計(jì)量經(jīng)濟(jì)學(xué)第五六章作業(yè)

1、百度文庫(kù)讓每個(gè)人平等地捉升口我各地區(qū)農(nóng)村居民家庭人均純收入與家庭人均生活消費(fèi)支出的數(shù)據(jù)（單位：元）（1）試根據(jù)上述數(shù)據(jù)建立2007年我國(guó)農(nóng)村居民家庭人均消費(fèi)支出對(duì)人均純收入的線性回歸 模型。（2）選用適當(dāng)方法檢驗(yàn)?zāi)Ｐ褪欠裨诋惙讲睿⒄f(shuō)明存在異方差的理由。（3）如果存在異方差，用適當(dāng)方法加以修正。答：散點(diǎn)圖線性回歸分析圖O Equation： UNTITLEDWorkffle： UNTITLED：:Untitled 卩口 回歯JMew|Proc|object| Prht|Ndme|Free?e| esthiate|Fo(ecdst|stats|Re$ds|Dependent Variable:

2、XMethod: Least SquaresDaw: 10/18/14 Time: 18:20Sample: 1 31Included observations 31VariableCoefficientStd. Errort-StatisticProbC T179.191607195D0221.57750.8087090 04570015.744110.4253 0 0000R-squarea Adjusted R-squared S.E. of regression Sum squared rssid Log likelihood F-statisticProb(F-stat) Stic)

3、0.8952500.891649493.62407066274. -2352084247.87590.000000Mean aGponaont/ar S.D. dependent var AKaiKe info criterion Schwarz criterion Hannan-Ouinn criter Durbin-Watscn stat3376.309 1499512 15.3037715.3962815.333921.473596由圖建立樣本回歸函數(shù)左二+r2= Graph: UNTITLED Workfile: UNnTLED:Untitled&：有1辰蟲(chóng)w| Pro:| Objec

4、tj Print| Name AddTextlbnehacfe | RerroveT expiate | Optons | Zcon |由圖形法可看岀殘差平方隨如的變動(dòng)呈增大趨勢(shì)，但還需進(jìn)一步檢驗(yàn).White檢驗(yàn)Z) Equation: UNTITLEDWorkfile: UNnTLED:Untitled | o | 回Vew|Proc|Objcct| Frint| None (Freeze | Estimate Forecast State |Rcsids|HeterosKedasticity Test: v/hite IF-slatistic1.859145Prob. F(2,10h0 2

5、059Obs*R-$quared3.623601Prob. Chi-Square(2)01717Scaled explained SS4.685299Prob Chi-Square(2)0 0961TestEquato n:Dependent Variable: RESIDA2Method: Least SquaresData 10/18/U Time: 22:27sample 19 31In eluded observations: 13VariableCoefficient Std. Error t-Statistic Prob.C-2455770.2773615-0 88E4040 39

6、67T738.598787274020.84629804172TA2-0.0400410.032834-0.6372500 5383由上述結(jié)果可知，該模型存在異方差，理由是從數(shù)據(jù)可看出一是截而數(shù)據(jù)，看出各省市經(jīng)濟(jì)發(fā) 展不平衡3）用加權(quán)最小二乘法修正，選用權(quán)數(shù)wlw2=4w3哉則XTlv j TirA mpl0r； 1 3*1 IcejdAd o*七 WcMgrtting sonosr W3ia. 231V4iriatlOomciAntStd. Errort-&tatottcRrotc X7G7.2O47-173.GG44.S32S340.066731l4O7-46O OOC O.OOCwagm

7、odStGrtioticoR-ouoroddjutod R.-aquarod S.E of rogro&oion Sum oQin -Wocoon etneQ.&MiWCSU0.944200219&N .482730rvioon cKpondont vor S .D. doponont var /KKciiKo into crttorion SoKwars 2rkorion F stotisttcRrokKP ot dt iotio)N 73.0(；14 2SNi4.227610-1.498O.OOOOC(JnwaigHted StatiacicaR-o)Lior9l&.巴 /ar S L.

8、depvrxSwrU vr ftuirr OQuorcd ro&d散點(diǎn)圖回歸結(jié)果匕ndioaie52汛9*|心“”|Dependent Variable: YMethod Least SquaresDate: 10/23/14 Time: 1823Sample: 1978 2011Included observations: 34VariableCoefficientStd. Error卜 StatisticProbC92.5544342.805572.1G22050.0382X0.7462430.01912039.030100.0000R-squared0.979425Mean depend

9、enivar1295.805Adjusted R-SQuared0.978783s.D deoendenivar1188 794S E of regression173.1908AKaike info criterion13 20334Sum squared resid9595096Schwarz aitenon13 29313Loo likelihood-2224558Hannan-Quinn alter.13 23396F-$tausnc1523 349Duran-watson stai1534480ProQ(F-statistic)OOOOOOOGoldfield-quanadt 檢驗(yàn)L

10、J tquation: uzill Ltu woncrne: UN uiLtu：unt(tiea o | 凹 View|Prodobject| Print NameFreeze| Estimate|Forucost| Stats|Rc5ids|Dependent YariaDle: YMethod: Least SquaresCate: 10/23/14 Time: 18:37Sample: 113Included obseivations: 13variaoiecoemcientstd. Error t-statisticProD.C-18 868618 963780-21049840 05

11、91X0.9678390.0268793S.007710.0000R-squared0.991587Mean dependentyar280.1377Adjusted R-squared0.990823S.D. dependent var127.0409S.E. of rsaression1217039Akaike info entericn7.976527Sum squared resid1629.301SchwarzcritGri cn8.053442Log likelihood4984742Hannon -Quin n crite 匚7.958662F-stati 引 ic1296.55

12、5Durbin-Watson stat1.071505ProD(F-statistic)0.000000feiv|ProdObject| Priit| Name | Freeze | Estimate | Forecast | Stats | Resids | Dependentvariable: YMethod: Least SquaresDate: 10/23/14 Time: 18:44sample: 22 34In eluded obsRations: 13VariableCoefficientStd Error StatisticProbC179.4058202.87770.8843

13、050.3954X0.7195660.05831212.339890.0000R-SQuared0.932628Meandependentvar2496.135Adjusted R squared0.926503S.D. dependent var1022.590s.E. or regression277.2268Aaike inro criterion1422819Sum squared resid845401.5Schwarz criterion1431510Log likelihood-90.48321Hannan-Q uinn criter1421032F-statistic152.2

14、728Durbin-Watson stat1.658399Prob(F-statistic)0.00000010所以模型存在異方差ViewpodObject Pnnt|NaniG|FrBezQ| Estmate|Forccastl Stats ResdsjDependent Vari abl e Y Meincd: Least squares Date: 10/23/14 Time: 18:57 Sample 1 34Included observations: 34Weighing series: W3VariableCoefficient Std. Error t-Statistic Pr

15、cb.C&3906693.6042992.4667400.0192X0 8521930 02015042293380 0000Weighted StatisticsR-scuaredAdjusted R-squ area S.E. of regression Sum squared res id Log likelihood F-statistic0.9824250.98187516.202728400 904-141.90941788 730Mean dependentvar S.D. aependentvr Akaike info aiterionSchwarz critefion Han

16、narrQuinn enter. Durbin-Watson sta123024342478 5550W8.495878 0604648 J Lt檢驗(yàn)，F(xiàn)檢驗(yàn)顯著t= ( ) ( ) R2 = , dw=,f=剔除價(jià)格變動(dòng)因素后的回歸結(jié)果如下下表是北京市連續(xù)19年城鎮(zhèn)居民家庭人均收入與人均支出的數(shù)據(jù)。表略(1) 建立居民收入一消費(fèi)函數(shù)；殘差圖Dependent variaDie：Y Method: Least Squares Date: 10/25/U Time: 22:38 Sample: 1 19In eluded ooservati ent: 19Variabl

17、eCoefficientSid Errort-StatisticProb.C79.9300412.399196 4463900.0000X0 6904220 012877536206BoooooR-squared0.994122blxn dope ndent 歸 r700.2747Adjusted R-sauared0.993776s.D. aeoendentvar246.4491S.E. ofregression19.44245Akaike info criteriGn8.972095Sum squared resid6426.149Schwarz criterion8.971510Log

18、likelihood82.28490Hannan-Quinn criler.3.888920F-s tali Stic2875.178Durbin-Watson stat0.574663Proo(F-statistic)0.000000#= 79.930+0.690/Se = (12.399)(0.013)t = (6.446) (53.621)R2 = 0.994 DIV =0.575（2）檢驗(yàn)?zāi)Ｐ椭写嬖诘膯?wèn)題，并采取適當(dāng)?shù)难a(bǔ)救措施預(yù)以處理：（2）DW=,取 tz = 5%,查 DW 上下界乙=1& dLi = 1.40,0.000000最小二乘法估汁回歸模型為i3002527+XSe=R2

19、 二 F= DW=View Froc Object | Print | Name I Freeze 11 Estimate | Forecast | Stats Resids|Breusch-Godfrey Serial Correlation LM Test:F-statistic22.78058Prob. F(2,22)0.0000Obs*R-squared17.53360Prob. Chi-Square(2)0.0002Test Equation:Dependent Variable: RESIDMethod: Least SquaresDate: 10/25/14 Time: 21:1

20、1Sample: 1981 2006inciuaea oDser*atio ns: 26Presample missing value lagged residuals set to zero.VariableCoefficientStd. Errort-StatisticProb.C2.959362180.26060.0164 仃0.9870X-0.0023630.040873-0.0578110.9544RESID(-1)1.1299130.1874226.0286980.0000RESID(-2)-0.4964920.192408-2.5804160.0171R-squared0.674

21、369Mean dependentvar1.27E-12Adjusted squared0 629965S D dependontvar820 6466S.E. of regression4992036Akaike info criterion15.40454Sum squared resid5482492.Schwarz criterio n15.59810Log likelihood-1962591Hannan-Quinn criter.15.46028F-statistic15.18705Durbin-Watso n stat1.978124Prob(F-statistic)0.0000

22、14LM=TZ?2=26*= P值為t檢驗(yàn)和F檢驗(yàn)不可信。所以需要補(bǔ)救廣義差分法用科克倫奧科特迭代法Dependent Variable: YMethod: Least SquaresDate: 10/25/14 Time 21:54Sample (adjusted): 1983 2006In eluded observato ns: 24 after adjustments Convergence achieved after 15 iterationsVariableCoefficientStd Errort-StatisticProbC-2020.2802019.372-1.000450

23、03290X0.0914160.0349762.61369600166PR1.3033790.2151085.059178oooooAR-0.2712550.224475-1.20839802410squared Adusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic ProD(F-statlstic)09992290.99911484.54348142952.0-138.35108644.0330.000000Mean dependantwr S.D. dependent var Ak

24、aike info criterion Schwarz criterion Hannan -Quin n criter. Curbi nWatso n stat7642 2002839.89611.8634212.0597611.915511.731745Inserted AR Roots104.26Estimated AR process is nonstationaryse= ( ) ( ) t=()()R?二F= DW= 所以美國(guó)國(guó)內(nèi)生產(chǎn)總值每增加10億美元，股票價(jià)格指數(shù)增加下表給出了某地區(qū)1980-2000年的地區(qū)生產(chǎn)總值（X）與固宦資產(chǎn)投資額（X）的數(shù)據(jù)表略要求：（i）使用對(duì)數(shù)線性模

25、型 biYI=/3+/32biX!+ut進(jìn)行回歸，并檢驗(yàn)回歸模型的自相關(guān)性；（2）采用廣義差分法處理模型中的自相關(guān)問(wèn)題。（3）令X；（固定資產(chǎn)投資指數(shù)），Y； =Yt/Y （地區(qū)生產(chǎn)總值增長(zhǎng)指數(shù)），使用模型LnY；=伏+佚LnX； +*，該模型中是否有自相關(guān)?答:散點(diǎn)圖如下1 1 1 1 Dependent variable: LNYMethod: Least SquaresDate: 10/25/14 Time: 22:14Sample: 1980 2000included oDseanons: 21VariableCoefficientStd Errort-StatisticProb.c2

26、.1710410.24102590075290.0000LNX0.9510900.03889724.451230.0000R-scuared0.959199Mean dependent yar8.0393D7Adjusted R-s qua red0957578S D dependentvar0.565486S.E. ofregressi on0.101822Akaike info criterio n-1.6407B5Sum squared resid0.196987Schwarz criterion-1.541307LcgiiKeiincod19.22825Hannan-Quinn criter.-1.61919