計量經(jīng)濟學(xué) 案例分析 Eviews

1、研究課題：通過對1984420033年某國GDDP和出口的的分析，研究究GDP和出出口量的相關(guān)關(guān)關(guān)系并對參參數(shù)估計值進進行檢驗。模型及數(shù)據(jù)來源源：GDP為因變量量，出口量為為自變量。選選擇模型是一一元線性回歸歸模型y=cc0+c1x+u（yy代表GDPP，x代表出出口量，u表表示殘差項）數(shù)據(jù)來自計量經(jīng)濟學(xué)軟件eviews的使用135頁表12.1。提取其進口和國內(nèi)生產(chǎn)總值兩列數(shù)據(jù)：annualexportgdp1984580.571711985808.98964.419861082.110202.221987147011962.5519881766.714928.331989195616909.

2、2219902985.818547.9919913827.121617.8819924676.326638.1119935284.834634.44199410421.8846759.44199512451.8858478.11199612576.4467884.66199715160.7774462.66199815233.6678345.22199916159.8882067.55200020634.4489468.11200122024.4497314.88200226947.44105172.3200336287.99117251.9作業(yè)根據(jù)表格得到曲曲線圖、散點點圖、X-YY曲線圖：

3、曲線圖散點圖X-Y曲線圖2、數(shù)據(jù)描述統(tǒng)統(tǒng)計分析3、簡單的回歸歸估計Dependeent Vaariablle: GDDPMethod: Leasst SquuaresDate: 006/14/09 Time: 16:338Sample: 19844 20033Includeed obsservattions: 20VariablleCoefficcientStd. Errrort-StatiisticProb. C11772.7772862.41194.11287730.0007EXPORT3.54779900.197911917.9254480.0000R-squarred0.9469553

4、 Meaan deppendennt varr49439.002Adjusteed R-ssquareed0.9440006 S.DD. deppendennt varr36735.119S.E. off regrressioon8692.6556 Akaaike iinfo ccriterrion21.072998Sum squuared residd1.36E+009 Schhwarz criteerion21.172556Log likkelihoood-208.72298 F-sstatisstic321.32229Durbin-Watsoon staat0.6049771 Proob

5、(F-sstatisstic)0.0000000根據(jù)輸出結(jié)果，寫寫出OLS估估計式，并進進行分析說明明：yt=-117772.777+3.5477790 xt R2=0.9466953 df=188檢驗回歸系數(shù)顯顯著性的原假假設(shè)和備擇假假設(shè)是（給定定a = 0.05）H0：c1= 0； H11：c1 0。因為t = 117.925548 tt0.0255 (18) = 2，所所以檢驗結(jié)果果是拒絕c1=0，即認(rèn)認(rèn)為進口額和GDDP之間存在在回歸關(guān)系，二二者正方向變變化。上述模模型的經(jīng)濟解解釋是，對于于出口量每增加加1億元，GGDP將平均均增加3.554779億億元。擬合優(yōu)優(yōu)度為0.9946953

6、3說明上式的的擬合情況較較好。GDPP變動的94.7%可以由出口量量的變動解釋釋。 4、自相關(guān)及其其解決殘差：殘差序列列圖717113832.225806552-6661.2258065521| . * | . |8964.414642.557332886-5678.1173328857| . * | . |10202.2215611.882958993-5409.6629589929| . * | . |11962.5516988.001737667-5025.5517376674| . * | . |14928.3318040.664670553-3112.3346705528| . *

7、| . |16909.2218712.224337449-1803.0043374495| . *| . |18547.9922365.775764003-3817.8857640028| . * | . |21617.8825350.55134688-3732.7713468804| . * | . |26638.1128363.229683777-1725.1196837774| . *| . |34634.4430522.1127125564112.2772874338| . | * . |46759.4448747.112497008-1987.7724970084| . *| . |

8、58478.1155949.113891442528.9661086004| . |* . |67884.6656391.11935622911493.440643771| . | .* |74462.6665559.7747569948902.8552430661| . | * |78345.2265818.33814699112526.881853009| . | .* |82067.5569104.3344678812963.11553222| . | . * |89468.1184979.2286347794488.8113652006| . | * . |97314.8889910.

9、7714614447404.0885385558| . | *. |105172.3107376.4853774-2204.1185374401| . *| . |117251.9140514.6189888-23262.71898877|* . | . |由圖看出殘差具具有較明顯的的自相關(guān)趨勢勢，同時由簡簡單回歸估計計的D-W值值0.6044971，遠(yuǎn)遠(yuǎn)小于2，也也可推出模型型存在自相關(guān)關(guān)可能。AR（1）模型型的估計消除自相關(guān)的回回歸分析Dependeent Vaariablle: GDDPMethod: Leasst SquuaresDate: 006/14/09 Time: 15:446

10、Sample(adjussted): 19855 20033Includeed obsservattions: 19 aafter adjussting endpoointsConverggence achieeved aafter 30 itteratiionsVariablleCoefficcientStd. Errrort-StatiisticProb. C-80417.9387670.331-0.91722770.3726EXPORT0.79691100.34276642.32495550.0336AR(1)1.03613310.028188436.7636690.0000R-squa

11、rred0.9947880 Meaan deppendennt varr51663.665Adjusteed R-ssquareed0.9941227 S.DD. deppendennt varr36331.334S.E. off regrressioon2784.2559 Akaaike iinfo ccriterrion18.845229Sum squuared residd1.24E+008 Schhwarz criteerion18.994441Log likkelihoood-176.03303 F-sstatisstic1524.4449Durbin-Watsoon staat0.

12、5602994 Proob(F-sstatisstic)0.0000000Inverteed AR Rootss 1.04Estimatted ARR proccess iis nonnstatiionaryy經(jīng)過GLS處理理以后，我們們可以看出GG-W的值由由原來的0.6049771改進為00.5602294，基本本上消除了自自相關(guān)性。GDP = -804177.931881 + 00.796991049337*EXPPORT + AR(1)=1.03613305915、異方差性及及其修正先看散點圖：由圖可以看出，殘殘差隨著GDDP的增大其其分散程度也也增大，這是是存在異方差差性的初步經(jīng)經(jīng)驗

13、證據(jù)。懷特檢驗：White HHeterooskedaasticiity Teest:F-statiistic14.975332 Proobabillity0.0001778Obs*R-ssquareed12.758335 Proobabillity0.0016997Test Eqquatioon:Dependeent Vaariablle: REESID22Method: Leasst SquuaresDate: 006/14/09 Time: 23:222Sample: 19844 20033Includeed obsservattions: 20VariablleCoefficcient

14、Std. Errrort-StatiisticProb. C4195547773179760011.31945540.2045EXPORT-7517.77835261.1445-1.42899250.1711EXPORT20.50613300.16177753.12861120.0061R-squarred0.6379118 Meaan deppendennt varr680060339Adjusteed R-ssquareed0.5953220 S.DD. deppendennt varr1.23E+008S.E. off regrressioon780134771 Akaaike iinf

15、o ccriterrion39.320114Sum squuared residd1.03E+117 Schhwarz criteerion39.469550Log likkelihoood-390.20014 F-sstatisstic14.975332Durbin-Watsoon staat1.7370444 Proob(F-sstatisstic)0.0001778輔助回歸模型中中，取顯著性性水平a=00.05，由由于Obs*R-squuared=12.755835Xa/20.055（10）=18.331，所以函函數(shù)不存在異異方差性。由由輸出結(jié)果的的概率值（PP值）可以看看出，函數(shù)不不存

16、在異方差差性。因為存在異方差差性，OLSS所估計出來來的參數(shù)標(biāo)準(zhǔn)準(zhǔn)有誤，我們們采用懷特法法重新估計參參數(shù)解決這一一問題。Dependeent Vaariablle: GDDPMethod: Leasst SquuaresDate: 006/14/09 Time: 20:008Sample: 19844 20033Includeed obsservattions: 20White HHeterooskedaasticiity-Coonsisttent SStandaard Errrors & CovvariannceVariablleCoefficcientStd. Errrort-Statii

17、sticProb. C11772.7772757.30044.26966660.0005EXPORT3.54779900.342644110.3542260.0000R-squarred0.9469553 Meaan deppendennt varr49439.002Adjusteed R-ssquareed0.9440006 S.DD. deppendennt varr36735.119S.E. off regrressioon8692.6556 Akaaike iinfo ccriterrion21.072998Sum squuared residd1.36E+009 Schhwarz criteerion21.