FDI對(duì)我國經(jīng)濟(jì)增長影響的實(shí)證分析

1、計(jì)量經(jīng)濟(jì)學(xué)課程論文FDI對(duì)我國經(jīng)濟(jì)增長影響的實(shí)證分析姓名：黃倩專業(yè)：國際經(jīng)濟(jì)與貿(mào)易 學(xué)號(hào)：405020332007-12-08FDI對(duì)我國經(jīng)濟(jì)增長影響的實(shí)證分析摘要自20世紀(jì)80 年代中后期以來，我國GDP逐年增長，經(jīng)濟(jì)發(fā)展速度令人矚目。這種經(jīng)濟(jì)高增長背后促成的因素很多，外商直接投資的迅猛發(fā)展正是其中極為重要的因素之一。本文就此命題從實(shí)證分析的角度加以證明，外商直接投資對(duì)我國經(jīng)濟(jì)增長有顯著的貢獻(xiàn)，但同時(shí)也發(fā)現(xiàn)FDI對(duì)GDP的影響有明顯的滯后效應(yīng)。關(guān)鍵詞 FDI GDP 回歸分析 滯后性一問題的提出伴隨世界經(jīng)濟(jì)的較快增長和經(jīng)濟(jì)全球化趨勢深入發(fā)展，我國國民經(jīng)濟(jì)持續(xù)快速發(fā)展。國內(nèi)市場潛力巨大，投資環(huán)

2、境日益改善，特別是擁有大量低成本，高素質(zhì)的人力資源，跨國直接投資回升，相關(guān)數(shù)據(jù)表明，F(xiàn)DI與GDP的增長態(tài)勢基本相似。1986年到2004年，二者都成逐步上升趨勢。1994年到1998年增長速度顯著放緩。由于亞洲金融危機(jī)的爆發(fā)，我國從1999年開始，F(xiàn)DI有回落現(xiàn)象，一直到2001年我國初步克服亞洲金融危機(jī)的影響，尤其是我國加入WTO后，中國利用外資明顯回升。而與此對(duì)應(yīng)GDP也從2000年開始高速增長。我國GDP的增長與外商直接投資增長的趨勢有一定程度的相似性，那么二者的關(guān)系究竟如何，相關(guān)程度如何，本文就此命題從實(shí)證分析的角度，考察外國資本流入對(duì)中國經(jīng)濟(jì)增長的影響，這不僅是對(duì)有關(guān)理論的一次很好

3、的檢驗(yàn)，而且也具有重要的現(xiàn)實(shí)意義。二變量的選取及分析根據(jù)GDP的定義，從需求方面分析，影響國內(nèi)生產(chǎn)總值增長的因素包括三大需求：總消費(fèi)（居民消費(fèi)+社會(huì)消費(fèi)），總投資（固定資產(chǎn)投資+存貨增加）和凈出口。許多研究表明 外商直接投資FDI作為總投資的一部分，對(duì)我國GDP的增長有顯著的積極作用。因此 在這里我們引入,外商直接投資FDI,作為解釋變量，研究他們對(duì)國內(nèi)生產(chǎn)總值GDP這已被解釋變量的影響效果。三數(shù)據(jù)及處理本文選取了1986-2004年間我國FDI,GDP的時(shí)間序列資料進(jìn)行分析（見表） 年份GDP(億元）FDI（億美元）198610275.218.74198712058.623.14198815

4、042.831.94198916992.333.93199018667.834.87199121781.543.66199226923.5110.07199335333.92759337.67199560793.7375.21199671176.6417.26199778973.0452.57199884402.3454.63199989677.1403.19200099214.6407.152001109655.2468.782002120332.7527.432003135822.8535.052004159878.3606.3年份人民幣對(duì)美元平均匯率FDI(億元

5、）19863.4564.65319873.7286.080819883.72118.816819893.77127.916119904.78166.678619915.32232.271219925.51606.485719935.761584.86419948.622910.71519958.353133.00419968.313467.43119978.293751.80519988.283764.33619998.283338.41320008.283371.20220018.283881.49820028.284367.1220038.284430.21420048.285020.16

6、4數(shù)據(jù)說明 本文采用中國國家統(tǒng)計(jì)局（四模型及處理以上述數(shù)據(jù)，構(gòu)建線性回歸模型對(duì)FDI對(duì)我國經(jīng)濟(jì)的貢獻(xiàn)作一實(shí)證分析。模型的被解釋變量Y選定為GDP,X為FDI。通過EViews得散點(diǎn)圖如下所示：可以看出GDP(Y)和FDI(X)大體呈現(xiàn)為線性關(guān)系，因此我們試圖把FDI作為主要解釋變量，其他影響因素全部放入隨機(jī)擾動(dòng)項(xiàng)中。所以建立的計(jì)量經(jīng)濟(jì)模型為以下線性模型 Y=c+X+i其中YGDP XFDI（外商直接投資）c常數(shù)項(xiàng) i 隨機(jī)擾動(dòng)項(xiàng)系數(shù) 即FDI每增加一億元，GDP平均增加的億元數(shù) 根據(jù)數(shù)據(jù)，假定所建模型及隨即擾動(dòng)項(xiàng)滿足古典假定。利用EView軟件，進(jìn)行OLS，我們得到如下回歸結(jié)果: Depend

7、ent Variable: YMethod: Least SquaresDate: 11/12/07 Time: 21:49Sample: 1986 2004Included observations: 19VariableCoefficientStd. Errort-StatisticProb.  C7618.2196076.0821.2538050.2269X24.096472.07423011.617070.0000R-squared0.888126    Mean dependent var63957.88Adjusted R

8、-squared0.881545    S.D. dependent var46359.01S.E. of regression15955.52    Akaike info criterion22.29230Sum squared resid4.33E+09    Schwarz criterion22.39171Log likelihood-209.7768    F-statistic134.9563Durbin-Watson s

9、tat0.305219    Prob(F-statistic)0.000000參數(shù)估計(jì)有如下結(jié)果Y = 7618.219 + 24.09647 X （1） t = (1.253805) (11.61707) =0.888126 =0.881545 F=134.9563 DW=0.305219根據(jù)以上分析，GDP對(duì)FDI進(jìn)行的普通最小二乘法，得到的可決系數(shù)為0.8881，所建模型整體上對(duì)樣本數(shù)據(jù)擬和較好。對(duì)回歸系數(shù)的t檢驗(yàn)：取=0.05,查t分布得t(17)=2.11,t()= 11.61707 >2.11, 系數(shù)通過t 檢驗(yàn)，表明FDI對(duì)GDP有

10、顯著影響。FDI平均每增加1億元，GDP將增加24.09647億元。1異方差檢驗(yàn)（White檢驗(yàn)）由于現(xiàn)實(shí)經(jīng)濟(jì)活動(dòng)中，影響GDP的因素錯(cuò)綜復(fù)雜，而此處簡化模型只考慮FDI的流入對(duì)GDP的貢獻(xiàn)，省略了某些重要的解釋變量，因此易產(chǎn)生易方差，所以有必要進(jìn)行異方差的檢驗(yàn)。 White Heteroskedasticity Test:F-statistic4.185929    Probability0.034503Obs*R-squared6.526597    Probability0.038262Test Equati

11、on:Dependent Variable: RESID2Method: Least SquaresDate: 11/13/07 Time: 17:25Sample: 1986 2004Included observations: 19VariableCoefficientStd. Errort-StatisticProb.  C370712801.08E+080.3424950.7364X16497.49138678.40.1189620.9068X217.7297131.008410.5717710.5754R-squared0.343505  &#

12、160; Mean dependent var2.28E+08Adjusted R-squared0.261443    S.D. dependent var2.95E+08S.E. of regression2.54E+08    Akaike info criterion41.68449Sum squared resid1.03E+18    Schwarz criterion41.83362Log likelihood-393.0027  

13、  F-statistic4.185929Durbin-Watson stat0.972416    Prob(F-statistic)0.03450320.05c從表可以看出 n=6.526597, (2)=5.9915 n>5.9915，P值=0.038262<=0.05,所以拒絕原假設(shè)，模型中隨機(jī)誤差存在異方差。表示隨著時(shí)間的推移，影響GDP的其他因素可能發(fā)生了變化。修正異方差2下面運(yùn)用加權(quán)最小二乘法（WLS）分別用權(quán)數(shù)w1t=1/X, w2t=1/X ,w3t=1/X 進(jìn)行估計(jì)，經(jīng)比較發(fā)現(xiàn)用權(quán)數(shù)w2t的效果最好，并

14、且消除了異方差 結(jié)果如下表：Dependent Variable: YMethod: Least SquaresDate: 11/13/07 Time: 18:05Sample: 1986 2004Included observations: 19Weighting series: 1/X2VariableCoefficientStd. Errort-StatisticProb.  C4956.046397.111112.480250.0000X83.260084.89657517.003740.0000Weighted StatisticsR-squared0.99760

15、8    Mean dependent var13151.42Adjusted R-squared0.997467    S.D. dependent var23291.68S.E. of regression1172.139    Akaike info criterion17.07035Sum squared resid23356449    Schwarz criterion17.16976Log likelihood-160.1

16、683    F-statistic289.1272Durbin-Watson stat0.877748    Prob(F-statistic)0.000000Unweighted StatisticsR-squared-13.505780    Mean dependent var63957.88Adjusted R-squared-14.359061    S.D. dependent var46359.01S.E. of reg

17、ression181683.9    Sum squared resid5.61E+11Durbin-Watson stat0.036525 Y = 4956.046 + 83.26008X (12.48025) (17.00374). =0.997608 =0.997467 se=1172.139 F=289.1272White Heteroskedasticity Test:F-statistic2.021334    Probability0.164936Obs*R-squared3.832359 

18、   Probability0.147168n= 3.832359<5.9915, P值=0.1471680.05 所以已不存在異方差性可以看出運(yùn)用加權(quán)最小二乘法消除了以方差后，參數(shù)的t檢驗(yàn)軍顯著，可決系數(shù)大幅提高，F(xiàn)檢驗(yàn)也顯著，說明FDI每增加一億元，平均來說將增加83.26008億元的GDP。2、自相關(guān)檢驗(yàn)DW檢驗(yàn) 根據(jù)上表的結(jié)果DW=0.305219,給定顯著性水平=0.05，查DW統(tǒng)計(jì)表，n=19,k=1 得下限臨界值=1.180，上限臨界值=1.401，因?yàn)镈W=0.305219,<1.18,根據(jù)判定區(qū)域知，這時(shí)隨即誤差項(xiàng)存在正的一階自相關(guān)。

19、同時(shí)從殘差et和et-1的散點(diǎn)圖可以看出殘差et呈線性回歸，表明正自相關(guān)性確實(shí)存在。模型中t統(tǒng)計(jì)量和F統(tǒng)計(jì)量的結(jié)論不可信， 檢驗(yàn)也不可靠，須采取補(bǔ)救措施。自相關(guān)的修正 廣義差分法 由DW=0.305219,由DW粗略估計(jì)得=1-DW/2=1-0.1526=0.8474 分別對(duì)x, y作廣義差分Dy =y-0.8474*y(-1) Dx = x-0.8474*x(-1) 用OLS方法估計(jì)參數(shù) Dependent Variable: DYMethod: Least SquaresDate: 11/13/07 Time: 13:47Sample (adjusted): 1987 2004Includ

20、ed observations: 18 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.  C7109.2253220.0992.2077660.0422DX16.654914.2042203.9614740.0011R-squared0.495161    Mean dependent var17258.06Adjusted R-squared0.463609    S.D. dependent var11301.01

21、S.E. of regression8276.720    Akaike info criterion20.98472Sum squared resid1.10E+09    Schwarz criterion21.08365Log likelihood-186.8625    F-statistic15.69328Durbin-Watson stat0.558976    Prob(F-statistic)0.001119Dy =71

22、09.225+16.65491Dx t = (2.207766) (3.961474)修正后的回歸方程為 Y=46587+16.65491X這時(shí)DW=0.558976 在顯著水平=0.05下，查表 n=18，k=1時(shí)，DL =1.158，DU=1.391 DW<DL 模型中仍存在自相關(guān)。 科克倫-奧克特迭代法由（1）式可得et殘差序列，使用et進(jìn)行滯后一期的自回歸的回歸方程 e(t)=0.9488e(t-1)再對(duì)原模型進(jìn)行廣義差分，得廣義差分方程Yt-0.9488Yt-1=c(1-0.9488)+ (Xt-0.9488Xt-1)+Ui進(jìn)行回歸,可得方程輸出結(jié)果如下Dependent Va

23、riable: Y-0.9488*Y(-1)Method: Least SquaresDate: 11/12/07 Time: 21:53Sample (adjusted): 1987 2004Included observations: 18 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.  C2237.2331541.4321.4513990.1660X-0.9488*(-1)3.6813820.5120487.1895300.0000R-squared0.763626  

24、  Mean dependent var11313.09Adjusted R-squared0.748853    S.D. dependent var7488.503S.E. of regression3752.834    Akaike info criterion19.40285Sum squared resid2.25E+08    Schwarz criterion19.50178Log likelihood-172.6256 

25、0;  F-statistic51.68934Durbin-Watson stat0.567341    Prob(F-statistic)0.000002由表可得回歸方程為Y=2237.233+3.684382Xt=(1.451399) (7.189530)由差分方程式可得Y=43695.9570+3.684382X在顯著水平=0.05下，查表 n=18，k=1時(shí)，DL =1.158，DU=1.391，由于DW=0. 567341 <DL=1.158，DW值有所提高，但修正后該模型中的誤差序列仍然存在一階正自相關(guān)。 利用對(duì)數(shù)線

26、性回歸修正自相關(guān)設(shè)定模型為 lny = c+lnx回歸估計(jì)結(jié)果如下Dependent Variable: LNYMethod: Least SquaresDate: 11/13/07 Time: 14:27Sample: 1986 2004Included observations: 19VariableCoefficientStd. Errort-StatisticProb.  C7.0243310.26343926.663930.0000LNX0.5309470.03670714.464540.0000R-squared0.924853   

27、; Mean dependent var10.74188Adjusted R-squared0.920432    S.D. dependent var0.893791S.E. of regression0.252118    Akaike info criterion0.181464Sum squared resid1.080581    Schwarz criterion0.280878Log likelihood0.276096  

28、0; F-statistic209.2228Durbin-Watson stat0.242526    Prob(F-statistic)0.000000DW=0.242526, 查n=19 k=1 =0.05 DL=1.18>DW,表明模型中仍存在自相關(guān)。用Cochrane-Orcutt 迭代估計(jì)法,可得結(jié)果如下Dependent Variable: LNYMethod: Least SquaresDate: 11/13/07 Time: 14:34Sample (adjusted): 1987 2004Included observa

29、tions: 18 after adjustmentsConvergence achieved after 25 iterationsVariableCoefficientStd. Errort-StatisticProb.  C18.9206216.737441.1304370.2760LNX0.1590570.0465363.4179480.0038AR(1)0.9878020.02250143.900220.0000R-squared0.996729    Mean dependent var10.82546Adjusted R

30、-squared0.996292    S.D. dependent var0.839839S.E. of regression0.051137    Akaike info criterion-2.957589Sum squared resid0.039226    Schwarz criterion-2.809193Log likelihood29.61830    F-statistic2285.127Durbin-Watson

31、stat1.007816    Prob(F-statistic)0.000000從上表可以看出DW =1.007816 其值有顯著提高，但是在顯著水平=0.05下， n=18，k=1時(shí)，由于DW <DL=1.158，修正后該模型中的誤差序列仍然存在一階正自相關(guān)。此時(shí)，回歸方程為 lny = 18.92062+ 0.159057lnx t= (1.130437) (3.417948) =0.996729 =0.996292 DW =1.007816模型重新設(shè)定-分布滯后模型從以上分析可以看出我們設(shè)定的模型可能存在一定的問題。從需求方面分析GDP的增

32、長，可以認(rèn)為FDI作為影響固定資產(chǎn)投資的一重要因素，從投資到實(shí)際產(chǎn)出的實(shí)現(xiàn)，需要一個(gè)較長的時(shí)間，當(dāng)年的產(chǎn)出量在某種程度上依賴于過去若干期的FDI形成的固定資產(chǎn)規(guī)模。因此FDI對(duì)GDP的影響效果可能存在滯后效應(yīng)。下面運(yùn)用分布滯后模型進(jìn)行重新估計(jì)，設(shè)定模型如下Y=+X + 1 X（-1）+2 X（-2）+tX（-1）表示前一年的FDI數(shù)值，X（-2）表示兩年前的FDI數(shù)值運(yùn)用OLS進(jìn)行回歸估計(jì)結(jié)果如下Dependent Variable: YMethod: Least SquaresDate: 11/13/07 Time: 18:36Sample (adjusted): 1988 2004Incl

33、uded observations: 17 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.  C10101.676642.7101.5207150.1523X22.209739.8808342.2477590.0426X(-1)-20.2778516.71987-1.2128000.2468X(-2)23.8912310.021032.3841100.0331R-squared0.917823    Mean dependent var70168.59Adj

34、usted R-squared0.898858    S.D. dependent var45037.30S.E. of regression14323.10    Akaike info criterion22.17946Sum squared resid2.67E+09    Schwarz criterion22.37551Log likelihood-184.5254    F-statistic48.39806Durbin-W

35、atson stat0.458957    Prob(F-statistic)0.0000001多重共線性檢驗(yàn)與修正由此可見，可決系數(shù)較高，通過F檢驗(yàn)，但是C ,X(-1)的系數(shù) t檢驗(yàn)不顯著，且X(-1) 的系數(shù)的符號(hào)與經(jīng)濟(jì)意義相反，可能存在多重共線性。XX(-1)X(-2)X10.9714506737409590.917327367803514X(-1)0.97145067374095910.971362673025433X(-2)0.9173273678035140.9713626730254331由相關(guān)系數(shù)矩陣可以看出個(gè)解釋變量之間的相關(guān)系數(shù)較高

36、，證實(shí)確實(shí)存在嚴(yán)重多重共線性。修正多重共線性分別作固定y對(duì)x 和x(-1),y對(duì)x和 x（-2）的回歸結(jié)果如下Dependent Variable: YMethod: Least SquaresDate: 11/13/07 Time: 18:41Sample (adjusted): 1987 2004Included observations: 18 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.  C9651.5176755.4871.4286930.1736X11.151579.6063691

37、.1608520.2638X(-1)13.616179.8034061.3889220.1851R-squared0.892449    Mean dependent var66940.26Adjusted R-squared0.878109    S.D. dependent var45789.09S.E. of regression15986.30    Akaike info criterion22.34786Sum squared resid3.83E+09 

38、;   Schwarz criterion22.49626Log likelihood-198.1308    F-statistic62.23439Durbin-Watson stat0.278037    Prob(F-statistic)0.000000Dependent Variable: YMethod: Least SquaresDate: 11/13/07 Time: 19:16Sample (adjusted): 1988 2004Included observatio

39、ns: 17 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.  C10936.206717.1661.6280980.1258X12.025635.2943562.2714050.0394X(-2)13.568665.3776242.5231710.0244R-squared0.908525    Mean dependent var70168.59Adjusted R-squared0.895457    S.D.

40、dependent var45037.30S.E. of regression14561.98    Akaike info criterion22.16900Sum squared resid2.97E+09    Schwarz criterion22.31604Log likelihood-185.4365    F-statistic69.52327Durbin-Watson stat0.220312    Prob(F-sta

41、tistic)0.000000經(jīng)比較 加入X(-2)效果較好 故剔除X(-1) 修正多重共線性影響后的回歸結(jié)果為 Y=10936.20 + 12.02563X + 13.56866X(-2) t=(1.628098) (2.271405) (2.523171) = 0.908525 =0.895457 F=69.52327 DW=0.2203122異方差的檢驗(yàn)（White檢驗(yàn)）White Heteroskedasticity Test:F-statistic1.542964    Probability0.261277Obs*R-squared6.968

42、013    Probability0.223030Test Equation:Dependent Variable: RESID2Method: Least SquaresDate: 11/13/07 Time: 20:55Sample: 1989 2004Included observations: 16VariableCoefficientStd. Errort-StatisticProb.  C980341.62597745.0.3773820.7138X-3829.0167362.709-0.5200550.6143X21.

43、0358892.7929180.3708980.7184X*X(-2)0.4573114.2051070.1087510.9156X(-2)5600.2298077.4610.6933150.5039X(-2)2-1.8866481.871917-1.0078700.3373R-squared0.435501    Mean dependent var3082930.Adjusted R-squared0.153251    S.D. dependent var4400559.S.E. of regression4

44、049348.    Akaike info criterion33.54601Sum squared resid1.64E+14    Schwarz criterion33.83573Log likelihood-262.3681    F-statistic1.542964Durbin-Watson stat3.312516    Prob(F-statistic)0.2612770.052c從表可以看出 n=6.968013,

45、(5)=11.0705 n<11.0705， 則接受原假設(shè)，表明模型中隨機(jī)誤差不存在異方差。3自相關(guān)檢驗(yàn)與修正DW=0.220312, 查n=16,k=2 在=0.05的水平下， dL=0.982,dU=1.539, 由DW值可以看出該模型存在自相關(guān) 所以下面運(yùn)用科克倫-奧克特迭代法進(jìn)行修正，結(jié)果如下Dependent Variable: YMethod: Least SquaresDate: 11/13/07 Time: 18:45Sample (adjusted): 1989 2004Included observations: 16 after adjustmentsConverg

46、ence achieved after 8 iterationsVariableCoefficientStd. Errort-StatisticProb.  C8593.6874980.8081.7253600.1101X6.2478591.0645145.8692110.0001X(-2)5.1097561.1117854.5959920.0006AR(1)1.1867520.02817942.114670.0000R-squared0.998312    Mean dependent var73613.95Adjusted R-s

47、quared0.997890    S.D. dependent var44139.89S.E. of regression2027.455    Akaike info criterion18.27927Sum squared resid49326886    Schwarz criterion18.47242Log likelihood-142.2341    F-statistic2365.900Durbin-Watson sta

48、t2.173889    Prob(F-statistic)0.000000Inverted AR Roots      1.19Estimated AR process is nonstationary Y= 8593.687 + 6.247859X + 5.109756X(-2)t=(1.725360) (5.869211) (4.595992) =0.998312 =0.997890 F=2365.900 DW=2.173889由以上回歸結(jié)果可以看出經(jīng)過迭代法修正后，可決系數(shù)有所提高，DW

49、值明顯改善，在0.05的水平下，n=16 k=2 DL=0.982 DU=1.539 DU< DW<4-DU=2.461, 不再存在自相關(guān)，并且模型擬和較好。4平穩(wěn)性檢驗(yàn)對(duì)GDP的檢驗(yàn)的如下結(jié)果：Null Hypothesis: Y has a unit rootExogenous: ConstantLag Length: 2 (Automatic based on SIC, MAXLAG=3)t-Statistic  Prob.*Augmented Dickey-Fuller test statistic 2.417513 0.9998Te

50、st critical values:1% level-3.9203505% level-3.06558510% level-2.673459*MacKinnon (1996) one-sided p-values.Warning: Probabilities and critical values calculated for 20        observations and may not be accurate for a sample size of 16Augmented Dickey-Fuller

51、Test EquationDependent Variable: D(Y)Method: Least SquaresDate: 12/11/07 Time: 16:49Sample (adjusted): 1989 2004Included observations: 16 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.  Y(-1)0.0536110.0221762.4175130.0325D(Y(-1)1.5020900.2690505.5829300.0001D(Y(-2)-0.9342810.287003-