计量经济学第题答案

1、第7章练习5在申请出国读学位的16名学生中有如下GRE数量与词汇分数。学生编号数量成绩Q词汇成绩V是否准入Y（1=准，0=不准）学生编号数量成绩Q词汇成绩V是否准入Y（1=准，0=不准）176055019520660126003500108002500372032001167048004710630112670520155304301137807101665057001452045007800500115680590186506801165003800解：根据Eview软件得如下表：Dependent Variable: YMethod: ML - Binary Logit (Quadrati

2、c hill climbing)Date: 05/22/11 Time: 22:19Sample: 1 16Included observations: 16Convergence achieved after 5 iterationsCovariance matrix computed using second derivativesVariableCoefficientStd. Errorz-StatisticProb.  C-11.107416.124290-1.8136650.0697Q0.0039680.0080080.4955150.6202V0.0176960

3、.0087522.0219140.0432McFadden R-squared0.468521    Mean dependent var0.562500S.D. dependent var0.512348    S.E. of regression0.382391Akaike info criterion1.103460    Sum squared resid1.900896Schwarz criterion1.248321    

4、Log likelihood-5.827681Hannan-Quinn criter.1.110878    Restr. log likelihood-10.96503LR statistic10.27469    Avg. log likelihood-0.364230Prob(LR statistic)0.005873Obs with Dep=07     Total obs16Obs with Dep=19于是，我们可得到Logit模型为： （-1.81）

5、（0.49） （2.02） ， LR(2)=10.27如果在Binary estination这一栏中选择Probit估计方法，可得到如下表：Dependent Variable: YMethod: ML - Binary Probit (Quadratic hill climbing)Date: 05/22/11 Time: 22:25Sample: 1 16Included observations: 16Convergence achieved after 5 iterationsCovariance matrix computed using second derivativesVar

6、iableCoefficientStd. Errorz-StatisticProb.  C-6.6345423.396882-1.9531270.0508Q0.0024030.0045850.5241210.6002V0.0105320.0046932.2442990.0248McFadden R-squared0.476272    Mean dependent var0.562500S.D. dependent var0.512348    S.E. of regression0.38165

7、5Akaike info criterion1.092836    Sum squared resid1.893588Schwarz criterion1.237696    Log likelihood-5.742687Hannan-Quinn criter.1.100254    Restr. log likelihood-10.96503LR statistic10.44468    Avg. log likelihood-0.3

8、58918Prob(LR statistic)0.005395Obs with Dep=07     Total obs16Obs with Dep=19于是，我们可得到Probit模型为： （-1.95） （0.52） （2.24） ， LR(2)=10.44第7章练习6下表列出了美国、加拿大、英国在19801999年的失业率Y以及对制造业的补偿X的相关数据资料。美 国加拿大英 国年份补助失业率补助失业率补助失业率（美元/小时）（%）（美元/小时）（%）（美元/小时）（%）198055.67.1497.243.77.0198161.17.65

9、4.17.344.110.5198267.09.759.610.642.211.3198368.89.663.911.539.011.8198471.27.564.310.937.211.7198575.17.263.510.239.011.2198678.57.063.39.247.811.2198780.76.268.08.460.210.3198864.05.576.07.368.38.6198986.65.384.17.067.77.2199090.85.691.57.781.76.9199195.66.8100.19.890.58.81992100.07.5100.010.6100.

10、010.11993102.76.995.510.788.710.51994105.66.191.79.492.39.71995107.95.693.38.595.98.71996109.35.493.18.795.68.21997111.44.994.48.2103.37.01998117.34.590.67.5109.86.31999123.24.991.95.7112.26.1解：（1）根据Eview 软件操作得如下表：美国（US）：Dependent Variable: YMethod: Least SquaresDate: 05/22/11 Time: 22:38Sample: 198

11、0 1999Included observations: 20VariableCoefficientStd. Errort-StatisticProb.  C10.568581.1389829.2789720.0000X-0.0454030.012538-3.6211890.0020R-squared0.421464    Mean dependent var6.545000Adjusted R-squared0.389323    S.D. dependent var1.432875S.E.

12、of regression1.119732    Akaike info criterion3.158696Sum squared resid22.56840    Schwarz criterion3.258269Log likelihood-29.58696    Hannan-Quinn criter.3.178133F-statistic13.11301    Durbin-Watson stat0.797022Prob(F-s

13、tatistic)0.001953根据上表可得对美国的OLS估计结果为： （9.28） （-3.62） ， ， D.W.=0.797， RSS=22.57加拿大(CA)：Dependent Variable: YMethod: Least SquaresDate: 05/22/11 Time: 22:43Sample: 1980 1999Included observations: 20VariableCoefficientStd. Errort-StatisticProb.  C9.3424521.8107015.1595790.0001X-0.0065800.02233

14、3-0.2946480.7716R-squared0.004800    Mean dependent var8.820000Adjusted R-squared-0.050489    S.D. dependent var1.600855S.E. of regression1.640770    Akaike info criterion3.922848Sum squared resid48.45828    Schwarz crit

15、erion4.022421Log likelihood-37.22848    Hannan-Quinn criter.3.942286F-statistic0.086817    Durbin-Watson stat0.578517Prob(F-statistic)0.771634同样，根据上表可得对加拿大（CA）的OLS估计结果为： （5.16） （-0.29） ， ， D.W.=0.579， RSS=48.46英国（UK）：Dependent Variable: YMethod: Least SquaresD

16、ate: 05/22/11 Time: 22:48Sample: 1980 1999Included observations: 20VariableCoefficientStd. Errort-StatisticProb.  C12.554260.99023412.678080.0000X-0.0465910.012777-3.6463530.0018R-squared0.424845    Mean dependent var9.155000Adjusted R-squared0.392891   &

17、#160;S.D. dependent var1.916542S.E. of regression1.493315    Akaike info criterion3.734513Sum squared resid40.13981    Schwarz criterion3.834087Log likelihood-35.34513    Hannan-Quinn criter.3.753951F-statistic13.29589   

18、0;Durbin-Watson stat0.698064Prob(F-statistic)0.001847同样，根据上表可得对英国（UK）的OLS估计结果为： （12.68） （-3.65） ， ， D.W.=0.6981， RSS=40.14(2)将三个国家的数据合并成一个样本（共60个样本点），根据Eview软件得：OLS估计结果如下：Dependent Variable: YMethod: Least SquaresDate: 05/22/11 Time: 22:58Sample: 1980 2039Included observations: 60VariableCoefficient

19、Std. Errort-StatisticProb.  C12.149460.82026614.811610.0000X-0.0495000.009844-5.0287290.0000R-squared0.303622    Mean dependent var8.173333Adjusted R-squared0.291616    S.D. dependent var2.009120S.E. of regression1.690988    Akaik

20、e info criterion3.921268Sum squared resid165.8475    Schwarz criterion3.991079Log likelihood-115.6380    Hannan-Quinn criter.3.948575F-statistic25.28811    Durbin-Watson stat0.492398Prob(F-statistic)0.000005根据上表得估计方程为： （14.81） （-5.03） ， ， D.W.=0.49， RSS=165.85（3）在Eviews软件下，估计变截距固定影响模型得到如下结果：固定影响模型可按最小二乘虚拟变量（LSDV）模型估计，记D2为加拿大（CA）的虚拟变量；即观测值属于CA时取值为1，其他取值为0；记D3为英国的虚拟变量，取值规律同D2，所以，LSDV模型的OLS估计结果如下： （11.73） （4.12） （4.20） （-4.33）， ， D.W.=0.664， RSS=117.94美国（US）没有设定虚拟变量，成为比较的基准。