計(jì)量經(jīng)濟(jì)學(xué)第三版[龐浩]版課后答案解析全-資料下載頁(yè)
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【正文】 observations: 18 after adjustmentsVariableCoefficientStd. ErrortStatisticProb.C*X(1)RsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodHannanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)由上圖可知回歸方程為：Yt*=+*Se=()() t=()()R2= F= DW=式中，Yt*=,Xt*=由于使用了廣義差分?jǐn)?shù)據(jù)，樣本容量減少了1個(gè)，為18個(gè)。查5%顯著水平的DW統(tǒng)計(jì)表可知，dL=,dU==1,830746，duDW4 dU，說(shuō)明在5%的顯著水平下廣義差分模型中已無(wú)自相關(guān)?？蓻Q系數(shù)R2，t，F(xiàn)統(tǒng)計(jì)量也均達(dá)到理想水平。由差分方程，β1=()=由此最終的消費(fèi)模型為：Yt=+②用科克倫奧克特迭代法，用EVIews分析結(jié)果如下：Dependent Variable: YMethod: Least SquaresDate: 12/20/14 Time: 15:15Sample (adjusted): 2 19Included observations: 18 after adjustmentsConvergence achieved after 5 iterationsVariableCoefficientStd. ErrortStatisticProb.CXAR(1)RsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodHannanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)Inverted AR Roots.63所得方程為：Yt=+（3）經(jīng)濟(jì)意義：人均實(shí)際收入每增加1元。（1）針對(duì)對(duì)數(shù)模型，用Eviews分析結(jié)果如下：Dependent Variable: LNYMethod: Least SquaresDate: 12/27/14 Time: 16:13Sample: 1980 2000Included observations: 21VariableCoefficientStd. ErrortStatisticProb.LNXCRsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodHannanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)所得模型為：lnY=0,951090lnX+se=() ()t=() ()R2= F= DW=2）檢驗(yàn)?zāi)Ｐ偷淖韵嚓P(guān)性該回歸方程可決系數(shù)較高，回歸系數(shù)均顯著。對(duì)樣本量為21，一個(gè)解釋變量的模型，5%的顯著水平，查DW統(tǒng)計(jì)表可知，dL=，dU=，模型中DW=dL,顯然模型中有自相關(guān)。(2)用廣義差分法處理模型：1）為估計(jì)自相關(guān)系數(shù)ρ。對(duì)et進(jìn)行滯后一期的自回歸，用EViews分析結(jié)果如下：Dependent Variable: EMethod: Least SquaresDate: 12/27/14 Time: 16:18Sample (adjusted): 1982 2000Included observations: 19 after adjustmentsVariableCoefficientStd. ErrortStatisticProb.E(1)RsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared resid2848090.Schwarz criterionLog likelihoodHannanQuinn criter.DurbinWatson stat由上可知，ρ=2）對(duì)原模型進(jìn)行廣義差分回歸，用Eviews進(jìn)行分析所得結(jié)果如下：Dependent Variable: Y+*Y(1)Method: Least SquaresDate: 12/27/14 Time: 21:06Sample (adjusted): 1981 2000Included observations: 20 after adjustmentsVariableCoefficientStd. ErrortStatisticProb.CX+*X(1)RsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared resid2882022.Schwarz criterionLog likelihoodHannanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)由上圖可知回歸方程為：Yt*=+*Se=()( ) t=()( )R2= F==式中，Yt*=Yt+,Xt*=Xt+由于使用了廣義差分?jǐn)?shù)據(jù)，樣本容量減少了1個(gè)，為20個(gè)。查5%顯著水平的DW統(tǒng)計(jì)表可知，dL=,dU==，duDW4 dU，說(shuō)明在5%的顯著水平下廣義差分模型中已無(wú)自相關(guān)?？蓻Q系數(shù)R2，t，F(xiàn)統(tǒng)計(jì)量也均達(dá)到理想水平。由差分方程，β1=(1+)=由此最終的模型為：Yt=+（3）對(duì)于此模型，用Eviews分析結(jié)果如下：Dependent Variable: LNY1Method: Least SquaresDate: 12/27/14 Time: 22:16Sample (adjusted): 1981 2000Included observations: 20 after adjustmentsVariableCoefficientStd. ErrortStatisticProb.LNX1CRsquaredMean dependent varAdjusted Rsquared. dependent var. of regressionAkaike info criterionSum squared residSchwarz criterionLog likelihoodHannanQuinn criter.FstatisticDurbinWatson statProb(Fstatistic)由題目可知，此模型樣本容量為20，查5%顯著水平的DW統(tǒng)計(jì)表可知，dL=,dU==，duDW4 dU，說(shuō)明在5%的顯著水平此模型中無(wú)自相關(guān)?？蓻Q系數(shù)R2，t，F(xiàn)統(tǒng)計(jì)量也均達(dá)到理想水平 完美WORD格式編輯
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