计量经济学时间序列课后习题eviews解答

1、2.1980年-2013年中国全社会固定资产投资总额X与工业总额增加Y的统计资料如下:obsYXgeo1996.50091O9000力日wq2043.-00951GOOD19S22362.3001230.40019632375.600“3。J00q9B42789.OODI83.90019S5344S.TOO2543J2O09S63&&T-W>O3120eooT9674585.800370*1.TOOrsee5777.2004753.0006484.00D4410.4009906S5S.OOO45-17.000"1991OOS594.5OO-199210284.5

2、08DS0.100q99:38S,OO3073,3019941948070"04NJ190S2950.6020019.a0996之64A7：6099732。口2-4M-I-1O199S3-013,40234060199335S61.5029SS4.7020004.00336032917.7Q200-143580.6D37215口20024743T.304M99.902OD3&4$4Sc&65-5S6b,6O2口04652HO.OO7口47/一4口SOOS77230.80SS773.602006SiSdO.aO彳。99&言：之2007110534.93733.9

3、2008130260,2172S264S009135239.922459S.S201T6O72222516S3.320-111B847O2314051201219D67D.737r48自47r3210639=.-4EV1曰-Group：UNTITLEOWerkfs!e：UNTITL=ED;I1F；l=EcditOLzyVi='wProcicfccOfzrttcjProuQbjtut:PiritjNamu|Fruuxuj|Defeo!t|Boijzj试问：(1)当设定模型为lnY=B0+B1lnX+u时是否存在序列相关？(2)采用普通最小二乘法和稳定标准误差方法分别估计模型，比较参数估计

4、的差异和它们标准差的误差，并说明稳定标准误差法克服序列相关后果的原理。(3)若原模型存在序列相关性，试用广义最小二乘法估计模型。(1)1.图示法DGraph:ETWcrkfile:UNTHlED：!Urtitled回|总编Vig?.：Proc,Object'PrintjManeAddTextLney-SnadeRemovelemnlaieQjtionjZoom07-0.8-0.95T.。1.1-1.2-133-.2-1.0.12.3从图中可以残差项的变化图形判断随机干扰项的序列相关性为正相关。2 .原模型OLS估计口Uk二出口4工大科刊自UN-LED-Un*tlr-d.回,手Vfew|

5、Fnoc|otjECt，Prirrt|N3me|Fneezie|Estinate|Foreca£t5G1sResidsDepenntVariable;LOGY)Method:Lea&tSquaresDate:06/03/16Tim«:29:43Sample:19S02013IncludedobseRations.34VariableCoefficientStd.ErrortStatisticProb.C193740101280791512559Q.OOOOLOGCX)081420600127325395109O.OGOOR-squared0.99223SMeande

6、pendent'-ar9.S9O61SAdjustedR-squared0.991904S.Ddependentvar1.523353S.E.ofr&gression0136307Akaikeinfocrit&rion-1.090796Sumsquaredresid0594544Schwaizcriterion-1.001010LogliKelirood20.54354Hannan-Quinncriter.-1.D6O177F-statlStic4089,742Duriiin-V/atsonstat0.230617ProtXF-statiStC)0.000000由于DW

7、值为0.28,dL(k=2,T=34)=1.39DW值小于dL,应此可以判断模型存在序列相关。3 .LM检验曲EViewc-(EqualUNTTTLEDWorkfileUNTITLED:tUrrtkEleC3FileEditOiiycrtViewProcQuickOption3WindowHelpWcf>pcObtiert|KtjnatgFbecastfStvta总重点dzBrentch-fio白心iftICcrreIartLF.4eeistF3t0titic7G.9959SPTO00.0000口yR-qusirRtfl?441日PrctiChi仔不用片1)口onnoTestEqiuti

8、onD»!PurlduntViIut>to.RESIDMMharf_Le曰31E<1ugreaDalFoa?a3/16Time2JODSample.1sso2013Includeeobservations:34PresamplemlaaingwalufrlaggedraidiualAtoz»ro.vanaDieccerrici&ntsta.Errortstatist*cftcd.c0.(1581710.009a95O.S3&2520.40S3LUG(X)-.Ubt)1/U.0(Jt>9UtiU.9i/S/U0.34MF1E3ID(-1>

9、;091SMCIT0102GG20007404c.aoooR-SQUar&OMeandiepentjentwarb.OIL16Adjusi&dR-squareciS.Dcfependentwar0134.22SS.E.ofu白gi已台号Jon0.073623AkidIkyinfocriterion-2.298338oumsquaredresid0.175/5iscriwarzcriterion-2.163bS9Loglikelihoodl4207175Hannfln-OLiiniricritsr-2252409FWBHEIC30,49297Durbin-Watsan方tai1.

10、401173Prob(F-statistic).OOOOQ根据nRA2统计量对应的值得出LM=34*0.699=23.76,在5%显著性水平下存在一阶序列相关性。感EView5-Equation:UNTITLEDWorkfik：UNTUIED:UntitledPIFileEditObjectViewProcQuickOptionsWrnciowHelpVieMProc|ObjectPriit|Pame|Freeze|Estindte|Forecast|Stats|Kesds|Breuscfi-GocJEre.SerialCorrelatronLMTestF-statistic4281526Pr

11、obF(2.30)0.0D000bs*R-squ3ne<i25.173&0ProbCh!-3quare(2:0.0000TestEquation:Dependentvarisble:RESIDf.lettiod:LeastSquaresDate:06/03/16Time;2159Sampic19802013Includedobservations:34PresamplermsHngvaluelaggedresidualssettozerc.Variabi&CoefficientStC.Errort-StatislicProbC00379E4S068B350.5513740

12、.5855LOGCX)T0043560Q063S2-0.6328910316RESIDE1.15217601794656.4193370.0000RESID(-2-,3044110.189117-16096410.1130R-sqjared0.740553Meandependentvar-5.O1E-16AdjustedR-squy&dQfDBs.DJependentvar0.134220S.Eofregressiori0.071706上Maikeinfocrikrtcn23阳52Surnsquaredrasid0.1542t3Scriwatzcriterion-2.142780Log

13、likelihoodHannan-Quinnenter小pfinnF-statistic28$4390Durbin-V.,atsonstat1.794S44ProbtFtatistic)0.0口。阿2阶序列相再继续LM检验的2阶序列相关性检验，发现在5%显著性水平下，原模型存在关性，但在t-test中，RESID(-2)的参数为0的假设。故不存在2阶序列相关性(2)序列相关稳健标准误差法Equation:NEWEYWorkFle:UNHTLED:UntWed归ViewPE|Objectftinft|NamE|FreeFe|Estimate|boreca/H5括tsgesidsDependent

14、Variable.LOGtY)Metliod:LeastSquaresDate:06/03/46Time:£1:04Sanpie:I9602013IneludedQbsnatianf：34hleweyVestHACStandardErrors&Covari<mce(Faigtruncatcn)VariableCoefficientStd.Errort-StatistrcProb.C19374010202。船95866730.0000LOGCX)0.8U2CSQ.C2044S39.3184400000R-squarect0992235IVteandependentvar9

15、.990519AdjustedR-squarea0.991994S.O.dependentvar1.523353S.E.ofregressian0136307AKaikeinfocriterion-1.09079S5umsquaredresid0,5945"Schwajz.criterian-1.001010LoglikfrHhood20.543&4Hannan-Quinnenter.4.060177F-statistic4089742urbin-Wstsonstat0230517Ffob(F-statistic)0.000000与原模型OLS估计对比Q.S7/CMUN-;T

16、LED：Unttl-d.U回羽View:ProciObject'Pdnt|FreezieFEijrngg|£口那匚町与？.3GtsResidsDependentVariabk:LOGCY)Method:LeastSquaresDate：06/03/16Time：20:43Sample:19S02C13IncludedoDser<ation£：34VariableCoefficientStdErrorStatisticProb.C1937401012807915125590.0000LOGCX)081420500127320395109O.OGOOR-squar

17、edD.99223BMeandependentvar&.sgos-isAdjustedR-squaretf0.991904SDdependentvar1523353S.E.ofregression0136307Aksikeinfocriterion-1090796Sumsquaredresid0594544Schwaizcriterion-1.001010Logiikelirood20.54354Hannan-Quinncrtier.-1.060177F-statistic4089.742urtjin-?/atsonslat0.260517ProbfF-statistic；0.0000

18、00发现变量X的对应参数修正后的标准差OLS结果有所增大，表明原模型OLS估计结果低估了X的标准差。(3)广义最小二乘法估计由于LM检验只要一阶序列相关性，故：军EVlews-(Equstton;ARIWorkfile;UNTIT_EUntitldFileEditObjectViewProcQuickOptionsWindowHelp陛依jproc|cibct|Print|Piamc|F3H&|Estiffimte，Fg其器t|StatsDependentVariable:LOG(Y)Methoa.LeastSquaresDate:6Time:21:33Sample(adjusted):-1Q812013Includedobservations;33afteradjustmentsConvergenceachievedafter13iterationsVariableCoefficientStdErrorStatisticProc.C94344306.0fl6531556412口1301LOG凶046106S0.10571243315610.0001AR(1)0.986440Q.015S4358565960.0000R'Squared0998356Meanaependentvar10,053