計量經(jīng)濟(jì)學(xué)數(shù)據(jù)

1、例 1.3序列 T 和 H 分別表示某地區(qū)1997 年 1 月至 2000 年 12 月的氣溫和絕對濕度的月平均值序列，數(shù)據(jù)見表1.2。要求繪制序列H 的經(jīng)驗(yàn)累計分布函數(shù)圖和它與序列T 的 QQ圖。表 1.2（ 0102）某地區(qū)氣溫和絕對濕度月平均值月1997199819992000HTHTHTHT15.425.42.86.73.65.3226.244.71.86.22.67.1639.18.78.58.88.36.87.16413.313.611.813.713.714.211.813.1519.119.317.918.71819.618.118.7625.324.322.322.621.2

2、22.422.522.77312829.126.730.126.73027.1831.924.929.427.5312830.628.1922.72423.623.726.724.92724.61015.118.415.117.414.91817.218.51112.112.512.313.39.210.310.811.8124.4110.69.564.986.9例 2.1 表 2.1 是1950 1987 年間美國機(jī)動車汽油消費(fèi)量和影響消費(fèi)量的變量數(shù)值。其中各變量表示：qmg機(jī)動車汽油消費(fèi)量（單位：千加侖）； car汽車保有量；pmg機(jī)動汽油零售價格；pop人口數(shù)；rgnp按1982 年美圓

3、計算的gnp（單位：十億美圓）； pgnp gnp 指數(shù)（以1982 年為100） 。以汽油量為因變量，其他變量為自變量，建立一個回歸模型。表2.1（ 0201 ）1950 1987 年間美國機(jī)動車汽油消費(fèi)量數(shù)據(jù)年份QMGCARPMGPOPRGNPPGNP195040617285491952120.2721522711090.426.143896887519487960.2761548781179.227.946428148533013290.2871575531226.128.349374047563132810.291601841282.128.551107135586225470.291

4、1630261252.12954333255626887920.2991659311356.729.356022406651538100.311689031383.530.357415622671249040.3041719841410.231.459154330682965940.3051748821384.732.161596548713544200.311177830148132.6196062811854738686820.3081806711517.233.263978489759582150.3061836911547.933.662531373791733290.30418653

5、81647.93464779104827137170.3041892421711.634.567663848863012070.3121918891806.93570337126903607210.3211943031918.535.773638812939620300.3321965602048.936.676139326969309490.3371987122100.337.8807726571010391130.3482007062195.439.4854160841035620180.3572026772260.741.21970886840501068076290.364205052

6、2250.743.4921946201112974590.361207661233245.6953489041170516380.3882098962465.547.5998046001238117410.5242119092602.850.21002122101279512540.5722138542564.255.11023277501309189180.5952159732530.960.41069727401363339340.6312180352680.563.51100234101415231970.6572202392822.467.31136259601464843360.67

7、82225853115.272.21078312201494222050.8572250553192.478.619801008560701533578761.1912277573187.185.71009940401559074731.3112301383248.8941002428701569936941.22223252031661001015152601610179261.1572347993279.1103.91026036901634329441.1292370013489.9107.91047192301687438171.1152392793585.2111.519861078

8、312201732558500.8572416133676.5114.519871104679801779220000.8972439153847117.719881789220000.8772459153947119.719891799220000.8572479154047121.719901809220000.8372499154147123.7ls car c pmg pop rgnp pgnpls qmg c car pmg pop rgnp pgnpls car c pmg pop rgnp pgnpscalar vifcar=1/(1-eqcar.r2)eq01.testdrop

9、 carLs qmg-qmg(-1) car-car(-1) pmg-pmg(-1) pop-pop(-1) rgnp-rgnp(-1)pgnp-pgnp(-1)Ls qmg-qmg(-1) car-car(-1)Ls qmg c qmg(-1) car car(-1) pmg pmg(-1) pop pop(-1) rgnp rgnp(-1)pgnp pgnp(-1)Ls qmg c qmg(-1) carpmg pmg(-1) pop pop(-1) rgnp rgnp(-1)pgnpLs qmg c qmg(-1) carpmg pmg(-1) pop pop(-1)rgnp(-1) p

10、gnpLs qmg c qmg(-1) carpmg pmg(-1) pop pop(-1)rgnp(-1)Eq01.testdrop pgnpLs qmg c qmg(-1) carpmg pmg(-1) pop pop(-1)rgnp(-1)pgnp(-2)Ls cScalar beta0=eq04.Dependent Variable: QMGMethod: Least SquaresDate: 10/16/12 Time: 19:02Sample: 1950 1987Included observations: 38VariableCoefficientStd. Errort-Stat

11、isticProb.C68497350134161555.1055870.0000CAR1.5876770.13774211.526460.0000PMG-103754103346338.-3.1005260.0040POP-462.2931108.0825-4.2772240.0002RGNP-12666.475248.346-2.4134210.0217PGNP-579453.059259.84-9.7781730.0000R-squared0.991878Mean dependent var80901846Adjusted R-squared0.990608S.D. dependent

12、var22972717S.E. of regression2226295. Akaike info criterion32.21351Sum squared resid1.59E+14Schwarz criterion32.47208Log likelihood-606.0568Hannan-Quinn criter.32.30551F-statistic781.5361Durbin-Watson stat0.869418Prob(F-statistic)0.000000例 2.2為研究采取某項(xiàng)保險革新措施的速度y與保險公司的規(guī)模x1 和保險公司類型的關(guān)系，選取下列數(shù)據(jù)：y一個公司提出該項(xiàng)革新

13、直至革新被采納間隔的月數(shù)，x1 公司的資產(chǎn)總額（單位：百萬元）， x2定性變量，表示公司類型：其中1 表示股份制公司，0 表示互助公司。數(shù)據(jù)資料見表2.5。表 2.5 （ 0205）保險公司革新數(shù)據(jù)yX1X2yX1X2171510281641269201527212117501129513031038681221040318510277021224112210020166119120013305142900301241162380142461要建立的模型：yi01 xi 12 xi 2i得到模型為y=33.87407-0.101742*x1+8.055469*x2差分回歸方程：yt0.65*

14、xt即ytyt10.65xt0.65xt1即ytyt10.65xt0.65xt1消除自相關(guān)的模型：qmg=75541509.38+1.4390*car-10354749*pmg-503.50*pop-5290.80*rgnp-565089.4*pgnp某市樓盤銷售價格及相關(guān)情況的抽樣調(diào)查表，其中建筑類別分別用1 、 2、 3、 4 表示多層、多層別墅、小高層、高層；交通狀況綜合分、物業(yè)管理綜合分、周邊配套等級是通過對居民用戶的問卷調(diào)查平均而得。樓盤名均價Y建筑類別X1交通狀況X2物業(yè)管理綜合分X3綠化率X4（ %）周邊配套等級X512150277336226003883073240037740

15、6418001663065300039843863000399458723003773368210026630793000388401010375041095010112800398408122450356346132100256307求：1. Y 關(guān)于 X1 、 X2、 X3、 X4 和 X5 的回歸方程；2. 對回歸方程和解釋變量做顯著性檢驗(yàn)；3. 當(dāng) X1=4， X2=8， X3=7， X4=36% ， X5=8 時，對樓盤的均價進(jìn)行預(yù)測。例 3.1 表 3.3 是某企業(yè)在16 個月度的產(chǎn)品產(chǎn)量和單位成本資料，研究二者關(guān)系。表 3.3 （ 0301）某企業(yè)某產(chǎn)品產(chǎn)量和單位成本資料月度序號

16、obs產(chǎn)量（臺）x單機(jī)位成本（元/臺） y14300346.2324004343.3434300327.4645016313.2755511310.7565648307.6175876314.5686651305.7296024310.82106194306.83117558305.11127381300.71136950306.84146471303.44156354298.03168000296.21為了明確產(chǎn)量和單機(jī)成本是何種關(guān)系，先繪制散點(diǎn)圖。雙曲線模型：y=a+b/x對數(shù)曲線模型：y=a+blnx雙對數(shù)曲線模型：lny=a+lnx在自變量個數(shù)K=1 ，樣本量n=16，在顯著性水平=0

17、.01 下，dL=0.84， du=1.00，此時有D W=1.151568D W=1.115981D W=1.156127均有du=1.0 D W=1.151568 4- du=3說明三種模型來描述x 與 y 的關(guān)系都比較好。例 3.2 根據(jù)例 3.1 中數(shù)據(jù)，用非線性最小二乘法建立成本函數(shù)模型例 3.3 糧食產(chǎn)量通常由糧食生產(chǎn)勞動力（L） 、化肥施用量（K）等因素決定。表3.8 是我國糧食生產(chǎn)的有關(guān)數(shù)據(jù)（由于糧食生產(chǎn)勞動力不易統(tǒng)計，假定它在農(nóng)業(yè)勞動力中的比例是一定的，故用農(nóng)業(yè)勞動力的數(shù)據(jù)代替）， 研究其間關(guān)系，建立Cobb Douglas 生產(chǎn)函數(shù)模型。生產(chǎn)的產(chǎn)出量與投入要素之間并不簡單地

18、滿足線性關(guān)系，通常討論的生產(chǎn)函數(shù)，都是以非線性的形式出現(xiàn)。Cobb Douglas 生產(chǎn)函數(shù)模型為Y=aL bK1-b（ 3.2.4）表 3.8（ 0308）我國 1975 2000 年糧食產(chǎn)量、農(nóng)業(yè)勞動力、播種面積和化肥使用量年份糧食產(chǎn)量（ Y）（萬噸）農(nóng)業(yè)勞動力（ L）（萬人）糧食播種面積（ M）（萬公頃）化肥使用量（ K）（萬公斤）1975284522756112106.25500001976286312796512074.35970001977282732812412040.06790001978304772837312058.78840001979332122869211926.31

19、0800001980320562918111723.412690001981325022983611495.813350001982354503091711346.315130001983387283120911404.716600001984407313092711288.417400001985379113035210884.517760001986391513131111093.319310001987402983087011126.8199900019883940831455.711012.3214150019894075532440.511220.523574001990446243

20、3336.411346.6259030019914352934186.311231.428051001992442663403711056.0293020019934564933258.211050.9315190019944451032690.310954.4331790019954666232334.511006.0359370019965045432260.411254.8382790019974941732433.911291.2398070019985123032626.411378.7408370019995038932911.811316.14124300200046218327

21、97.510846.34146400例 4.1 我國轎車保有量資料見表4.1表 4.1（ 0401） 1971 1992 年我國轎車保有量年份obs時間（T）保有量（輛，Y）1971147994259519371993486221510545661174117142014816284491939451980102009471124322712285719133193351436373315484806166101531787621518106063719115626519902013401532115005571992221844184根據(jù)表繪制時間序列曲線趨勢圖。例 4.6我國民航客運(yùn)量數(shù)據(jù)

22、的季節(jié)調(diào)整。有關(guān)數(shù)據(jù)見表4.6表 4.6（ 0406） 我國 1993 年 10 月至 1998 年 3月民航客運(yùn)量數(shù)據(jù)年、月民航客運(yùn)量年、月民航客運(yùn)量1993 年 10328.001996 年 1 月369.00263.00403.00251.00436.001994 年 1 月241.00447.00249.00483.00316.00439.00344.00514.00360.00550.00321.00489.00344.00534.00384.00498.00368.00402.00401.001997 年 1 月397.00363.00416.00336.00451.001995

23、年 1 月366.00486.20331.00507.00390.00458.99401.00493.00439.00562.00397.31474.00463.00528.00509.00436.13474.00398.00508.001998 年 1 月442.00458.94404.551995 年 12 月412.001998年 3月428.00例 5.4序列Pt是某國1960 年至 1993 年 GNP 平減指數(shù)的季度時間序列。表 5.4（ 0504）某國1960 年至 1993年 GNP 平減指數(shù)的季度時間序列年 /季GNP 指 數(shù)年 /季GNP 指 數(shù)年 /季GNP 指 數(shù)年 /

24、季GNP 指 數(shù)1960.156.041969.167.041978.181.151987.1136.8056.2167.5582.14139.0156.4167.8182.84141.0356.6768.0083.99143.241961.156.771970.168.441979.184.971988.1145.1257.0168.5686.10148.8956.9968.8687.49152.0257.5868.9688.62155.381962.157.581971.168.881980.189.891989.1158.6057.5769.2291.07161.8557.9269.54

25、91.79165.1258.5869.6593.03168.051963.158.761972.170.231981.194.401990.1171.9458.8070.4895.70176.4659.0070.6296.52180.2458.7471.0897.39185.131964.159.381973.171.411982.198.721991.1190.0159.5871.4699.42193.0359.4571.66100.25197.7059.7772.17101.54201.691965.160.271974.172.361983.1102.951992.1203.9860.6

26、572.57104.75206.7761.0372.97106.53208.5361.4073.16108.74210.271966.161.911975.173.771984.1110.721993.1212.8762.4374.13113.48214.2563.1374.56116.42215.8963.6974.96119.79218.211967.164.401976.175.711985.1122.8864.6576.58124.4465.2876.99126.6865.3777.75128.991968.165.631977.178.271986.1130.1265.7978.53

27、131.3066.1779.28132.8966.4780.13134.99例 5.6表 5.4是我國 1990 年 1 月至 1997年 12 月工業(yè)總產(chǎn)值的月度資料（ 1990 年不變價格），記作IPt，共有96 個觀測值，對序列IPt建立 ARMA 模型。表 5.41990 年 1 月至 1997年 12 月我國工業(yè)總產(chǎn)值單位： 億元月 /年1990199119921993199419951996199711421.41757.81984.22179.12903.32996.73476.63843.8421367.41485.71812.42408.72513.82740.32970.3

28、3181.2631719.71893.92274.72869.434093580.93942.64404.4941759.61969.82328.92916.73499.53746.34067.64520.1851795.72033.72373.13022.13642.63817.94746.8994638.9961748.121032515.83274.53871.44046.64417.2994969.9371637.31836.322882862.933733483.93806.84146.89981670.91914.723212864.23463.43510.63746.34198.

29、791760.12022.22441.129083663.743703.14011.14536.839101789.52045.12502.62911.83753.383810.74129.64718.91111888.62069.22608.83101.33973.1740914372.8995034.939121981.421362823.83664.34469.024650.7994991.55545.74月 /年工業(yè)總產(chǎn)值1990.11421.421367.431719.741759.651795.761748.171637.381670.991760.1101789.5111888.

30、6121981.41991.11757.821485.731893.941969.852033.76210371836.381914.792022.2102045.1112069.21221361992.11984.221812.432274.742328.952373.162515.8722888232192441.1102502.6112608.8122823.81993.12179.122408.732869.442916.753022.163274.572862.982864.292908102911.8113101.3123664.31994.12903.322513.8334094

31、3499.553642.663871.47337383463.493663.74103753.38113973.17124469.021995.12996.722740.333580.943746.353817.964046.673483.983510.693703.1103810.7114091124650.7991996.13476.622970.333942.644067.654746.89964417.29973806.883746.394011.1104129.6114372.899124991.51997.13843.8423181.2634404.4944520.1854638.

32、9964969.9374146.89984198.794536.839104718.91115034.939125545.74例 5.6 表 5.4是我國 1990年 1 月至 1997 年 12月工業(yè)總產(chǎn)值2資料（ 1990 年不變價格），記作ipt，共有96 個觀測值，對序列ipt 建立 ARMA 模型。月 /年1990199119921993199419951996199711421.4001757.8001984.2002179.1002903.3002996.7003476.6003843.84021367.4001485.7001812.4002408.7002513.800274

33、0.3002970.3003181.26031719.7001893.9002274.7002869.4003409.0003580.9003942.6004404.49041759.6001969.8002328.9002916.7003499.5003746.3004067.6004520.18051795.7002033.7002373.1003022.1003642.6003817.9004746.8994638.99061748.1002103.0002515.8003274.5003871.4004046.6004417.2994969.93071637.3001836.30022

34、88.0002862.9003373.0003483.9003806.8004146.89981670.9001914.7002321.0002864.2003463.4003510.6003746.3004198.70091760.1002022.2002441.1002908.0003663.7403703.1004011.1004536.839101789.5002045.1002502.6002911.8003753.3803810.7004129.6004718.910111888.6002069.2002608.8003101.3003973.1704091.0004372.899

35、5034.939121981.4002136.0002823.8003664.3004469.0204650.7994991.5005545.740例 6.1 表 6.1 是某水庫1998年至 2000年各旬的流量、降水量數(shù)據(jù)。試對其建立多項(xiàng)式分布滯后模型。表 6.1某水庫各旬的流量與降水量數(shù)據(jù)序號流量 (VOL)降水量(RA)序號流量 (VOL)降水量(RA)1534234043082404241373193345184222926430164352795316674434636108827452491763844621128477047160193992481680104121649199

36、711370050133712346051143113208152202414202153220201521245438151621115534251720625628615182091257255819309758481152024245972541215373609322322377176113703923422462635524574516392647256768645143026546676557828271287136626481286962767578913729790406817823530584014469229341312100537012303132218064719375

37、73311801672134018348648734838933557026745296673673541751014137105039765521538561477430103934324782419例 6.2表 6.6 中， 序列 St和 Zt 分別表示1992 年 1 月至 1998年 12月經(jīng)居民消費(fèi)價格指數(shù)調(diào)整的中國城鎮(zhèn)居民月人均可支配收入和人均生活費(fèi)支出時間序列，現(xiàn)以人均生活費(fèi)支出Zt為因變量，建立自回歸分布滯后模型。表 6.6 城鎮(zhèn)居民月人均人均生活費(fèi)支出和可支配收入調(diào)整時間序列單位：元序列月份19921993199419951996199719981151.83265.9327

38、3.98370.00438.37521.01643.402159.86196.96318.81385.21561.29721.01778.623126.00200.19236.45308.62396.82482.38537.164124.88199.48248.00320.33405.27492.96545.795127.75200.75261.16327.94410.06499.90567.99St6134.48208.50273.45338.53415.38508.81555.797145.05218.82278.10361.09434.70516.24570.238138.31209.0

39、7277.15356.30418.21509.98564.389144.24223.17292.71371.32442.30538.46576.3610143.86226.51289.36378.72440.81537.09599.4011149.12226.62296.50383.58449.03534.12577.4012139.93210.32277.60427.78449.17511.23606.141139.47221.74234.28307.10373.58419.39485.702168.07186.49272.09353.55471.77528.09596.823110.471

40、85.92202.88263.37350.36390.04417.274113.22185.26227.89281.22352.15405.63455.605115.82187.62235.70299.73369.57426.81466.20Zt6118.20192.11237.89308.18370.42422.00455.197118.03186.75239.71315.87376.90428.70458.578124.45187.07252.52331.88387.44459.29475.409147.70219.23286.75385.99454.93517.06591.4210135

41、.14212.80270.00355.92403.77463.98494.5711135.20205.22274.37355.11410.10442.96496.6912128.03192.64250.01386.08400.48460.92516.16年月STZT1992.1151.83139.472159.86168.073126.00110.474124.88113.225127.75115.826134.48118.207145.05118.038138.31124.459144.24147.7010143.86135.1411149.12135.2012139.93128.031993.1265.93221.742196.96186.493200.19185.924199.48185.265200.75187.626208.50192.117218.82186.758209.07187.079223.17219.2310226.51212