計(jì)量經(jīng)濟(jì)學(xué)實(shí)驗(yàn)報(bào)告

1、精品中國(guó)海洋大學(xué)計(jì)量經(jīng)濟(jì)學(xué)實(shí)驗(yàn)報(bào)告實(shí)驗(yàn)項(xiàng)目名稱：黃金價(jià)格影響因素解析指導(dǎo)教師：殷克東姓名：王避學(xué)號(hào)級(jí)專業(yè)：14金融中國(guó)海洋大學(xué)經(jīng)濟(jì)學(xué)院【實(shí)驗(yàn)?zāi)康摹? .通過(guò)實(shí)驗(yàn)課是自己能夠了解并深入認(rèn)識(shí)什么是計(jì)量經(jīng)濟(jì)學(xué)，掌握計(jì)量經(jīng)濟(jì)學(xué)的理論與方法。了解和掌握計(jì)量經(jīng)濟(jì)分析的步驟和方法。同時(shí)知道如何在實(shí)踐中運(yùn)用計(jì)量經(jīng)濟(jì)學(xué)。使得我們從感性認(rèn)識(shí)上升到理性認(rèn)識(shí)。2 .通過(guò)課程實(shí)驗(yàn)，利用計(jì)量經(jīng)濟(jì)學(xué)模型定量分析研究經(jīng)濟(jì)問(wèn)題。培養(yǎng)自我的分析問(wèn)題和解決問(wèn)題的能力，在學(xué)完該課程后，不僅學(xué)習(xí)了理論知識(shí)和計(jì)算方法，還能接觸到社會(huì)實(shí)際中有待解決的計(jì)量經(jīng)濟(jì)問(wèn)題，并能建立數(shù)學(xué)模型和求解。3 .通過(guò)實(shí)驗(yàn)教學(xué)培養(yǎng)自己

2、發(fā)現(xiàn)問(wèn)題、分析問(wèn)題、解決問(wèn)題的能力，能夠自己分析數(shù)據(jù)結(jié)果。掌握什么是4 .最重要的就是自己能夠有理論認(rèn)知上升到實(shí)踐認(rèn)知。通過(guò)自己的理解真切的感受經(jīng)濟(jì)現(xiàn)象的變動(dòng)?！緦?shí)驗(yàn)要求】1 .要求我們了解和熟悉計(jì)量經(jīng)濟(jì)學(xué)的基本知識(shí)，為具體操作做好知識(shí)準(zhǔn)備2 .要求我們熟悉什么是計(jì)量經(jīng)濟(jì)，如何利用計(jì)量分析，他們各自的分類又有什么，為具體操作做好知識(shí)準(zhǔn)備。3 .要求我們利用計(jì)量經(jīng)濟(jì)學(xué)軟件，按實(shí)際操作規(guī)范和流程進(jìn)行操作處理，培養(yǎng)自己的動(dòng)手操作能力。培養(yǎng)自己對(duì)EViews計(jì)量軟件的熟悉程度。4 .能夠正確運(yùn)用軟件，能夠看懂軟件中給出的數(shù)據(jù)所代表的意義。能夠了解理論、數(shù)據(jù)與實(shí)際之間的某些相關(guān)性。5 、對(duì)于外界條件的變

3、化，具有一定的分析解決問(wèn)題的能力?！緦?shí)驗(yàn)原理】1. .EViews8.0軟件2. 多重共線性、模型檢驗(yàn)、模型的修正等3. 利用教材計(jì)量經(jīng)濟(jì)學(xué)實(shí)驗(yàn)教程以及老師提供的數(shù)據(jù)感謝下載載【實(shí)驗(yàn)內(nèi)容】1. .創(chuàng)建工作文件；2. 利用并建立“黃金價(jià)格影響因素”的計(jì)量經(jīng)濟(jì)學(xué)模型3. 輸入數(shù)據(jù)4. .回歸分析5. .利用樣本數(shù)據(jù)估計(jì)模型的參數(shù)6. 檢驗(yàn)美元指數(shù)、通脹率、原油價(jià)格、US利率、GDP、標(biāo)準(zhǔn)普爾指數(shù)對(duì)黃金價(jià)格是否有顯著影響7. 對(duì)模型的修正8. 對(duì)模型修正后的檢驗(yàn)9. 總結(jié)【實(shí)驗(yàn)步驟】1 .打開并新建EViews8.0文件；2 .利用“黃金價(jià)格、美元指數(shù)、通脹率、原油價(jià)格、US利率、GDP、標(biāo)準(zhǔn)普爾指

4、數(shù)”數(shù)據(jù)，建立相關(guān)文件；3 .根據(jù)出現(xiàn)的數(shù)據(jù)進(jìn)行回歸分析；4 .對(duì)建立的模型進(jìn)行檢驗(yàn)5 .對(duì)模型進(jìn)行修正6 .對(duì)修正后的模型進(jìn)行檢驗(yàn)7 .總結(jié)【實(shí)驗(yàn)步驟一一自己操作】一、實(shí)驗(yàn)數(shù)據(jù)：黃金價(jià)格、美元指數(shù)、通脹率、原油價(jià)格、US利率、GDP、標(biāo)準(zhǔn)普爾指數(shù)的數(shù)據(jù)如下：YUIORSRLGDPSP317.66126.3：13.5554.547.4711.376849300171.61368.24113.8JP1.9128.75.979.027086500201.89447.9598.83.6633.055.789.387313300264.51438.3193.14.0827.456.679.717613

5、900250.48382.5898.34.8332.228.119.267885900285.41384.9391.35.3938.577.59.328033900339.97363.2993.2J二4.2532.335.388.778015100325.5344.9788.6：二3.0829.93.438.148287100316.08360.9195.42.9625.2837.228523400435.23385.4292.42.6123.024.257.978870700472.99385.584.52.8123.965.497.599093700465.25389.0986.92.93

6、28.425.017.379433900614.42332.3995.42.3425.325.067.279854300766.22295.2498.61.5515.934.786.5310283500963.36279.9199.1C2.1921.624.647.05107798001248.77280.1108.31二3.3834.655.827.62112260001425.59272.22115二2.8328.323.47.08113472001330.93311.33112.41.2927.651.616.49115530001140.21364.897.52.2732.821.01

7、5.6611840700895.84410.5288.3：12.6843.421.375.63122638001080.6444686.7；二3.3955.83.155.23126384001199.2160685.9；二3.2463.024.735.59129762001262.0769980.51二2.8567.374.365.56132541001416.4276877.3J二3.8592.311.735.63133122001479.2295081.7-0.3454.240.155.3112987400877.56二、實(shí)驗(yàn)步驟：(1)建立回歸模型1 .建立EViews8.0實(shí)驗(yàn)文件or

8、kfileCreateDate speaficationFrequency: AnnualStart date: | 1995End date： 2009WorkfilestructuretypeDated-regularfrequency7IrregularDatedandPanelworkfilesmaybemadefromUnstructuredworkfilesbyLaterspecifyingdateand/orotheridentifiersefies.Workfiienamesoptional)WF：OKPage：Cancel2 .輸入Y、X的數(shù)據(jù)在EViews軟件的命令窗口鍵入

9、DATA命令，命令格式為：輸入：dataYX1X2X3X4X5X6X7面FikEdirObjectViewP<«QuickOptionsAdd-irwWindowHelpVitwPTOCObjectPrintNameFfiizeSortEditSmpl+/-Trjnipqse十時(shí)IeSample¥K1X2X3X4X5XBX71935317.E6CM12S.3DD03.550M054,540007.47M0011.37000&8493Q0.171.610019郵368.34M113.即旺1910皿。殿7。的。5.970000902QC0Q7USW0201.690

10、01S87447.950。98BWQQ3湖網(wǎng)。33.05QCI0578OT009.3SOOOO7313300264.51001988438.310Q93,100004.08000027.450006.6700009.7100W7613900250.480019S93S2.580098,300004.83000032.220008.1100009.2600007685900.285.41M1990384.930091.300005.39000038.570007.5000009.3200008033900.339.97001991363.290093.200004.25000032.330005

11、.3800008.7700008015100.325.500011992344.970088.6O&OO3.08000029.900003.4300008.14000082«7100,316.08001993360.910095,<DOO2.96000025280003.0000007220000B523400.435.230019943BS.42OT92.400D12.B10MO23.020<JO4.2S0D007.57D0003B70700.4720S0D19953B5.50Q0B4.SOOHM2.B10M023.960005.4900007.59D000OT

12、S3700.455.250D369.09QDB&goooo2.9300002S.42D005.01M007.37D00Q94339D0.614.420D1997332.39M95.400D0234QQOO25.330007.2700009B543Q0766.220019982S5.24W98SOOOO155000015,930004.73Q000&.53000010283500963.36001999£79,910099100002190&0021.620004.64QOOO7.050000107798001248.7702000280.1000108.300

13、03.38000034,650005.8200007.620000112260001425.5902001272.2200115.00002.83000028.320003.4000007.080000113472001330.9302002311.3300112.40001.90。027.6SOOO1.6100006.490000115530001140.2102003364.800097.500002.27000032.820001.0100005.66000011840700895.84002004410.5200as.acoocZBSOOOO43420001.3700005.63000

14、122636001000.6402005446.MMS67000Cm.劃時(shí)0究.如口加3.15M00523D000126時(shí)40011MC21D200&E06.U0MB5.B0QiKI3.24OQDO63.020004.73QD005.59Q0QQ129762001262.0702007Egg.dOMBD.500DD2B500D067.370004.3600005.56000Q132541001416.42D200H768.000077.300003.B500DD92,310(10T73M005阜3QQQQ133122001479.220550.0000M。嚇f34。（用。54.54QC

15、QQ.150DQ05.31M00129&7400877,55003 .建立回歸模型:建立YCX1X2X3X4X5X6X7的回歸,其中Y代表黃金價(jià)格X1代表美元指數(shù)X2代表通脹率X3代表原油價(jià)格X4代表短期US利率X5代表長(zhǎng)期US利率X6代表GDPX7代表標(biāo)準(zhǔn)普爾指數(shù)EquationEstimationXSpedficabonOptions-Equationspeafetion血j門Dependentvariablefollowedbylistofregressorsinc:lltidingandPDLterms,ORanexplicitequationlike¥=c(1H&a

16、mp;(2)*X.rCXIX2X3X4X5X6X7|Esdmatonsettngs-ju*MethodLS-LeastSquares(NL£andARMA)SampleriW352009.定取消4.回歸結(jié)果如下：DeperidentVarialjie：YMethod:LeastSquaresDate:06/26/16Time:15:09Sample:19S52009Includedobservations:25VanableCoefficientStdErrort-StatisticProb.C171,1953496.57060.3447500.7345XI-77447011.925

17、070-4.0230740.0009X2-75.5397117,55381-4.3061710.0005X35.7124891.2888474.4322490.0004X45.07422012.37913040990106870X5677966536.575901.8535S300S12X65S3E-05379E-05153696301427X7-0.1453670.107705-1.34967101948R-squared0.893035Meandependentvar423.3744AdjustedR-squared0.856050SDdependentvar164.1433S.E.ofr

18、egression6227726Akaikeinfocriterion11.35541Sumsquaredresid65933.76Schwarzcriterion11.74545Loglikelihood-1319426Hannan-Quinnenter.1145359F-statistic2133918Durbin-Watsonstat1.435681Prot>(F-statiStic)0.0000005、對(duì)模型的初步分析a.對(duì)模型擬合度分析：從報(bào)告單可以看出，R-squared為0.89,模型擬合度在89%左右。b.對(duì)變量的顯著性分析：在t檢驗(yàn)中，截距項(xiàng)參數(shù)、RS的參數(shù)并不顯著?？?/p>

19、能為0。但要判斷是否為0,還要對(duì)殘差和變量進(jìn)行檢驗(yàn)。c.對(duì)模型顯著性分析F檢驗(yàn)中，F(xiàn)統(tǒng)計(jì)量值為21.39,大于顯著水平為5%的臨界值，說(shuō)明模型顯著。對(duì)多個(gè)解釋變量的模型，若OLS法估價(jià)的R2與F值較大，但t檢驗(yàn)值較小，則說(shuō)明各解釋變量對(duì)Y的聯(lián)合線性作用顯著，但各解釋變量間存在共線性而使得它們對(duì)Y的獨(dú)立作用不能分辨，故t檢驗(yàn)不顯著。d、對(duì)模型的殘差項(xiàng)進(jìn)行分析異方差檢驗(yàn)：懷特檢驗(yàn)HeteroskedasticityTestWhiteF-statistic1.553240ProbF(7,17)0.2160Obs*R-squared9.752093ProbChi-Square(7)0.2031Scal

20、edexplainedSS2696115Prob,Chi-Square(7)0.9116由圖知Obs*R-squared統(tǒng)計(jì)量為9.75,概率值大于0.05,說(shuō)明不存在異方差自相關(guān)檢驗(yàn)Breusdi-GoctfreySerialCorrelationLMTestF-statistic1.209177Prob.F(1h16)0.2878ObstR-squared1755538Prob.Chi-Square0.1851P(Obs*R-squared)為1.75,大于0.05的顯著水平，所以不存在自相關(guān)e、對(duì)變量進(jìn)行分析對(duì)變量進(jìn)行多重共線性檢驗(yàn)YXI-近*3X4X5X6X71.000000-0.63

21、6739-0.2319960.745214-fl.403036-0.4510710.5146460.265725-0.6367391.000000-0.043234-03852310.31S0190.632901-0.419986-0.197281-0.231996-00432341QOOOQQ0.1428890.6392840508453-0.405625XJ.293S420745214-0.3853310.1428391.000000-0.254375-0.35303S054667004315S7-0.4030360.3190190.63B28JI-0.2548751.0000000.79

22、B789-0.707876-0.531696力.4510710.5229cliD,50M53-03530390.7987891000000D.9260944).789570514646X).413986-04056250.546670-0.707376-09260941.0000000.9201510.2657254J,1972ST-0.298B420.4315974J.53169日-0.79S9570.9201511.000000由相關(guān)系數(shù)矩陣知:1 .GDP與RL、RS和SP存在明顯的線性相關(guān)性?？梢钥闯鯣DP與利率存在線性負(fù)相關(guān)，與股票市場(chǎng)存在線性正相關(guān)。因?yàn)镚DP是反映國(guó)家經(jīng)濟(jì)的一個(gè)重

23、要指標(biāo)，因此，國(guó)家為了刺激經(jīng)濟(jì)，貨幣政策往往比較寬松，利率比較低，此時(shí)國(guó)家經(jīng)濟(jì)發(fā)展，GDP加速上升，帶動(dòng)股市上揚(yáng)。2 .RL與SP存在明顯的線性相關(guān)性。由股票理論價(jià)格=股票U益/利率知道利率與股票價(jià)格存在負(fù)相關(guān)。由于存在多重共線性存在，導(dǎo)致OLS下估計(jì)量的非有效、變量顯著性檢驗(yàn)失效和模型預(yù)測(cè)失效，因此必須克服模型多重共線性，對(duì)模型進(jìn)行修改。6、對(duì)模型的修正前面已經(jīng)大致檢測(cè)出存在多重共線性的解釋變量，分別是短期利率（X4）、長(zhǎng)期利率（X5）、標(biāo)準(zhǔn)普爾指數(shù)（X7）、GDP（X6）。對(duì)這些解釋變量進(jìn)行逐步回歸：短期利率：DependentVariable:YMettiod:LeastSquaresD

24、ate:06/26/16Time:16:20Sample19852009includedobservations:25VariableCoefficientStd.Errort-StatisticProb.9210276150.4103612343500000-64588991419771-454925500002-72.1648118.41638-3918512000096524200096855067360470000019.7332710.792651.3288610.0824R-squared0.839371Meandependentvar4233744AdjustedR-square

25、d0.807245S.D.dependentvar1641433S.Eofregression72.06533Akaikeinfocriterion115698gSumsquaredresid103363.2Schwancriterion11£1365Loglikelihood-1396235Hannan-Quinncriter.11.63749F-statistic26.12756Durbin-Watsonstat0.844421Prob(F*statistic)ooooooo長(zhǎng)期利率DependentVariable:YMethod.LeastSquaresDate：06/26/

26、16Time：1621Sample:19852009Indudedobservations:25VariableCoefficientstd.EitqStatisticProb.C876.8847126.48886.9325110.0000X1-8321B681334626-6.0101940.0000X2-82064811463929-5.605791100000X36.952239083092233669540.0000X5433303S12446933.4306520.0024R-squaredl0.883237Meandependentvar423.3744AdjustedR-squa

27、red0.859884SDdependentvar164.1433S.Eofregression61,44228Akaiiceinfocriterion11,25093Sumsquaredesid75503.07Schwarzcriterion11,49470Loglikelihood-135.5366Hannan-Quinncriter.11.31B54F-statistic37.32163Durbin-Watsonstat1.369569Prob(F-statistic)0.000000標(biāo)準(zhǔn)普爾指數(shù)DependentVariable:YMethod:LeastSquaresDate:06/

28、26/16Time:16:22Sample:19852009Includedatiservations：2EVariableCoefficientStd.Errort-StatisticProbC961.6988138.70436.9334450.0000X1-57115041221455467598400001X2-62.2740112.66461-491716900001X371514640937270763009900000X7-01014710035773-283655200102R-squared0.866297Meandependentvar423.3744AdjustedR-sq

29、uared0.839556S.Ddependentvar164.1433S.E.ofregression65.74840Akaikeinfocriterion11,38640Suesquaredresid36457.03Schwarzcriterion1163018Loglikelihood-1373301Hannan-Quinnenter.11.45402F-statistic32.39620Durbin-Watsonstat1.017387Prostic)0000000GDPDependentVariable:YMethod.LeastSquaresDate:06；26/16Time:16

30、:23Sample:19652009Includedobservations:25VariableCoefficientStdErrort-StatisticProb.1251473197.7629632815200000-6.7144161313380-51103420.0001-713958214.79076-48270550.00017,59166210554817.1926070.0000-2.60E-05982E-06-2.6504250.01&4R-squared0861244Meandependentvar423.3744AdjustedR-squared0.833493SD.dependentvar164.1433S.Eofregression66.97921Akaikeinfocriterion1142350Sumsquaredresid89724.28Schwarzcriter