計(jì)量經(jīng)濟(jì)管理學(xué)及財(cái)務(wù)知識課程案例分析-wenkub
2023-05-10 13:15:47 本頁面
【正文】 圖顯然我們發(fā)現(xiàn)這里取q=1或者2比較合適，即MA（1）和MA（2）過程。八、變量協(xié)整關(guān)系檢驗(yàn)為了檢驗(yàn)變量之間的協(xié)整關(guān)系，首先對變量進(jìn)行單位根檢驗(yàn)，我們選取的方法是ADF檢驗(yàn)，先以GDP為例，使用EVIEWS軟件操作得到結(jié)果如表5所示：表3：level條件下gdp單位根檢驗(yàn)：Null Hypothesis: GDP has a unit rootExogenous: Constant, Linear TrendLag Length: 2 (Automatic based on SIC, MAXLAG=2)tStatisticTest critical values:1% level5% level10% level*MacKinnon (1996) onesided pvalues.Augmented DickeyFuller Test EquationDependent Variable: D(GDP)Method: Least SquaresDate: 01/06/10 Time: 16:48Sample (adjusted): 1955 2006Included observations: 52 after adjustmentsVariableCoefficientStd. ErrortStatisticProb.Prob.*Augmented DickeyFuller test statisticProb.*Augmented DickeyFuller test statistic 接受H0，不平穩(wěn)d_gdp (1 dif) 接受H0，不平穩(wěn)d_gdp (2 dif) 拒絕H 1，平穩(wěn)d_wj (level)首先，我們選用EG兩步法，對gdp（國內(nèi)生產(chǎn)總值）與wj（文教支出）進(jìn)行協(xié)整檢驗(yàn)。Test critical values:1% level5% level10% level*MacKinnon (1996) onesided pvalues.Augmented DickeyFuller Test EquationDependent Variable: D(RESID01)Method: Least SquaresDate: 01/06/10 Time: 21:42Sample (adjusted): 1962 2006Included observations: 45 after adjustments可見，拒絕零假設(shè)。國內(nèi)生產(chǎn)總值的提高必然會(huì)帶來稅收等增加，從而文教支出也會(huì)隨之增長。CCZZCRsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodHannanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)Dependent Variable: WJMethod: Least SquaresDate: 01/06/10 Time: 21:49Sample: 1953 2006Included observations: 54VariableCoefficientStd. ErrortStatisticProb.Prob.*Augmented DickeyFuller test statistic也就是說財(cái)政支出與文教支出的增量間不存在長期均衡關(guān)系。CGDPCZZCRsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodHannanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)Dependent Variable: WJMethod: Least SquaresDate: 01/06/10 Time: 21:56Sample: 1953 2006Included observations: 54VariableCoefficientStd. ErrortStatisticProb.Prob.*Augmented DickeyFuller test statistic也就是說國內(nèi)生產(chǎn)總值與文教支出的增量以及財(cái)政支出增量間存在長期均衡關(guān)系。Trace test indicates 2 cointegrating eqn(s) at the level* denotes rejection of the hypothesis at the level基于以上研究，我們進(jìn)一步做出
教學(xué)教案相關(guān)推薦
鄂ICP備17016276號-1