實(shí)驗(yàn)三多元線性回歸模型的估計(jì)和檢驗(yàn)講解

1、廣東財(cái)建大琴舉商孕院HUASHANG COLLEGEGUANGDONG UN1VERSITV OF FINANCE & ECONOMICS實(shí)驗(yàn)報(bào)告課程名稱：計(jì)量經(jīng)濟(jì)學(xué)實(shí)驗(yàn)項(xiàng)目： 實(shí)驗(yàn)三 多元線性回歸模型的實(shí)驗(yàn)類型：估計(jì)和檢驗(yàn)綜合性口設(shè)計(jì)性口驗(yàn)證性專業(yè)班別:姓名:學(xué)號(hào):實(shí)驗(yàn)課室:厚德樓B503指導(dǎo)教師:石立實(shí)驗(yàn)日期：2016年4月29日廣東商學(xué)院華商學(xué)院教務(wù)處制、實(shí)驗(yàn)項(xiàng)目訓(xùn)練方案小組合作：是否小組成員：無(wú)實(shí)驗(yàn)?zāi)康模赫莆斩嘣€性回歸模型估計(jì)和檢驗(yàn)的方法。實(shí)驗(yàn)場(chǎng)地及儀器、設(shè)備和材料實(shí)驗(yàn)室：普通配置的計(jì)算機(jī)，Eviews軟件及常用辦公軟件實(shí)驗(yàn)訓(xùn)練內(nèi)容（包括實(shí)驗(yàn)原理和操作步驟）：【實(shí)驗(yàn)步驟】（一）國(guó)內(nèi)生

2、產(chǎn)總值的增長(zhǎng)模型：分析廣東省國(guó)內(nèi)生產(chǎn)總值的增長(zhǎng)，根據(jù)廣東數(shù)據(jù)（數(shù)據(jù)見“表：廣東省宏觀經(jīng)濟(jì)數(shù)據(jù) -第三章.Xis”文件，各變量的表示按照試驗(yàn)指導(dǎo)課本上的來(lái)表示） 選擇不變價(jià)GDP（ GDPB）、不變價(jià)資本存量（ZC）和從業(yè)人員（RY），把GDPB作 為因變量，ZC和RY作為兩個(gè)解釋變量進(jìn)行二元線性回歸分析。要求：按照試驗(yàn)指導(dǎo)課本Ro0Ro2，分別作：1 作散點(diǎn)圖（GDPB同ZC，GDPB同RY）（結(jié)果控制在本頁(yè)）7,0006,000 -V7,0006,000495,000 -5,0004,000 -B 4,000*#3,000 -G 3,00004-42,000 -2,000*t*1,000 -

3、V-1,000V*/0 -10-111 -04,0008,00012,00016,000ZC2,0003,0004,0005,000RY6,0002進(jìn)行因果關(guān)系檢驗(yàn)（GDPB同ZC, GDPB同RY）（結(jié)果控制在本頁(yè)）Pairwise Granger Causality TestsDate: 04/29/16 Time: 14:35Sample: 1978 2005Lags: 2Null Hypothesis:ObsF-StatisticProb.ZC does not Granger Cause GDPB GDPB does not Granger Cause ZC263.8493919.0

4、7480.03762.E-05Pairwise Granger Causality TestsDate: 04/29/16 Time: 14:36Sample: 1978 2005Lags: 2Null Hypothesis:ObsF-StatisticProb.RY does not Granger Cause GDPB260.096030.9088GDPB does not Granger Cause RY4.728560.02023作GDPB同ZC和RY的多元線性回歸，寫出模型估計(jì)的結(jié)果，并分析模型檢驗(yàn)是均 否通過(guò)？（三個(gè)檢驗(yàn)）（結(jié)果控制在本頁(yè)）Dependent Variable: G

5、DPBMethod: Least SquaresDate: 04/29/16Time: 14:40Sample: 1978 2005Included observations: 28CoefficientStd. Errort-StatisticProb.ZC0.3771700.00835545.142650.0000RY0.3536890.0427578.2720280.0000C-800.5997113.7822-7.0362470.0000R-squared0.999152Mean dependent var1754.112Adjusted R-squared0.999085S.D. d

6、ependent var1683.912S.E. of regression50.94570Akaike info criterion10.80035Sum squared resid64886.61Schwarz criterion10.94309Log likelihood-148.2050Hannan-Quinn criter.10.84399F-statistic14736.32Durbin-Watson stat0.443892Prob(F-statistic)0.000000得到估計(jì)方程GDPB=0.37716969694502*ZC+0.353688537498*RY-800.5

7、99732335估計(jì)方程的判定系數(shù)R2接近1;參數(shù)顯著性t檢驗(yàn)值均大于2;方程顯著性F檢驗(yàn)顯著 調(diào)整的判定系數(shù)為0.999085,比下面的一元回歸有明顯改善。4.將建立的二元回歸模型 （GDPB同ZC和RY）同一元回歸模型（GDPB同ZC、GDPB 同RY）相比較，分析優(yōu)點(diǎn)。（結(jié)果控制在本頁(yè)）元回歸模型:Dependent Variable: GDBMethod: Least SquaresDate: 04/29/16Time: 14:52Sample: 1978 2005Included observations: 28CoefficientStd. Errort-StatisticProb

8、.ZC0.4428980.00489690.460000.0000C133.972125.570545.2393140.0000R-squared0.996833Mean dependent var1754.112Adjusted R-squared0.996711S.D. dependent var1683.912S.E. of regression96.57302Akaike info criterion12.04722Sum squared resid242485.0Schwarz criterion12.14238Log likelihood-166.6611Hannan-Quinn

9、criter.12.07632F-statistic8183.011Durbin-Watson stat0.167556Prob(F-statistic)0.000000Dependent Variable: GDPBMethod: Least SquaresDate: 04/29/16Time: 14:54Sample: 1978 2005Included observations: 28CoefficientStd. Errort-StatisticProb.RY2.1893170.11773518.595280.0000C-5519.137400.4253-13.783190.0000R

10、-squared0.930067Mean dependent var1754.112Adjusted R-squared0.927377S.D. dependent var1683.912S.E. of regression453.7907Akaike info criterion15.14190Sum squared resid5354077.Schwarz criterion15.23706Log likelihood-209.9866Hannan-Quinn criter.15.17099F-statistic345.7844Durbin-Watson stat0.078643Prob(

11、F-statistic)0.000000問(wèn)題3的二元回歸模型與一元回歸模型比較，可以得出估計(jì)方程的判定系數(shù)R2、參數(shù)顯著性t檢驗(yàn)、方程顯著性F檢驗(yàn)和調(diào)整的判定系數(shù)有些 比一元回歸有改進(jìn)，表明這些確實(shí)應(yīng)該進(jìn)行二元回歸。10,0005結(jié)合相關(guān)的經(jīng)濟(jì)理論，分析估計(jì)的二元回歸模型的經(jīng)濟(jì)意義。（結(jié)果控制在本頁(yè)）因?yàn)?GDPB=1.669146*ZC-0.057889*RY-476.1072系數(shù)說(shuō)明，不變價(jià)資本存量ZC每增加1.669146個(gè)單位，同時(shí)從業(yè)人員RYO.o57C8）89 個(gè)單位，國(guó)內(nèi)生產(chǎn)總值GDPS增加1個(gè)單位，因此符合經(jīng)濟(jì)理論。6,000（二）宏觀經(jīng)濟(jì)模型：根據(jù)廣東數(shù)據(jù)，研究廣東省居民消費(fèi)

12、行為、固定資產(chǎn)投資行為、 貨物和服務(wù)凈出口行為和存貨行為，分別建立居民消費(fèi)模型、固定資產(chǎn)投資模型、貨00 物和服務(wù)凈出口模型和存貨增加模型。要求：按照試驗(yàn)指導(dǎo)課本Ro5R12，分別作出以下模型，并對(duì)需要改進(jìn)的模型0 進(jìn)行改進(jìn)。寫出最終估計(jì)的模型結(jié)果，并結(jié)合相關(guān)的經(jīng)濟(jì)理論，分析模型的經(jīng)濟(jì)意義。（數(shù)據(jù)見“表：廣東省宏觀經(jīng)濟(jì)數(shù)據(jù)-第三章.XlS ”文件，各變量的表示按照試驗(yàn)指導(dǎo)課本上的來(lái)04,0C表示。）02,0001.居民消費(fèi)模型（結(jié)果控制在本頁(yè)）10,0008,0006,0004,0002,000LBPairwise Granger Causality TestsDate: 04/29/16Ti

13、me: 15:15Sample: 1978 2005Lags: 2Null Hypothesis:ObsF-StatisticProb.LB does not Granger Cause XFJ267.190100.0042XFJ does not Gra ger Cause LB5.455160.0124Dependent Variable: XFJMethod: Least SquaresDate: 04/29/16Time: 15:17Sample: 1978 2005ncluded observations: 28VariableCoefficientStd. Errort-Stati

14、sticProb.LB0.7408080.03289322.521990.0000YY0.3620750.0464527.7946920.0000C46.9151336.602821.2817350.2117R-squared0.997789Mean dependent var2362.277Adjusted R-squared0.997612S.D. dependent var2565.722S.E. of regression125.3710Akaike info criterion12.60139Sum squared resid392946.9Schwarz criterion12.7

15、4412_og likelihood-173.4194Hannan-Quinn criter.12.64502z-statistic5641.541Durbin-Watson stat1.122075prob(F-statistic)0.0000002 固定資產(chǎn)投資模型(結(jié)果控制在本頁(yè))Dependent Variable: TZGMethod: Least SquaresDate: 04/29/16 Time: 15:21Sample: 1978 2005VariableCoefficientStd. Errort-StatisticProb.4.5ZJ1.1118640.243152271

16、60.0001YY0.4316920.0525668.2123520.0000CZ0.1432100.4053080.3533380.7269C31.2762527.825171.1240270.2721R-squared0.997573Mean dependent var1628.997Adjusted R-squared0.997270S.D. dependent var2003.852S.E. of regression104.7010Akaike info criterion12.27166Sum squared resid263095.1Schwarz criterion12.461

17、97_og likelihood-167.8032Hannan-Quinn criter.12.32984F-statistic3288.646Durbin-Watson stat1.298515Prob(F-statistic)0.0000003 貨物和服務(wù)凈流出模型(結(jié)果控制在本頁(yè))Dependent Variable: CKMethod: Least SquaresDate: 04/29/16 Time: 15:25Sample: 1978 2005VariableCoefficientStd. Errort-StatisticProb.GDP0.0882390.00552515.970

18、670.0000LL-42.6598911.83064-3.6058800.0014C202.217395.250382.1230080.0438R-squared0.950564Mean dependent var427.0379Adjusted R-squared0.946609S.D. dependent var651.0303S.E. of regression150.4304Akaike info criterion12.96584Sum squared resid565732.7Schwarz criterion13.10857_og likelihood-178.5217Hann

19、an-Quinn criter.13.00947F-statistic240.3512Durbin-Watson stat1.504205Prob(F-statistic)0.0000004 存貨增加模型(結(jié)果控制在本頁(yè))Dependent Variable: TZCMethod: Least SquaresDate: 04/29/16 Time: 15:27Sample: 1978 2005VariableCoefficient Std. Error t-Statistic Prob.ex0.0306330.0047396.4638880.0000PSL1.7808060.1988598.9

20、551120.0000C-209.054645.84519-4.5600130.0001R-squared0.952473Mean dependent var424.3629Adjusted R-squared0.948671S.D. dependent var392.2360S.E. of regression88.86446Akaike info criterion11.91306Sum squared resid197422.3Schwarz criterion12.05579_og likelihood-163.7828Hannan-Quinn criter.11.95669F-statistic250.5102Durbin-Watson stat2.164713Prob(F-statistic)0.000000二、實(shí)驗(yàn)總結(jié)與評(píng)價(jià)實(shí)驗(yàn)總結(jié)（包括實(shí)驗(yàn)數(shù)據(jù)分析、實(shí)驗(yàn)結(jié)果、實(shí)驗(yàn)過(guò)程中出現(xiàn)的問(wèn)題及解決方法等） 見實(shí)驗(yàn)步驟中。對(duì)實(shí)驗(yàn)的自我評(píng)價(jià)：1總結(jié)本次實(shí)驗(yàn)的實(shí)驗(yàn)成果、遇到的問(wèn)題和收獲。（50字左右）通過(guò)本次試驗(yàn)，自己對(duì)EViews軟件操作更加熟悉了，也慢慢地