eviews面板數(shù)據(jù)實(shí)例分析包會(huì)

./1.已知1996—2002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的居民家庭人均消費(fèi)〔,不變價(jià)格和人均收入〔,不變價(jià)格居民,利用數(shù)據(jù)〔1建立面板數(shù)據(jù)〔paneldata工作文件；〔2定義序列名并輸入數(shù)據(jù)；〔3估計(jì)選擇面板模型；〔4面板單位根檢驗(yàn)。年人均消費(fèi)〔consume和人均收入〔income數(shù)據(jù)以及消費(fèi)者價(jià)格指數(shù)〔p分別見表9.1,9.2和9.3。表9.11996—2002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的居民家庭人均消費(fèi)〔元數(shù)據(jù)人均消費(fèi)1996199719981999200020012002CONSUMEAH3607.433693.553777.413901.814232.984517.654736.52CONSUMEBJ5729.526531.816970.837498.488493.498922.7210284.6CONSUMEFJ4248.474935.955181.455266.695638.746015.116631.68CONSUMEHB3424.354003.713834.434026.34348.474479.755069.28CONSUMEHLJ3110.923213.423303.153481.743824.444192.364462.08CONSUMEJL3037.323408.033449.743661.684020.874337.224973.88CONSUMEJS4057.54533.574889.435010.915323.185532.746042.6CONSUMEJX2942.113199.613266.813482.333623.563894.514549.32CONSUMELN3493.023719.913890.743989.934356.064654.425342.64CONSUMENMG2767.843032.33105.743468.993927.754195.624859.88CONSUMESD3770.994040.634143.964515.0550225252.415596.32CONSUMESH6763.126819.946866.418247.698868.199336.110464CONSUMESX3035.593228.713267.73492.983941.874123.014710.96CONSUMETJ4679.615204.155471.015851.536121.046987.227191.96CONSUMEZJ5764.276170.146217.936521.547020.227952.398713.08表9.21996—2002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的居民家庭人均收入〔元數(shù)據(jù)人均收入1996199719981999200020012002INCOMEAH4512.774599.274770.475064.65293.555668.86032.4INCOMEBJ7332.017813.168471.989182.7610349.6911577.7812463.92INCOMEFJ5172.936143.646485.636859.817432.268313.089189.36INCOMEHB4442.814958.675084.645365.035661.165984.826679.68INCOMEHLJ3768.314090.724268.54595.144912.885425.876100.56INCOMEJL3805.534190.584206.644480.0148105340.466260.16INCOMEJS5185.795765.26017.856538.26800.237375.18177.64INCOMEJX3780.24071.324251.424720.585103.585506.026335.64INCOMELN4207.234518.14617.244898.615357.795797.016524.52INCOMENMG3431.813944.674353.024770.535129.055535.896051INCOMESD4890.285190.795380.085808.966489.977101.087614.36INCOMESH8178.488438.898773.110931.6411718.0112883.4613249.8INCOMESX3702.693989.924098.734342.614724.115391.056234.36INCOMETJ5967.716608.397110.547649.838140.58958.79337.56INCOMEZJ6955.797358.727836.768427.959279.1610464.6711715.6表9.31996—2002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的消費(fèi)者物價(jià)指數(shù)物價(jià)指數(shù)1996199719981999200020012002PAH109.9101.310097.8100.7100.599PBJ111.6105.3102.4100.6103.5103.198.2PFJ105.9101.799.799.1102.198.799.5PHB107.1103.598.498.199.7100.599PHLJ107.1104.4100.496.898.3100.899.3PJL107.2103.799.29898.6101.399.5PJS109.3101.799.498.7100.1100.899.2PJX108.410210198.6100.399.5100.1PLN107.9103.199.398.699.910098.9PNMG107.6104.599.399.8101.3100.6100.2PSD109.6102.899.499.3100.2101.899.3PSH109.2102.8100101.5102.5100100.5PSX107.9103.198.699.6103.999.898.4PTJ109103.199.598.999.6101.299.6PZJ107.9102.899.798.810199.899.1〔1建立面板數(shù)據(jù)工作文件首先建立工作文件。打開工作文件后,過程如下：建立面板數(shù)據(jù)庫。在窗口中輸入15個(gè)不同省級(jí)地區(qū)的標(biāo)識(shí)?！?定義序列名并輸入數(shù)據(jù)產(chǎn)生3*15個(gè)尚未輸入數(shù)據(jù)的變量名。這樣可以通過鍵盤輸入或黏貼的方法數(shù)據(jù)數(shù)據(jù)?！?估計(jì)、選擇面板模型打開一個(gè)pool窗口,先輸入變量后綴〔所要使用的變量。點(diǎn)擊Estimate,打開估計(jì)窗口。A.混合模型的估計(jì)方法左邊的Common表示相同系數(shù),即表示不同個(gè)體有相同的斜率。得到如下輸出結(jié)果：相應(yīng)的表達(dá)式是：<2.0><79.7>上式表示15個(gè)省級(jí)地區(qū)的城鎮(zhèn)人均指出平均占收入的76%。B.個(gè)體固定效應(yīng)回歸模型的估計(jì)方法將截距項(xiàng)選擇區(qū)選Fixedeffects〔固定效應(yīng)得到如下輸出結(jié)果：相應(yīng)的表達(dá)式為：<6.3><55>其中虛擬變量的定義是：15個(gè)省級(jí)地區(qū)的城鎮(zhèn)人均指出平均占收入70%。從上面的結(jié)果可以看出北京市居民的自發(fā)性消費(fèi)明顯高于其他地區(qū)。接下來用F統(tǒng)計(jì)量檢驗(yàn)是應(yīng)該建立混合回歸模型,還是個(gè)體固定效應(yīng)回歸模型。：。模型中不同個(gè)體的截距相同〔真實(shí)模型為混合回歸模型。：模型中不同個(gè)體的截距項(xiàng)不同〔真實(shí)模型為個(gè)體固定效應(yīng)回歸模型。F統(tǒng)計(jì)量定義為：其中表示約束模型,即混合估計(jì)模型的殘差平方和,表示非約束模型,即個(gè)體固定效應(yīng)回歸模型的殘差平方和。非約束模型比約束模型多了個(gè)被估參數(shù)。所以本例中：所以推翻原假設(shè),建立個(gè)體固定效應(yīng)回歸模型更合理。C.時(shí)點(diǎn)固定效應(yīng)回歸模型的估計(jì)方法將時(shí)間選擇為固定效應(yīng)。得到如下輸出結(jié)果：相應(yīng)的表達(dá)式為：<76.6>其中虛擬變量的定義是：D.個(gè)體隨機(jī)效應(yīng)回歸模型估計(jì)截距項(xiàng)選擇Randomeffects〔個(gè)體隨機(jī)效應(yīng)得到如下部分輸出結(jié)果：相應(yīng)的表達(dá)式是：<68.5>其中虛擬變量的定義是：接下來利用Hausman統(tǒng)計(jì)量檢驗(yàn)應(yīng)該建立個(gè)體隨機(jī)效應(yīng)回歸模型還是個(gè)體固定效應(yīng)回歸模型。：個(gè)體效應(yīng)與回歸變量〔無關(guān)〔個(gè)體隨機(jī)效應(yīng)回歸模型：個(gè)體效應(yīng)與回歸變量〔相關(guān)〔個(gè)體固定效應(yīng)回歸模型分析過程如下：得到如下檢驗(yàn)結(jié)果：由檢驗(yàn)輸出結(jié)果的上半部分可以看出,Hausman統(tǒng)計(jì)量的值是14.79,相對(duì)應(yīng)的概率是0.0001,即拒接原假設(shè),應(yīng)該建立個(gè)體固定效應(yīng)模型。檢驗(yàn)結(jié)果的下半部分是Hausman檢驗(yàn)中間結(jié)果比較。個(gè)體固定效應(yīng)模型對(duì)參數(shù)的估計(jì)值為0.697561,隨機(jī)效應(yīng)模型對(duì)參數(shù)的估計(jì)值為0.724569。兩個(gè)參數(shù)的估計(jì)量的分布方差的差為0.000049。綜上分析,1996—2002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的居民家庭人均消費(fèi)和人金收入問題應(yīng)該建立個(gè)體固定效應(yīng)回歸模型。人均消費(fèi)平均占人均收入的70%。隨地區(qū)不同,自發(fā)消費(fèi)〔截距項(xiàng)存在顯著性差異?！?面板單位根檢驗(yàn)以cp序列為例。首先在工作文件窗口中打開cp變量的15個(gè)數(shù)據(jù)組。單位根檢驗(yàn)過程如下：得到如下檢驗(yàn)結(jié)果：從上面的檢驗(yàn)結(jié)果可以看出來,6種檢驗(yàn)方法的結(jié)論都認(rèn)為15個(gè)cp序列存在單位根。選擇IPS檢驗(yàn)方法進(jìn)行單位根檢驗(yàn)。檢驗(yàn)結(jié)果如下：從上面的結(jié)果可以看出,cp面板存在單位根,同時(shí)每個(gè)個(gè)體都存在單位根。2.收集中國2000—2005年各地區(qū)城鎮(zhèn)居民人均可支配收入X和消費(fèi)指出Y統(tǒng)計(jì)數(shù)據(jù)如表9.4。數(shù)據(jù)是6年的,每一年都有32組數(shù)據(jù),共192組觀測(cè)值。人均可支配收入和消費(fèi)支出數(shù)據(jù)〔單位：元200020012002200320042005地區(qū)可支配收入消費(fèi)支出可支配收入消費(fèi)支出可支配收入消費(fèi)支出可支配收入消費(fèi)支出可支配收入消費(fèi)支出可支配收入消費(fèi)支出XYXYXYXYXYXY全國6279.984998.006859.585309.017702.806029.888472.206510.949421.617182.1010493.037942.88北京10349.698493.4911577.788922.7212463.9210284.6013882.6211123.8415637.8412200.4017652.9513244.20天津8140.506121.048958.706987.229337.567191.9610312.917867.5311467.168802.4412638.559653.26河北5661.164348.475984.824479.756679.685069.287239.065439.777951.315819.189107.096699.67山西4724.113941.875391.054123.016234.364710.967005.035105.387902.865654.158913.916342.63XX5129.053927.755535.894195.626051.004859.887012.905419.148122.996219.269136.796928.60遼寧5357.794356.065797.014654.426524.525342.647240.586077.928007.566543.289107.557369.27吉林4810.004020.875340.464337.226260.164973.887005.175492.107840.616068.998690.626794.71XX4912.883824.445425.874192.366100.564462.086678.905015.197470.715567.538272.516178.01上海11718.018868.1912883.469336.1013249.8010464.0014867.4911040.3416682.8212631.0318645.0313773.41江蘇6800.235323.187375.105532.748177.646042.609262.466708.5810481.937332.2612318.578621.82浙江9279.167020.2210464.677952.3911715.608713.0813179.539712.8914546.3810636.1416293.7712253.74安徽5293.554232.985668.804517.656032.404736.526778.035064.347511.435711.338470.686367.67福建7432.265638.748313.086015.119189.366631.689999.547356.2611175.378161.1512321.318794.41江西5103.583623.565506.023894.516335.644549.326901.424914.557559.645337.848619.666109.39山東6489.975022.007101.085252.417614.365596.328399.916069.359437.806673.7510744.797457.31河南4766.263830.715267.424110.176245.404504.686926.124941.607704.905294.198667.976038.02湖北5524.544644.505855.984804.796788.525608.927321.985963.258022.756398.528785.946736.56湖南6218.735218.796780.565546.226958.565574.727674.206082.628617.486884.619523.977504.99廣東9761.578016.9110415.198099.6311137.208988.4812380.439636.2713627.6510694.7914769.9411809.87廣西5834.434852.316665.735224.737315.325413.447785.045763.508689.996445.739286.707032.80海南5358.324082.565838.844367.856822.725459.647259.255502.437735.785802.408123.945928.79重慶6275.985569.846721.095873.697238.046360.248093.677118.069220.967973.0510243.468623.29四川5894.274855.786360.475176.176610.805413.087041.875759.217709.876371.148385.966891.27貴州5122.214278.285451.914273.905944.084598.286569.234948.987322.055494.458151.136159.29云南6324.645185.316797.715252.607240.565827.927643.576023.568870.886837.019265.906996.90西藏7426.325554.427869.165994.398079.126952.448765.458045.349106.078338.219431.188617.11陜西5124.244276.675483.734637.746330.845378.046806.355666.547492.476233.078272.026656.46甘肅4916.254126.475382.914420.316151.445064.246657.245298.917376.745937.308086.826529.20青海5169.964185.735853.724698.596170.525042.526745.325400.247319.675758.958057.856245.26寧夏4912.404200.505544.174595.406067