eviews面板數(shù)據(jù)之混合回歸模型.doc

一、數(shù)據(jù)：已知19962002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的居民家庭人均消費(fèi)（，不變價(jià)格）和人均收入（，不變價(jià)格）居民，利用數(shù)據(jù)（1）建立面板數(shù)據(jù)（panel data）工作文件；（2）定義序列名并輸入數(shù)據(jù)；（3）估計(jì)選擇面板模型；（4）面板單位根檢驗(yàn)。年人均消費(fèi)（consume）和人均收入（income）數(shù)據(jù)以及消費(fèi)者價(jià)格指數(shù)（p）分別見表1，2和3。表1 19962002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的居民家庭人均消費(fèi)（元）數(shù)據(jù)人均消費(fèi)1996199719981999200020012002CONSUMEAH3607.433693.553777.413901.814232.984517.654736.52CONSUMEBJ5729.526531.816970.837498.488493.498922.7210284.6CONSUMEFJ4248.474935.955181.455266.695638.746015.116631.68CONSUMEHB3424.354003.713834.434026.34348.474479.755069.28CONSUMEHLJ3110.923213.423303.153481.743824.444192.364462.08CONSUMEJL3037.323408.033449.743661.684020.874337.224973.88CONSUMEJS4057.54533.574889.435010.915323.185532.746042.6CONSUMEJX2942.113199.613266.813482.333623.563894.514549.32CONSUMELN3493.023719.913890.743989.934356.064654.425342.64CONSUMENMG2767.843032.33105.743468.993927.754195.624859.88CONSUMESD3770.994040.634143.964515.0550225252.415596.32CONSUMESH6763.126819.946866.418247.698868.199336.110464CONSUMESX3035.593228.713267.73492.983941.874123.014710.96CONSUMETJ4679.615204.155471.015851.536121.046987.227191.96CONSUMEZJ5764.276170.146217.936521.547020.227952.398713.08表2 19962002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的居民家庭人均收入（元）數(shù)據(jù)人均收入1996199719981999200020012002INCOMEAH4512.774599.274770.475064.65293.555668.86032.4INCOMEBJ7332.017813.168471.989182.7610349.6911577.7812463.92INCOMEFJ5172.936143.646485.636859.817432.268313.089189.36INCOMEHB4442.814958.675084.645365.035661.165984.826679.68INCOMEHLJ3768.314090.724268.54595.144912.885425.876100.56INCOMEJL3805.534190.584206.644480.0148105340.466260.16INCOMEJS5185.795765.26017.856538.26800.237375.18177.64INCOMEJX3780.24071.324251.424720.585103.585506.026335.64INCOMELN4207.234518.14617.244898.615357.795797.016524.52INCOMENMG3431.813944.674353.024770.535129.055535.896051INCOMESD4890.285190.795380.085808.966489.977101.087614.36INCOMESH8178.488438.898773.110931.6411718.0112883.4613249.8INCOMESX3702.693989.924098.734342.614724.115391.056234.36INCOMETJ5967.716608.397110.547649.838140.58958.79337.56INCOMEZJ6955.797358.727836.768427.959279.1610464.6711715.6表3 19962002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的消費(fèi)者物價(jià)指數(shù)物價(jià)指數(shù)1996199719981999200020012002PAH109.9101.310097.8100.7100.599PBJ111.6105.3102.4100.6103.5103.198.2PFJ105.9101.799.799.1102.198.799.5PHB107.1103.598.498.199.7100.599PHLJ107.1104.4100.496.898.3100.899.3PJL107.2103.799.29898.6101.399.5PJS109.3101.799.498.7100.1100.899.2PJX108.410210198.6100.399.5100.1PLN107.9103.199.398.699.910098.9PNMG107.6104.599.399.8101.3100.6100.2PSD109.6102.899.499.3100.2101.899.3PSH109.2102.8100101.5102.5100100.5PSX107.9103.198.699.6103.999.898.4PTJ109103.199.598.999.6101.299.6PZJ107.9102.899.798.810199.899.1二、1.輸入操作： 步驟：（1）FileNewWorkfile步驟：（2）Start dateEnd dateOK步驟：（3）ObjectNew Object步驟：（4）Type of objectPool步驟：（5）輸入所有序列名稱步驟：（6）定義各變量點(diǎn)擊sheet輸入consume？income？p?步驟：（7）將表1、2、3中的數(shù)據(jù)復(fù)制到Eviews中2.估計(jì)操作：步驟：（1）點(diǎn)擊poolmodelEstimate對話框說明Dependent variable:被解釋變量；Common：系數(shù)相同部分Cross-section specific:截面系數(shù)不同部分混合回歸模型的估計(jì)原理說明如果從時(shí)間上看，不同個(gè)體之間不存在顯著性差異；從截面上看，不同截面之間也不存在顯著性差異，即對個(gè)體從橫向和縱向上進(jìn)行比較，均不存在顯著性差異，那么就可以直接把面板數(shù)據(jù)混合在一起用OLS估計(jì)參數(shù)。模型形式： (1)混合回歸模型是假設(shè)所有的解釋變量對被解釋變量的邊際影響與個(gè)體無關(guān)，但是這通常與實(shí)際情況不符合，因此，在確定回歸模型結(jié)果是否有效之前，先要對面板數(shù)據(jù)進(jìn)行模型設(shè)定驗(yàn)證，通常利用鄒氏檢驗(yàn)的F統(tǒng)計(jì)。檢驗(yàn)混合模型的約束條件：步驟：（2）Dependent variable：consume？；Common：c income?其他部分不動(dòng)所得結(jié)果：相應(yīng)的表達(dá)式是： (1.8) (78.3) 收入每上升一個(gè)百分點(diǎn)，人均消費(fèi)增加0.76個(gè)百分點(diǎn)，表明15個(gè)省級(jí)地區(qū)的城鎮(zhèn)人均指出平均占收入的76%。鄒氏檢驗(yàn)的F統(tǒng)計(jì)量：將安徽、北京、上海等十五個(gè)省分別進(jìn)行OLS估計(jì)，得到15個(gè)一元回歸的殘差平方和：18172.0535128