計(jì)量經(jīng)濟(jì)學(xué)及綜合財(cái)務(wù)知識(shí)分析實(shí)驗(yàn)報(bào)告(參考版)
2025-06-21 18:25本頁(yè)面
【正文】 ，則拒絕原假設(shè)，y是gdp的格蘭杰原因。對(duì)GDP的截距項(xiàng)進(jìn)行一階單位根檢驗(yàn)ADF Test Statistic 1% Critical Value* 5% Critical Value 10% Critical ValueADF=CV（1%）=ADF=CV（5%）=ADF=CV（10%）=得出是非平穩(wěn)的。對(duì)GDP的趨勢(shì)進(jìn)行原值單位根檢驗(yàn)ADF Test Statistic 1% Critical Value* 5% Critical Value 10% Critical ValueADF=CV（1%）=ADF=CV（5%）=ADF=CV（10%）=得出是非平穩(wěn)的。（）假設(shè)，故拒絕原假設(shè)，回歸系數(shù)顯著不為零，說(shuō)明第一季度和時(shí)間T對(duì)全國(guó)銷售量具有顯著影響，從而得出季節(jié)全國(guó)酒銷售模型就是上述方程。作Y關(guān)于T，的最小二乘回歸Dependent Variable: YMethod: Least SquaresDate: 12/10/13 Time: 11:21Sample: 1982:1 1986:4Included observations: 20VariableCoefficientStd. ErrortStatisticProb. CTD1Rsquared Mean dependent varAdjusted Rsquared . dependent var. of regression Akaike info criterionSum squared resid Schwarz criterionLog likelihood FstatisticDurbinWatson stat Prob(Fstatistic)以T為時(shí)間變量，得模型結(jié)果結(jié)果如下：（）（）（）（）（）2. 加入X3，對(duì)Y關(guān)于X1，X2，X3做最小二乘回歸，得Dependent Variable: YMethod: Least SquaresDate: 12/10/13 Time: 09:12Sample: 1 10Included observations: 10VariableCoefficientStd. ErrortStatisticProb. CX1X2X3Rsquared Mean dependent varAdjusted Rsquared . dependent var. of regression Akaike info criterionSum squared resid Schwarz criterionLog likelihood FstatisticDurbinWatson stat Prob(Fstatistic) （） （） () ()自由度為=1031=6可以看出，加入后，擬合優(yōu)度和均有所增加，參數(shù)估計(jì)值的符號(hào)也正確，并且沒(méi)有影響，系數(shù)的顯著性，但是對(duì)的顯著性影響較大，說(shuō)明存在嚴(yán)重的多重共線性，所以保留，略去3. 加入X4，對(duì)Y關(guān)于X1，X2，X4做最小二乘回歸，得Dependent Variable: YMethod: Least SquaresDate: 12/10/13 Time: 09:50Sample: 1 10Included observations: 10VariableCoefficientStd. ErrortStatisticProb. CX1X2X4Rsquared Mean dependent varAdjusted Rsquared . dependent var. of regression Akaike info criterionSum squared resid Schwarz criterionLog likelihood FstatisticDurbinWatson stat Prob(Fstatistic) （） （） () （）自由度為=1031=6可以看出，加入后，擬合優(yōu)度所增加，有所減小，但是對(duì)的顯著性影響不顯著，說(shuō)明存在嚴(yán)重的多重共線性，所以保留，略去綜上所述，得到關(guān)于Y關(guān)于和的方程， （） （） () 自由度為1021=7其中的常數(shù)項(xiàng)顯著，故予以保留，該模型中系數(shù)據(jù)均顯著且符號(hào)正確，雖然解釋變量之間仍存在高度的線性關(guān)系，但多重共線性并沒(méi)有造成不利的后果，所以該模型是較好的。對(duì)Y分別關(guān)于作最小二乘回歸，得（1）Dependent Variable: YMethod: Least SquaresDate: 12/09/13 Time: 11:11Sample: 1 10Included observations: 10VariableCoefficientStd. ErrortStatisticProb. CX1Rsquared Mean dependent varAdjusted Rsquared . dependent var. of regression Akaike info criterionSum squared resid Schwarz criterionLog likelihood FstatisticDurbinWatson stat Prob(Fstatistic)（2）Dependent Variable: YMethod: Least SquaresDate: 12/09/13 Time: 11:15Sample: 1 10Included observations: 10VariableCoefficientStd. ErrortStatisticProb. CX2Rsquared Mean dependent varAdjusted Rsquared . dependent var. of regression Akaike info criterionSum squared resid Schwarz criterionLog likelihood FstatisticDurbinWatson stat Prob(Fstatistic)（3）Dependent Variable: YMethod: Least SquaresDate: 12/09/13 Time: 11:17Sample: 1 10Included observations: 10VariableCoefficientStd. ErrortStatisticProb. CX3Rsquared Mean dependent varAdjusted Rsquared . dependent var. of regression Akaike info criterionSum squared resid Schwarz criterionLog likelihood FstatisticDurbinWatson stat Prob(Fstatistic)（4）Dependent Variable: YMethod: Least SquaresDate: 12/09/13 Time: 11:20Sample: 1 10Included observations: 10VariableCoefficientStd. ErrortStatisticProb. CX4Rsquared Mean dependent varAdjusted Rsquared . dependent var. of regression Akaike info criterionSum squared resid Schwarz criterionLog likelihood FstatisticDurbinWatson stat Prob(Fstatistic)其中括號(hào)內(nèi)的數(shù)字值是t值，根據(jù)經(jīng)濟(jì)理論分析和回歸結(jié)果，易知觀測(cè)值中是最重要的解釋變量，所以選取第一個(gè)回歸方程為基本回歸方程。分別計(jì)算的兩兩相關(guān)系數(shù)，得X1X2X3X4X1 X2 X3 X4 可見(jiàn)，解釋變量之間不是高度相關(guān)的。 實(shí)驗(yàn)十一第七章第8題P171Dependent Variable: YMethod: Least SquaresDate: 12/09/13 Time: 10:54Sample: 1 10Included observations: 10VariableCoefficientStd. ErrortStatisticProb. CX1X2X3X4Rsquared Mean dependent varAdjusted Rsquared . dependent var. of regression Akaike info criterionSum squared resid Schwarz criterionLog likelihood FstatisticDurbinWatson stat Prob(Fstatistic) () () () () ()括號(hào)內(nèi)的表示t值，給定顯著水平，回歸系數(shù)估計(jì)值都沒(méi)有顯著性。Dependent Variable: EMethod: Least SquaresDate: 12/09/13 Time: 10:19Sample(adjusted): 1962 2001Included observatio
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