2计量经济学第二讲计量经济分析的统计学基础

1、friday, 7 march 2008cufe friday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufemnmnfriday, 7 march 2008cufe friday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufe frida

2、y, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufe_friday, 7 march 2008cufe2)()()(yxeyxeyxvar2)()(yeyxexe),(2)()(yxcovyvarxvar)()(2)()(22yeyxexeyeyexexefriday, 7 march 2008cufeniixnx11niixxns122)(112ss friday, 7

3、 march 2008cufexfriday, 7 march 2008cufeniiixyyyxxns1)(11yxxysssr friday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufeknkknknkcknknkxp)1 ()1 ()!( !)()1 (3)1 (! 1 ! 2! 3)2(22xpfriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufe平均到达率平均到达

4、率() )这种分布为泊哇松分布（推导略）。这种分布为泊哇松分布（推导略）。 平均间隔平均间隔天有一艘船到达。天有一艘船到达。到达总数到达总数总天数总天数friday, 7 march 2008cufefriday, 7 march 2008cufe 十九世纪时，巴特开惠茨根据普鲁士骑兵队的十九世纪时，巴特开惠茨根据普鲁士骑兵队的统计报告，对十个骑兵连中的骑兵在二十年中统计报告，对十个骑兵连中的骑兵在二十年中被马踢死的记录作了分析。这样，他的观察数被马踢死的记录作了分析。这样，他的观察数值有值有1010* *20=20020=200个（每年对每个连队作一个记个（每年对每个连队作一个记录），他作了

5、一个表，列出死亡人数的分布情录），他作了一个表，列出死亡人数的分布情况。况。 问题：问题：你也能列个表吗？你也能列个表吗？friday, 7 march 2008cufe从这个表里可以看出，死亡事件共从这个表里可以看出，死亡事件共 0 0* *109+1109+1* *65+265+2* *22+322+3* *3+43+4* *1= 1221= 122（人次）。（人次）。平均每连队每年死亡人次为平均每连队每年死亡人次为 = ex= ex = 122/200 = 0.61 = 122/200 = 0.61可见，被马踢死的概率很小啊！可见，被马踢死的概率很小啊！ 为单位时间内的平均死亡人数。为单

6、位时间内的平均死亡人数。死亡人数死亡人数0 01 12 23 34 4发生次数发生次数109109656522223 31 1friday, 7 march 2008cufe死亡人数死亡人数0 01 12 23 34 4发生频率发生频率109/200=0.54565/20065/200=0.325=0.32522/200=0.113/200=0.0151/200=0.005friday, 7 march 2008cufeexxf222)(21)(dxxxfxe)()(dxxfxxvar)()()(221)(dxxffriday, 7 march 2008cufe正态分布(nominal)low

7、er spec limitupper spec limit对称钟型 friday, 7 march 2008cufe95.46% 68.26%正态分布(nominal)lower spec limitupper spec limit99.74% 34%34%14%14%2%2%friday, 7 march 2008cufe lower specification limit upper specification limitdefectsdefects99.9999998%friday, 7 march 2008cufe 211212friday, 7 march 2008cufexxz1)

8、()(2121xzxpxxxp)()(11xzpxxpfriday, 7 march 2008cufedxxxxxpxx2122121exp21)(dzzzzzpzz2122121exp21)()()(2121zzzpxxxpxz11xz22xzfriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufeiniixaw1),(2wwniniiwa12122iniiwafriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufek

9、iizz12friday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufe2121zkzkzztfriday, 7 march 2008cufekk-2概率n(0,1)t(10)t(30)图图2 23 3：t t分布分布friday, 7 march 2008cufe2211/kzkzf friday, 7 march 2008cufef(10,20)f(50,50)f(100,100)f(2,2)图图2 24 4：f f分布分布friday, 7 march 20

10、08cufek2k2-2)4()2()2(222212122kkkkkkfriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufe：ua、抽签法；ub、乱数表法 (random table) friday, 7 march 2008cufe friday, 7 march 2008cufe 1 13 21 96 10 43 46 00 95 62 09 45 43 87 40 08 00 2 12 84 54 72 35 75 88 47 75 20 21 27 73 48 33 69 3 57 38 76

11、05 12 35 29 61 10 48 02 65 25 40 61 54 4 25 18 75 82 11 89 13 90 53 66 56 26 38 89 04 79 5 10 88 94 70 76 54 45 07 71 24 53 48 10 01 51 99 . 49 25 67 87 71 50 46 84 98 62 41 85 51 29 07 12 35 50 50 51 45 14 61 58 79 12 88 21 09 02 60 91 20 80 friday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7

12、 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufe friday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufexfriday, 7 march 2008cufefriday, 7 march 2008cufexnn2,xxnxnxnxnxxxnxxnnnii21211nnnnxnxnxenx21nnnnnnnxnxnxvarnx222222

13、222212friday, 7 march 2008cufenxxxfriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufe),.,(21nxxxgfriday, 7 march 2008cufefriday, 7 march 2008cufe 是有偏的（biased）：偏离度-e( )。 是无偏的（unbiased）。*bias,*图图2-52-5：无偏估计量和有偏估计量：无偏估计量和有偏估计量*friday, 7 march 2008cufexxnxxsi22*222*1)(nnsennn222122*

14、1senn2222*) 1(1senxxesnnei) 1(122*2nxxsnnsifriday, 7 march 2008cufe12 21varvar 112varvar12,图图2-62-6：有效性：有效性12121friday, 7 march 2008cufexnxvar2)(nmvar2)(257. 12)()(xvarmvarfriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufe limenlimnp limen 0limvarn1limpnfriday, 7 march 2008cufe

15、2e02e 22eeee 222eeeeee 22eee 0ee 2偏离度var02e 0varfriday, 7 march 2008cufexnn2,nxzxxxx96. 196. 1xxxx96. 196. 1friday, 7 march 2008cufexx96. 1xx96. 1xx96. 1122xxzxzxpfriday, 7 march 2008cufez2xx96. 1xx58. 2)(nxxsxsxt122xxstxstxp95. 005. 01025. 0025. 0xxstxstxpxstx025. 0friday, 7 march 2008cufe25. 145ns

16、sx66. 217425. 1131. 2174025. 0xstxfriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march 2008cufexxxxxxxxfriday, 7 march 2008cufefriday, 7 march 2008cufe1. 1.建立关于总体的原假设和备择假设建立关于总体的原假设和备择假设2. 2.计算检验统计量计算检验统计量3.3.检验原假设，得出关于原假设是否合理的结检验原假设，得出关于原假设是否合理的结论论friday, 7 march 2008cufefriday, 7 march

17、2008cufefriday, 7 march 2008cufexnxnxxzx5168100110nxzfriday, 7 march 2008cufensnsxxxxxsxxt12nxxsifriday, 7 march 2008cufe100x5 . 21610nssx45 . 2100110xsxtfriday, 7 march 2008cufe)(se setfriday, 7 march 2008cufefriday, 7 march 2008cufe13. 24cttfriday, 7 march 2008cufefriday, 7 march 2008cufefriday, 7 march