第七章练习题及参考解答(第四版)计量经济学

1、精选优质文档-倾情为你奉上第七章练习题及参考解答7.1 表7.4中给出了1981-2015年中国城镇居民人均年消费支出(PCE)和城镇居民人均可支配收入(PDI)数据。表7.4 1981-2015年中国城镇居民消费支出(PCE)和可支配收入(PDI)数据 （单位：元）年度城镇居民人均消费支出PCE城镇居民人均可支配收入PDI年度城镇居民人均消费支出PCE城镇居民人均可支配收入PDI1981456.80500.4019994615.915854.021982471.00535.3020004998.006280.001983505.90564.6020015309.016859.60198455

2、9.40652.1020026029.887702.801985673.20739.1020036510.948472.201986799.00900.9020047182.109421.601987884.401002.1020057942.8810493.0019881104.001180.2020068696.5511759.5019891211.001373.9320079997.4713785.8019901278.901510.20200811242.8515780.7619911453.801700.60200912264.5517174.6519921671.702026.60

3、201013471.4519109.4419932110.802577.40201115160.8921809.7819942851.303496.20201216674.3224564.7219953537.574283.00201318022.6426955.1019963919.474838.90201419968.0829381.0019974185.645160.30201521392.3631790.3119984331.615425.10估计下列模型：(1) 解释这两个回归模型的结果。(2) 短期和长期边际消费倾向（MPC）是多少？分析该地区消费同收入的关系。(3) 建立适当的分

4、布滞后模型，用库伊克变换转换为库伊克模型后进行估计，并对估计结果进行分析判断。【练习题7.1参考解答】(1) 解释这两个回归模型的结果。Dependent Variable: PCEMethod: Least SquaresDate: 03/10/18 Time: 09:12Sample: 1981 2005Included observations: 25VariableCoefficientStd. Errort-StatisticProb. C149.097524.567346.0.0000PDI8400.0000R-squared0. Mean dependent v

5、ar2983.768Adjusted R-squared0. S.D. dependent var2364.412S.E. of regression77.70773 Akaike info criterion11.62040Sum squared resid.3 Schwarz criterion11.71791Log likelihood-143.2551 F-statistic22196.24Durbin-Watson stat0. Prob(F-statistic)0.收入跟消费间有显著关系。收入每增加1元，消费增加0.76元。Dependent Variable: PCEMethod

6、: Least SquaresDate: 03/10/18 Time: 09:13Sample(adjusted): 1982 2005Included observations: 24 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C147.688626.735795.0.0000PDI.0000PCE(-1).2803R-squared0. Mean dependent var3089.059Adjusted R-squared0. S.D. dependent va

7、r2354.635S.E. of regression77.44504 Akaike info criterion11.65348Sum squared resid.4 Schwarz criterion11.80074Log likelihood-136.8418 F-statistic10620.10Durbin-Watson stat0. Prob(F-statistic)0.(2) 短期和长期边际消费倾向（MPC）是多少？分析该地区消费同收入的关系。短期MPC=0.68，长期MPC=0.679/(1-0.111)=0.764(3) 建立适当的分布滞后模型，用库伊克变换转换为库伊克模型后

8、进行估计，并对估计结果进行分析判断。在滞后1-5期内，根据AIC最小，选择滞后5期，其回归结果如下:Dependent Variable: PCEMethod: Least SquaresDate: 03/10/18 Time: 09:25Sample(adjusted): 1986 2005Included observations: 20 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C167.959033.277935.0.0002PDI.0001PDI(-1).4

9、263PDI(-2)-0.0.-0.0.5818PDI(-3)-0.0.-0.0.8358PDI(-4).3940PDI(-5)-0.0.-1.0.1429R-squared0. Mean dependent var3596.396Adjusted R-squared0. S.D. dependent var2254.922S.E. of regression67.79561 Akaike info criterion11.54009Sum squared resid59751.18 Schwarz criterion11.88860Log likelihood-108.4009

10、 F-statistic3501.011Durbin-Watson stat1. Prob(F-statistic)0.当期收入对消费有显著影响，但各滞后期影响并不显著。不显著可能是分布滞后模型直接估计时共线性造成的，也可能是真没显著影响。库伊克模型估计结果见上表，PCE(-1)部分回归结果t检验不显著。7.2 表7.5中给出了中国1980-2016年固定资产投资Y与社会消费品零售总额X的资料。取阿尔蒙多项式的次数m=2，运用阿尔蒙多项式变换法估计以下分布滞后模型：表7.5中国1980-2016年固定资产投资Y与社会零售总额X数据 （单位：亿元）年份固定资产投资Y社会消费品零售总额X年份固定资

11、产投资Y社会消费品零售总额X1980910.92140.0199929854.735647.91981961.02350.0200032917.739105.719821230.42570.0200137213.543055.419831430.12849.4200243499.948135.919841832.93376.4200355566.652516.319852543.24305.0200470477.459501.019863120.64950.0200588773.667176.619873791.75820.02006.276410.019884753.87440.02007.

12、989210.019894410.48101.42008.4.119904517.08300.12009.8.419915594.59415.62010.8.419928080.110993.72011.1.6199313072.314270.42012.7.0199417042.118622.92013.1.9199520019.323613.82014.7.1199622913.528360.22015.8.8199724941.131252.92016.7.3199828406.233378.1【练习题7.2参考解答】直接估计结果如下：Dependent Variable: YMetho

13、d: Least SquaresDate: 03/10/18 Time: 09:32Sample(adjusted): 1984 2016Included observations: 33 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C-23633.423701.825-6.0.0000X.6190X(-1).2265X(-2)-0.1.-0.0.7529X(-3).5379X(-4)-1.1.-1.0.3138R-squared0. Mean depen

14、dent var.7Adjusted R-squared0. S.D. dependent var.0S.E. of regression15497.23 Akaike info criterion22.29768Sum squared resid6.48E+09 Schwarz criterion22.56977Log likelihood-361.9117 F-statistic859.2660Durbin-Watson stat0. Prob(F-statistic)0.使用阿尔蒙变换估计结果如下：Dependent Variable: YMethod: Least SquaresDat

15、e: 03/10/18 Time: 09:37Sample(adjusted): 1984 2016Included observations: 33 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C-23683.133619.054-6.0.0000Z0.2089Z.7267Z2-0.0.-0.0.5206R-squared0. Mean dependent var.7Adjusted R-squared0. S.D. dependent var.0S.E. of r

16、egression15170.17 Akaike info criterion22.20526Sum squared resid6.67E+09 Schwarz criterion22.38666Log likelihood-362.3868 F-statistic1494.254Durbin-Watson stat0. Prob(F-statistic)0.根据可计算出0.802=1.051=0.833=0.149=-1.002直接使用软件结果：Dependent Variable: YMethod: Least SquaresDate: 03/10/18 Time: 09:39Sample

17、(adjusted): 1984 2016Included observations: 33 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C-23683.133619.054-6.0.0000PDL0.2454PDL02-0.0.-3.0.0042PDL03-0.0.-0.0.5206R-squared0.Mean dependent var.7Adjusted R-squared0.S.D. dependent var.0S.E. of regression15170.17Aka

18、ike info criterion22.20526Sum squared resid6.67E+09Schwarz criterion22.38666Log likelihood-362.3868F-statistic1494.254Durbin-Watson stat0.Prob(F-statistic)0. Lag Distribution of XiCoefficientStd. ErrorT-Statistic . * |0 0.80168 0.62378 1.28520 . *|1 1.05067 0.42723 2.45927 . * |2 0.83302 0.70264 1.1

19、8555 .* |3 0.14873 0.31166 0.47722 * . |4-1.00221 0.92567-1.08269Sum of Lags 1.83190 0.18562 9.869017.3利用表7.5的数据，运用局部调整假定或自适应预期假定估计以下模型参数，并解释模型的经济意义，探测模型扰动项的一阶自相关性：1）设定模型其中为预期最佳值。 2）设定模型其中为预期最佳值。3）设定模型其中为预期最佳值。【练习题7.3参考解答】1）设定模型 其中为预期最佳值。Dependent Variable: YMethod: Least SquaresDate: 03/10/18 Time:

20、 10:09Sample(adjusted): 1981 2016Included observations: 36 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C-5669.5052498.919-2.0.0299X.0000Y(-1).0000R-squared0. Mean dependent var.6Adjusted R-squared0. S.D. dependent var.8S.E. of regression8314.081 Akaike info c

21、riterion20.96894Sum squared resid2.28E+09 Schwarz criterion21.10090Log likelihood-374.4410 F-statistic7815.118Durbin-Watson stat0. Prob(F-statistic)0.根据回归结果，可算出h统计量为3.64，明显大于2，表明5%显著水平下存在相关性。根据回归数据，可算出调整系数为1-0.734=0.266，这表示了局部调整的速度。0.665/0.266=2.5 2）设定模型 其中为预期最佳值。假设调整方程为：，则转化为一阶自回归模型后的回归结果为:Dependen

22、t Variable: LOG(Y)Method: Least SquaresDate: 03/10/18 Time: 10:11Sample(adjusted): 1981 2016Included observations: 36 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C-0.0.-0.0.4396LOG(X).2615LOG(Y(-1).0006R-squared0. Mean dependent var10.25491Adjusted R-squared0

23、. S.D. dependent var1.S.E. of regression0. Akaike info criterion-1.Sum squared resid0. Schwarz criterion-1.Log likelihood32.57124 F-statistic6386.241Durbin-Watson stat0. Prob(F-statistic)0.根据回归结果，计算h统计量时开方部分为负，没法计算。故没法根据h统计量判断相关性。根据回归数据，可算出调整系数为1-0.765=0.235，这表示了局部调整的速度。0.2997/0.235=1.2753）设定模型 其中为预

24、期最佳值。Dependent Variable: YMethod: Least SquaresDate: 03/10/18 Time: 10:09Sample(adjusted): 1981 2016Included observations: 36 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C-5669.5052498.919-2.0.0299X.0000Y(-1).0000R-squared0. Mean dependent var.6Adjusted R-squ

25、ared0. S.D. dependent var.8S.E. of regression8314.081 Akaike info criterion20.96894Sum squared resid2.28E+09 Schwarz criterion21.10090Log likelihood-374.4410 F-statistic7815.118Durbin-Watson stat0. Prob(F-statistic)0.可算出调节系数为1-0.734=0.266，这表示了预期修正的速度。0.665/0.266=2.57.4表7.6给出中国各年末货币流通量Y，社会商品零售额X1、城乡居

26、民储蓄余额X 2的数据。表7.6中国年末货币流通量、社会商品零售额、城乡居民储蓄余额数据 （单位：亿元）年份年末货币流通量Y社会消费品零售总额X1城乡居民储蓄年底余额X219892344.08101.45184.5019902644.48300.17119.6019913177.89415.69244.9019924336.010993.711757.3019935864.714270.415203.5019947288.618622.921518.8019957885.323613.829662.3019968802.028360.238520.80199710177.631252.9462

27、79.80199811204.233378.153407.47199913455.535647.959621.83200014652.739105.764332.38200115688.843055.473762.43200217278.048135.986910.65200319746.052516.3.65200421468.359501.0.39200524031.767176.6.99200627072.676410.0.30200730334.389210.0.192008345200938620104469201150748.5.

28、6.89201254602013585720146024利用表中数据设定模型：其中，为长期(或所需求的)货币流通量。试根据局部调整假设，作模型变换，估计并检验参数，对参数经济意义做出解释。【练习题7.4参考解答】利用表中数据设定模型： 其中，为长期(或所需求的)货币流通量。试根据局部调整假设，作模型变换，估计并检验参数，对参数经济意义做出解释。假设局部调整方程为：，对，可转化为回归方程：，其回归结果如下：Dependent Variable: YMethod: Least SquaresDate: 03/10/18 Time: 10:03Samp

29、le(adjusted): 1990 2014Included observations: 25 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C1618.034732.14892.0.0383Y(-1).0000X1-0.0.-3.0.0049X.0301R-squared0. Mean dependent var23457.75Adjusted R-squared0. S.D. dependent var18266.54S.E. of regression972.7

30、612 Akaike info criterion16.74380Sum squared resid Schwarz criterion16.93882Log likelihood-205.2975 F-statistic2813.916Durbin-Watson stat1. Prob(F-statistic)0.各回归系数在5%显著水平下均显著。可算出调整系数为1-0.981=0.019，这表示了局部调整的速度。假设局部调整方程为：，对，可转化为回归方程：，其回归结果如下：Dependent Variable: LOG(Y)Method: Least SquaresDate: 03/10/18 Time: 10:04Sample(adjusted): 1990 2014Included observations: 25 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C.0273LOG(Y(-1).0041LOG(X1)0