.741.494199558478.17403.621.714199667884.68570.791.819199774772.49917.021.83315试建立关于日本人均食品消费的误差修正模型。对数的人均月食品支出和月总支出数据见表3。表3 1950-1985日本人均月食品支出和月总支出的数据年份19509.22889.783519519.18589.795419529.27559.944919539.335810.059019549.333410.057419559.348410.105119569.382310.180419579.417410.117919589.464110.289919599.468410.344019609.517610.395419619.565910.474219629.599210.539919639.548110.553819649.602210.624519659.634210.650419669.651310.696319679.699810.759419689.742010.834119699.785510.901519709.822210.954819719.845611.002419729.875511.047319739.902011.102719749.907111.084319759.927111.130719769.932511.133019779.918811.147019789.912411.153319799.905011.181519809.892911.172419819.894011.186019829.896911.217319839.895311.223819849.895211.240019859.884411.243516中国改革开放以来，财政收入受税收的影响越来越大。表4给出了1978-2002年中国财政收入y与税收x的相关数据。表4 1978-2002年中国财政收入与税收数据年份财政收入y税收x19781132.26519.2819791146.38537.8219801159.93571.719811175.79629.8919821212.33700.0219831366.95775.5919841642.86947.3519852004.822040.7919862122.012090.7319872199.352140.3619882357.242390.4719892664.92727.419902937.12821.8619913149.482990.1719923483.373296.9119934348.954255.319945218.15126.919956242.2603819967407.996090.8219978651.148234.0419989875.959262.8199911444.0810682.58200013395.2312581.51200116386.0415301.38200218903.6417636.45（1）请用样本相关图及单位根方法，判断y、x以及lny、lnx平稳性。（2）检验y与x以及lny与lnx的单整性。提出哪一组变量是同阶单整的。（3）对同阶单整的变量进行协整检验，如果是协整的，则建立相应的协整模型。 17表5列出了天津人均年收入生活费收入与人均食品消费相关数据。其中，人均食品年支出额y与人均年收入生活费收入x已按职工生活费价格指数换算为1950年不变价格数据。试建立人均食品年支出额y与人均年收入生活费收入x的误差修正模型。表5 天津人均年收入生活费收入与人均食品消费相关数据（元）年份人均食物年支出y人均年生活费收入x年份人均食物年支出y人均年生活费收入x195092.3151.21971151.2274.1195185.5144.61972163.2286.7195290.3156.81973165.0288.0195394.2158.31974170.5293.5195495.6159.71975170.2301.91955104.3166.01976177.4313.8195697.3162.11977181.6330.11957106.4174.01978200.4361.41958107.7176.51979219.6398.81959113.3185.01980260.8491.81960110.3189.21981271.1501.01961107.5166.01982290.3529.2196299.6162.11983318.5552.7196394.0164.91984365.4671.21964101.3177.41985418.9811.81965108.7184.81986517.6988.41966103.2185.71987577.91094.61967108.8185.61988665.81231.81968110.1187.31989756.21374.61969103.8192.91990833.81522.21970113.5205.218表6给出了中国1978-2000年按当年价格计算的GDP与居民消费CS数据。表6 中国GDP与消费支出（单位：亿元）年份CSGDP19781759.13605.619792005.4407419802317.14551.319812604.14901.419822867.95489.219833182.56076.319843674.57164.4198545898792.11986517510132.819875961.211784.719887633.11470419898523.51646619909113.218319.5199110315.921280.4199212459.825863.7199315682.434500.7199420809.846690.7199526944.558510.5199632152.368330.4199734854.674894.2199836921.179003.3199939334.482673.1200042911.989112.5（1）利用表6数据，作出时间序列lnGDP与lnCS的样本相关图，并通过图形判断两时间序列的平稳性。（2）如果不进行进一步的检验，直接估计以下简单的回归模型，你是否认为此回归是虚假回归：（3）检验lnGDP与lnCS的单整性（4）检验lnGDP与lnCS的协整性（5）如果lnGDP与lnCS是协整的，请估计lnCS关于lnG