习题答案计量经济学

1、百度文库-让每个人平等地提升自我11第十章习题讲解做单位根检验有个潜规则 先从最复杂的模型开始 如果最复杂的模型说 非平稳那就是非平稳如果最复杂的模型说平稳 那么要用简单的模型检验 如果所有模型都说是平稳的 那就是平稳的答：（1）做利润和红利的连线图PFT利润图从图中可以初步判断，禾I润和红利都是非平稳的。（2）首先对利润进行单位根检验，选择有截距项和时间趋势（ intercept ）,结果如下trend andNullypothesis: R has a un it rootExoge nous: Con sta ntLag Len gth: 0 (Automatic based on SI

2、C, MAXLAG=11)t-StatisticAugme nted Dickey-Fuller test statisticTest critical values:1% level5% level10% levelNull Hypothesis: PFT has a unit rootExogenous: Constant, Linear TrendLag Length: 0 (Automatic based on SIC, MAXLAG=11)Augmented Dickey-Fuller test statisticTest critical values:1% levelt-Stat

3、isticProb.*5% level10% level*MacKinnon (1996) one-sided p-values.可以看到ADF值大于所有临界值且P值很大，所以不能拒绝原假设，即利润 是非平稳的。然后对红利进行单位根检验，选择有截距项和时间趋势，结果如下Null Hypothesis: I has a un it rootExoge no us: Con sta ntLag Len gth: 3 (Automatic based on SIC, MAXLAG=11)t-StatisticProb.*Augme nted Dickey-Fuller test statisticT

4、est critical values:1% level5% level10% levelNull Hypothesis: BNU has a unit rootExogenous: Constant, Linear TrendLag Length: 1 (Automatic based on SIC, MAXLAG=11)t-StatisticProb.*Augmented Dickey-Fuller test statisticTest critical values:1% level5% level10% level*MacKinnon (1996) one-sided p-values

5、.可以看到ADF值大于所有临界值且P值很大，所以不能拒绝原假设，即红利 也是非平稳的。(3)首先对GD进行平稳性检验，选择只带截距项，结果如下Null Hypothesis: GDP has a unit rootExogenous: ConstantLag Length: 2 (Automatic based on SIC, MAXLAG=11)t-StatisticProb.*Augmented Dickey-Fuller test statisticTest critical values:1% level5% level10% level可以看到ADF值大于所有临界值且P值很大，所以不

6、能拒绝原假设，即 GD是 非平稳的。之后对GD进行一阶差分，并检验其平稳性，结果如下Null Hypothesis: D(GDP) has a unit rootExogenous: Constant, Linear TrendLag Length: 1 (Automatic based on SIC, MAXLAG=11)t-StatisticProb.*Augmented Dickey-Fuller test statisticTest critical values:1% level5% level10% level可以看出GD经过一阶差分后是平稳的，因此 GDP I(1)同理可得，PD

7、I1(1)且PCE I (1)。(1)对固定厂房设备投资进行平稳性检验，首先先看图SHEB从图中我们可以初步判断，固定厂房设备投资可能是非平稳的。之后进行ADF 检验，检验结果如下Null Hypothesis: SHEB has a unit root /Exogenous: ConstantLag Length: 3 (Automatic based on SIC, MAXLAG=4)t-StatisticProb.*Augmented Dickey-Fuller test statisticTest critical values:1% level5% level 10% level可以

8、看到ADF值大于所有临界值且P值很大，所以不能拒绝原假设，即固定厂 房设备投资是非平稳的。（2）对销售量进行平稳性检验，首先先看图/XS从图中我们可以初步判断，销售额可能是非平稳的。之后进行 AD检验，检 验结果如下Null Hypothesis: X has a unit rootExoge no us: Con sta ntLag Len gth: 0 (Automatic based on SIC, MAXLAG=4)t-StatisticProb.*Augme nted Dickey-Fuller test statisticTest critical values:1% level5

9、% level10% levelNull Hypothesis: XS has a unit rootExogenous: Constant, Linear TrendLag Length: 0 (Automatic based on SIC, MAXLAG=4)t-StatisticProb.*Augmented Dickey-Fuller test statisticTest critical values:1% level5% level10% level可以看到adF值大于所有临界值且p值很大，所以不能拒绝原假设，即销售额 是非平稳的。答：(1)回归结果是虚假的！回归结果如下图Depe

10、ndent Variable: BNUMethod: Least SquaresDate: 06/03/10 Time: 20:21Sample: 1980Q1 2001Q4Included observations: 88CoefficientStd. Errort-StatisticProb.PFTCR-squaredMean dependent varAdjusted R-squared.dependent var.of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodHanna

11、n-Quinn criter.F-statisticDurbin-Watson statProb(F-statistic)运用经验法则可以看出R20.621493 =，所以此回归为伪回归。(2)首先对利润进行阶差分，选择带时间趋势和截距项Null Hypothesis: D(PFT) has a unit rootExogenous: Constant, Linear TrendLag Length: 0 (Automatic based on SIC, MAXLAG=11)t-StatisticProb.*Augmented Dickey-Fuller test statisticTest

12、critical values:1% level5% level10% level*MacKinnon (1996) one-sided p-values.可以看出ADF值小于所有临界值，且P值为0,由此可以判定经过一阶差分 的利润是平稳的。然后对红利进行一阶差分，选择带时间趋势和截距项Null Hypothesis: D(BNU) has a unit rootExogenous: Constant, Linear TrendLag Length: 2 (Automatic based on SIC, MAXLAG=11)t-StatisticProb.*Augmented Dickey-F

13、uller test statisticTest critical values:/% level5% level10% level*MacKinnon (1996) one-sided p-values.可以看出ADF值小于所有临界值，且P值为0,由此可以判定经过一阶差分 的红利也是平稳的。由此可以看出利润和红利都是一阶单整。答：(1)首先判断InY和lnX的平稳性，先看图LNYLNX12 11 从图中我们可以初步判断，InY和In X可能是非平稳的。之后进行ADF检验, 检验结果如下表1 InY的AD检验Null Hypothesis: LNY has a unit rootExogeno

14、us: Constant, Linear TrendLag Length: 0 (Automatic based on SIC, MAXLAG=7)t-StatisticProb.*Augmented Dickey-Fuller test statisticTest critical values:1% level5% level10% level可以看到ADF值大于所有临界值且P值很大，所以不能拒绝原假设，即lnY 是非平稳的。表2 ln X的AD检验Null Hypothesis: LNX has a unit rootExogenous: Constant, Linear TrendLa

15、g Length: 7 (Automatic based on SIC, MAXLAG=7)t-StatisticProb.*Augmented Dickey-Fuller test statisticTest critical values:1% level5% level10% level可以看到ADF值大于所有临界值且P值很大，所以不能拒绝原假设，即ln X 是非平稳的。(2)确定InY和InX的单整数，对In Y和In X进行一阶差分，并进行ADF检验，检验结果如下表3 InY的AD!检验Null Hypothesis: D(LNY) has a unit rootExogenous:

16、 Constant, Linear TrendLag Length: 0 (Automatic based on SIC, MAXLAG=7)t-StatisticProb.*Augmented Dickey-Fuller test statisticTest critical values:1% level5% level10% level表4 In X的AD脸验Null Hypothesis: D(LNX) has a unit rootExogenous: Constant, Linear TrendLag Length: 6 (Automatic based on SIC, MAXLA

17、G=7)t-StatisticProb.*Augmented Dickey-Fuller test statisticTest critical values:1% level5% level10% level从表中我们可以看出 InY和InX不是同阶单整，因此不存在协整关系答：(1)首先对InC进行平稳性检验，选择带时间趋势和截距项Null Hypothesis: X has a unit rootExogenous: Constant, Linear TrendLag Length: 0 (Automatic based on SIC, MAXLAG=11)t-StatisticProb.

18、*Augmented Dickey-Fuller test statisticTest critical values:1% level5% level10% level*MacKinnon (1996) one-sided p-values.可以看到ADF值大于所有临界值且P值很大，所以不能拒绝原假设，即InC 是非平稳的。然后对In Y进行平稳性检验，选择带时间趋势和截距项Null Hypothesis: Y has a unit rootExogenous: Constant, Linear TrendLag Length: 0 (Automatic based on SIC, MAXL

19、AG=9)t-StatisticProb.*Augmented Dickey-Fuller test statisticTest critical values:1% level5% level10% level*MacKinnon (1996) one-sided p-values.可以看到AD值大于所有临界值且P值很大，所以不能拒绝原假设，即InY也 是非平稳的。(2)对ln C和InY分别进行一阶差分 首先对InC进行一阶差分，选择带时间趋势和截距项Null Hypothesis: D(X) has a unit rootExogenous: Constant, Linear Trend

20、Lag Length: 0 (Automatic based on SIC, MAXLAG=9)t-StatisticProb.*Augmented Dickey-Fuller test statisticTest critical values:1% level5% level10% level*MacKinnon (1996) one-sided p-values.可以看出adFS小于所有临界值，且p值几乎为o,由此可以判定经过一阶差 分的InC是平稳的。然后对In 丫进行一阶差分，选择只带截距项Null Hypothesis: D(Y) has a unit rootExogenous:

21、 ConstantLag Length: 0 (Automatic based on SIC, MAXLAG=9)t-StatisticProb.*Augmented Dickey-Fuller test statisticTest critical values:1% level5% level10% level*MacKinnon (1996) one-sided p-values.可以看出adF值小于所有临界值，且p值几乎为o,由此可以判定经过一阶差 分的InY也是平稳的。由此可以看出InC和InY都是一阶单整。EG两步：第一步得协整回归方程：Dependent Variable: XM

22、ethod: Least SquaresDate: 06/03/10 Time: 20:54Sample: 1950 1990Included observations: 41CoefficientStd. Errort-StatisticProb.YCR-squaredMean dependent varAdjusted R-squared.dependent var.of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodHannan-Quinn criter.F-statisticDurbin-Watson statProb(F-statistic)InC 0.224 0941849InYR20.994904 DW 1.434445第二步：得到残差序列 q，对残差序列进行平稳性检验Null Hypothesis: E has a unit rootExogenous: NoneLag Length: 0 (Automatic based on SIC, MAXLAG=9)t-StatisticProb.*Augmented Di