第九章案例分析(分布滯后模型)

第九章案例分析【案例7.1】為了研究1955—1974年期間美國制造業(yè)庫存量Y和銷售額X的關(guān)系，用阿爾蒙法估計(jì)如下有限分布滯后模型：3YXXXXut0t1t12t2t3t將系數(shù)i(i=0,1,2,3)用二次多項(xiàng)式近似，即001012242012393012則原模型可變?yōu)槠渲?1t22tYZZZut00ttZXXXXt30ttt1t2ZX2X3X1tt1t2t3ZX4X9X2tt1t2t3在Eviews工作文件中輸入X和Y的數(shù)據(jù)，在工作文件窗口中點(diǎn)擊“Genr”工具欄，出現(xiàn)對(duì)話框，輸入生成變量Z0t的公式，點(diǎn)擊“OK”；類似，可生成Z1t、Z2t變量的數(shù)據(jù)。進(jìn)入EquationSpecification對(duì)話欄，鍵入回歸方程形式Y(jié)CZ0Z1Z2點(diǎn)擊“OK”，顯示回歸結(jié)果（見表7.2）。表7.2???、、2。將它們代入01表中Z0、Z1、Z2對(duì)應(yīng)的系數(shù)分0、、別為2的估計(jì)值1????、、、的估計(jì)值為：23分布滯后系數(shù)的阿爾蒙多項(xiàng)式中，可計(jì)算出01??0.66124800????0.6612480.902049(0.432155)1.1311421012??2?4?0.66124820.9020494(0.432155)0.7367251012??3?9?0.66124830.9020499(0.432155)-0.5221012從而，分布滯后模型的最終估計(jì)式為：Y6.4196010.630281X1.15686X0.76178X0.55495Xt3ttt1t2在實(shí)際應(yīng)用中，Eviews提供了多項(xiàng)式分布滯后指令“PDL”用于估計(jì)分布滯后模型。下面結(jié)合本例給出操作過程：在Eviews中輸入X和Y的數(shù)YCPDL(X,3,2)（PolynomialDistributedLags）模型的估計(jì)，2表示多項(xiàng)式的EstimationSettings欄中選擇LeastSquares(最小二乘法)，點(diǎn)擊OK，屏幕將顯示回歸分析結(jié)果（見表7.3）。表7.3據(jù)，進(jìn)入EquationSpecification對(duì)話欄，鍵入方程形式其中，“PDL指令”表示進(jìn)行多項(xiàng)式分布滯后括號(hào)中的3表示X的分布滯后長度，階數(shù)。在需要指出的是，用“PDL”估計(jì)分布滯后模型時(shí)，Eviews所采用的滯后系數(shù)變換不是形如（7.4）式的阿爾蒙多項(xiàng)式，而結(jié)果中PDL01、PDL02、PDL03對(duì)應(yīng)的估計(jì)系數(shù)多項(xiàng)式是阿爾蒙多項(xiàng)式的派生形式。因此，輸出不是阿爾蒙多項(xiàng)式、、的估計(jì)2系數(shù)。但同前面分步計(jì)算的結(jié)果相比，最終的分布滯后估計(jì)01????、、、23系數(shù)式是相同的。01【案例7.2】貨幣主義學(xué)派認(rèn)為，產(chǎn)生通貨膨脹的必要條件是貨幣的超量供應(yīng)。物價(jià)變動(dòng)與貨幣供應(yīng)量的變化有著較為密切的聯(lián)系，但是二者之間的關(guān)系不是瞬時(shí)的，貨幣供應(yīng)量的變化對(duì)物價(jià)的影響存在一定時(shí)滯。有研究表明，西方國家的通貨膨脹時(shí)滯大約為2—3個(gè)季度。在中國，大家普遍認(rèn)同貨幣供給的變化對(duì)物價(jià)具有滯后影響，但滯后期究竟有多長，還存在不同的認(rèn)識(shí)。下面采集1996－2005年全國表7.4）對(duì)表7.41996－2005年全國廣義貨幣供應(yīng)量及物價(jià)指數(shù)月度數(shù)據(jù)廣義貨幣供應(yīng)量和物價(jià)指數(shù)的月度數(shù)據(jù)（見這一問題進(jìn)行研究。廣義貨幣居民消費(fèi)價(jià)增長量M2z格同比指數(shù)月度（千億元）tbzs廣義貨幣廣義貨幣增居民消費(fèi)價(jià)長量M2z格同比指數(shù)(千億元）（千億元）tbzsOct-00129.522-0.9518100Feb-9663.7785.377109.3Nov-00130.99411.4721101.3Mar-9664.5110.733109.8Dec-00134.61033.6162101.5廣義貨幣M2月度M2(千億元）Jan-9658.401Apr-9665.7231.212109.7Jan-01137.54362.9333101.2May-9666.881.157108.9Feb-01136.2102-1.3334100Jun-9668.1321.252108.6Mar-01138.74452.5343100.8Jul-9669.3461.214108.3Apr-01139.94991.2054101.6Aug-9672.3092.963108.1May-01139.0158-0.9341101.7Sep-9669.643-2.666107.4Jun-01147.80978.7939101.4Oct-9673.15223.5092107Jul-01149.22871.419101.5Nov-9674.1420.9898106.9Aug-01149.94180.7131101Dec-9676.09491.9529107Sep-01151.82261.880899.9Jan-9778.6482.5531105.9Oct-01151.4973-0.3253100.2Feb-9778.9980.35105.6Nov-01154.08832.59199.7Mar-9779.8890.891104Dec-01158.30194.213699.7Apr-9780.8180.929103.2Jan-02159.63931.337499May-9781.1510.333102.8Feb-02160.93561.2963100Jun-9782.7891.6380.6711.2861.1460.7520.946102.8102.7101.9101.8101.5101.1100.4100.399.9100.799.799Mar-02Apr-02May-02164.0646164.5706166.0613.1290.5061.490499.298.798.999.299.199.399.399.299.399.6100.4100.2100.9101Jul-9783.46Aug-9784.746Sep-97Oct-97Nov-9785.89286.64487.59Jun-02169.60123.5402Jul-02170.8511173.25092.39981.2499Aug-02Dec-9790.99533.4053Jan-9892.21141.2161Sep-02176.98243.7315Oct-02177.29420.3118Feb-98Mar-98Apr-9892.02492.01592.662-0.1874-0.0090.6471.2740.7221.6560.9852.496Nov-02Dec-02179.7363185.00732.44215.2715.481Jan-03190.4883May-9893.936Jun-9894.658Jul-9896.314Aug-9897.299Sep-9899.795Feb-03190.1084-0.3799Mar-03194.48734.3789Apr-03196.13011.6428May-03199.50523.3751Jun-03204.93145.4262Jul-03206.19311.2617Aug-03210.59194.3988Sep-03213.56712.9752Oct-03214.46940.9023Nov-03216.35171.8823Dec-03221.22284.8711Jan-04225.101933.87913Feb-04227.050721.94879Mar-04231.65464.60388Apr-04233.627861.97326May-04234.84241.21454Jun-04238.427493.5850998.798.698.698.598.998.899100.7100.3100.5100.9101.1101.8103Oct-98100.87521.0802Nov-98102.2291.3538Dec-98104.49852.2695Jan-99105.51.00152.2780.6698.898.798.297.897.897.998.698.799.2Feb-99107.778Mar-99108.438Apr-99109.218May-99110.061Jun-99111.363Jul-99111.414Aug-99112.827Sep-99115.079103.2103.2102.11030.780.8431.3020.0511.4132.252103.8104.4105Oct-99115.390.31199.4Jul-04234.8424-3.58509105.3Nov-99116.5591.16999.1Aug-04239.729194.88679105.3Dec-99119.8983.33999Sep-04243.7574.02781105.2Jan-00121.221.32299.8Oct-04243.74-0.017104.3Feb-00121.58340.3634100.7Nov-04247.135583.39558102.8Mar-00122.58070.997399.8Dec-04253.20776.07212102.4Apr-00124.12191.541299.7Jan-05257.752834.54513101.9May-00124.0533-0.0686100.1Feb-05259.35611.60327103.9Jun-00126.60532.552100.5Mar-05264.58895.2328102.7Jul-00126.3239-0.2814100.5Apr-05266.992662.40376101.8Aug-00127.791.4661100.3May-05269.22942.23674101.8Sep-00130.47382.6838100數(shù)據(jù)來源：中國經(jīng)濟(jì)統(tǒng)計(jì)數(shù)據(jù)庫，/。為了考察貨幣供應(yīng)量的變化對(duì)物價(jià)的影響，我們用廣義貨幣M2的月增長量M2Z作為解釋變量，以居民消費(fèi)價(jià)格月度同比指數(shù)TBZS為被解釋變量進(jìn)行研究。首先估計(jì)如下回歸模型TBZSM2Zut0tt得如下回歸結(jié)果（表7.5）。表7.5DependentVariable:TBZSMethod:LeastSquaresDate:07/03/05Time:17:10Sample(adjusted):1996:022005:05Includedobservations:112afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.C101.43560.0683710.3974190.151872255.23580.4501900.00000.6535M2ZR-squared0.001839-0.0072352.921623Meandependentvar101.5643S.D.dependentvar2.911111Akaikeinfocriterion4.999852AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihood938.9472-277.99170.047702SchwarzcriterionF-statistic5.0483960.2026710.653460Durbin-WatsonstatProb(F-statistic)從回歸結(jié)果來看，M2Z的t統(tǒng)計(jì)量值不顯著，表明當(dāng)期貨幣供應(yīng)量的變化對(duì)當(dāng)期物價(jià)水平的影響在統(tǒng)計(jì)意義上不明顯。為了分析貨幣供應(yīng)量變化影響物價(jià)的滯后性，我們做滯后6個(gè)月的分布滯后模型的估計(jì)，在Eviews工作文檔的TBZSCM2ZM2Z(-1)M2Z(-2)M2Z(-3)M2Z(-4)M2Z(-5)M2Z(-6)見表7.6。方程設(shè)定窗口中，輸入結(jié)果表7.6DependentVariable:TBZSMethod:LeastSquaresDate:07/03/05Time:17:09Sample(adjusted):1996:082005:05Includedobservations:106afteradjustingendpointsVariableCoefficientStd.Errort-Statistic171.2240Prob.C100.0492-0.0110370.0161690.0530440.0286790.1308250.1377940.2487780.5843180.00000.93760.90700.69910.84160.34960.33590.0859M2Z0.140613-0.078493M2Z(-1)M2Z(-2)M2Z(-3)M2Z(-4)M2Z(-5)M2Z(-6)0.1379980.1368080.1431550.1391830.1425020.1433940.1171660.3877230.2003330.9399510.9669651.734924R-squared0.055557-0.0119042.361879546.6902-237.35100.094549Meandependentvar101.1377S.D.dependentvar2.347946Akaikeinfocriterion4.629264AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodSchwarzcriterionF-statistic4.8302780.8235460.570083Durbin-WatsonstatProb(F-statistic)從回歸結(jié)果來看，M2Z各滯后期的系數(shù)逐步增加，表明當(dāng)期貨幣供應(yīng)量的變化對(duì)物價(jià)水平的影響要經(jīng)過一段時(shí)間才能逐步顯現(xiàn)。但各滯后期的系數(shù)的t統(tǒng)計(jì)量值不顯著，因此還據(jù)此判斷滯后期究竟有多長。為此，我們做滯后12個(gè)月的見表7.7。不能分布滯后模型的估計(jì)，結(jié)果表7.7DependentVariable:TBZSMethod:LeastSquaresDate:07/03/05Time:17:09Sample(adjusted):1997:022005:05Includedobservations:100afteradjustingendpointsVariableCoefficientStd.Errort-Statistic210.2102Prob.C98.35668-0.167665-0.032065-0.0009950.0042430.1065810.0432170.1175810.1404180.2208750.1408750.1804970.2469110.3923590.4678970.00000.17200.77470.99290.97040.34710.70350.32370.22770.05670.22530.12300.05240.0034M2Z0.121743-1.3772030.111691-0.2870840.111464-0.008925M2Z(-1)M2Z(-2)M2Z(-3)M2Z(-4)M2Z(-5)M2Z(-6)M2Z(-7)M2Z(-8)M2Z(-9)M2Z(-10)M2Z(-11)M2Z(-12)0.1138150.1127270.1131610.1184600.1155710.1143680.1153540.1158950.1255430.1300580.0372760.9454800.3819080.9925751.2149881.9312711.2212471.5574101.9667523.016798R-squared0.3171360.2139131.676469241.7072-186.02170.265335Meandependentvar100.7830S.D.dependentvar1.890863Akaikeinfocriterion4.000434AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodSchwarzcriterionF-statistic4.3651583.0723250.000906Durbin-WatsonstatProb(F-statistic)表7.7顯示，從M2Z到M2Z(-11)，回歸系數(shù)都不顯著異于零，而M2Z（-12）的回歸系數(shù)t統(tǒng)計(jì)量值為3.016798，在5％顯著性水平下拒絕系數(shù)為零的原假設(shè)影響在經(jīng)過12個(gè)月（現(xiàn)出來。為了考我們做滯后18個(gè)月的分布滯后模型的估計(jì)，。這一結(jié)果表明，當(dāng)期貨幣供應(yīng)量變化對(duì)物價(jià)水平的即一年）后明顯地顯察貨幣供應(yīng)量變化對(duì)物價(jià)水平影響的持續(xù)期，結(jié)果見表7.8。表7.8DependentVariable:TBZSMethod:LeastSquaresDate:07/03/05Time:17:08Sample(adjusted):1997:082005:05Includedobservations:94afteradjustingendpointsVariableCoefficientStd.Error0.370000t-Statistic263.2815Prob.C97.41411-0.083649-0.116744-0.119939-0.092993-0.032912-0.0238910.0172900.0282880.0487080.0259950.1182470.1574080.2712810.3257600.3962420.3354820.2708110.00000.37910.21810.20800.33450.73220.80770.86410.77270.61290.79070.22560.12910.01820.00390.00040.00240.0137M2Z0.094529-0.8849000.093984-1.2421610.094428-1.2701560.095720-0.9715090.095823-0.3434680.097813-0.244256M2Z(-1)M2Z(-2)M2Z(-3)M2Z(-4)M2Z(-5)M2Z(-6)M2Z(-7)M2Z(-8)M2Z(-9)M2Z(-10)M2Z(-11)M2Z(-12)M2Z(-13)M2Z(-14)M2Z(-15)M2Z(-16)0.1006450.0975700.0958770.0975690.0967640.1025580.1123160.1092170.1070460.1067760.1072220.1717940.2899290.5080210.2664221.2220111.5348152.4153262.9826843.7016013.1419412.525697M2Z(-17)M2Z(-18)0.2000240.1696960.1092780.1015471.8304151.6711140.07120.0989R-squared0.6105200.5105191.256348116.8024-143.58810.308938Meandependentvar100.6085S.D.dependentvar1.795733Akaikeinfocriterion3.480597AdjustedR-squaredS.E.ofregressionSumsquaredresidLoglikelihoodSchwarzcriterionF-statistic4.0217246.1051050.000000Durbin-WatsonstatProb(F-statistic)結(jié)果表明，從滯后12個(gè)月開始t統(tǒng)計(jì)量值顯著，一