试验三多元线性回归模型的估计和检验

1、廣東財建大琴举商孕院HUASHANG COLLEGEGUANGDONG UN1VERS1TV OF FINANCES ECONOMICS实验报告课程名称:计量经济学实验项目：实验三 多元线性回归模型的估计和检验实验类型：综合性口设计性口 验证性专业班别： 姓 名: 学 号: 实验课室:指导教师：石立实验日期：2014年5月12日广东商学院华商学院教务处制、实验项目训练方案小组合作：是否小组成员：无实验目的：掌握多元线性回归模型估计和检验的方法。实验场地及仪器、设备和材料实验室：普通配置的计算机，Eviews软件及常用办公软件实验训练内容（包括实验原理和操作步骤）：【实验步骤】（一）国内生产总值

2、的增长模型：分析广东省国内生产总值的增长，根据广东数据（数 据见“表：广东省宏观经济数据 -第三章.Xis ”文件，各变量的表示按照试验指导课本上的来表 示）选择不变价GDP（ GDPB）、不变价资本存量（ZC）和从业人员（RY），把GDPB 作为因变量，ZC和RY作为两个解释变量进行二元线性回归分析。要求：按照试验指导课本Ro。Po2，分别作：1 作散点图（GDPB同ZC，GDPB同RY）（结果控制在本页）2进行因果关系检验（GDPB同ZC, GDPB同RY）（结果控制在本页）Pairwise Granger Causality TestsDate: 05/12/14 Time: 12:10

3、Sample: 1978 2005Lags: 2Null Hypothesis:ObsF-StatisticProb.ZC does not Granger Cause GDPB263.849390.0376GDPB does not Granger Cause ZC19.07482.E-05Pairwise Granger Causality TestsDate: 05/12/14 Time: 12:10Sample: 1978 2005Lags: 3Null Hypothesis:ObsF-StatisticProb.RY does not Granger Cause GDPB252.88

4、7440.0641GDPB does not Granger Cause RY3.463090.0382从因果关系检验看，ZC明显影响GDPB, RY不明显，这是可以理解的，计划经济 时期存在着隐性失业，使得劳动力的变化对产出的影响不明显。3作GDPB同ZC和RY的多元线性回归，写出模型估计的结果，并分析模型检验是均 否通过？（三个检验）（结果控制在本页）Dependent Variable: GDPBMethod： Least SquaresDate： 05/12/14 Time: 12:13Sample: 1978 2005Included obeervations: 23Coeffici

5、ent Std. Error t-StafiEtic ProbZC03771700.00835545.142650 0000RY0 3536890 0427573 2720280.0000C-600.5997113 7822-7 0362470 0000Rrsquared0 999152Mean dependent var1754112djustedR-squared0.999085S . dependent var1683.912S.E. of 佗gression50.94570.Akaike info critenon10.80035Sum squared resid648B6J1Schw

6、arz criterion10.94309Log likelihood-148.2050Hannan-Quinn enter.10.S4399F-staiistlc1473632Durbin-Wais on stat0 443992ProbfF-stalistic0.000000得到的估计方程GDPB=0.377170*ZC+0.353689*RY-800.59974.将建立的二元回归模型 （GDPB同ZC和RY）同一元回归模型（GDPB同ZC、GDPB同RY）相比较，分析优点。（结果控制在本页）Dependent Variable: GDPB Method: Least Squares Oa

7、te:05；12/14 Time: 12:16 Sample 197B 2005 included observations: 28Co efficientStd Errort-StatlsticProb.ZC C0.44289813397210004S96904600025.570545.2393140.00000.0000R-squared Adjusted R-s qua red S.E of regression Sum squared resid Log likelihood F-statistic Prob（F-statistic）0.9968330.99671196 573022

8、4248&.Q -166.6611S183.0110000000Mean dependent var S.D.dependent var Akaike info criterion Sctiwarz aiteilon Hannan-Quinn criter. Durtoi n-Watson stat1764 112168391212.0472212 1423912.076320 167556Dependent Variable: GDPB Meihod: Least Squares Date:05/12/14 Time: 12:26Sample. 197S 2005Included o

9、bservations:CoefficientSid Errort-StatistiGProt>,RY2.1893170.11773518.595230 0000C-5519.127400 4253-13.793190 0000R-sq uared0.9SOT67Iean dependentvsr1754112Adjusted F?-squared0.927377£.D. dependent var1633 912S.E. olrectression4537907Akai Ke info crilerion15.14190Sum squared rasid5354077Schw

10、arz criterion1523706Log likelihood-209 9866Hannan-Quinn enter.15.17099F-stathtc345 7S44Durtin-Watson stat0.07S643Proh(F-statistic)0.000000（结果控制在本页） 方程显著性F检验显著。5. 结合相关的经济理论，分析估计的二元回归模型的经济意义 估计方程的判定系数人R2接近1;参数显著性t检验均大于2； 调整的判定系数为0.99085,比上面的一元回归有明显改善。（二）宏观经济模型：根据广东数据，研究广东省居民消费行为、固定资产投资行为、 货物和服务净出口行为和存

11、货行为，分别建立居民消费模型、固定资产投资模型、货 物和服务净出口模型和存货增加模型。要求：按照试验指导课本Ro5Rl2，分别作出以下模型，并对需要改进的模型 进行改进。写出最终估计的模型结果，并结合相关的经济理论，分析模型的经济意义。（数据见“表：广东省宏观经济数据 -第三章.XlS ”文件，各变量的表示按照试验指导课本上的 来表示。）1 居民消费模型（结果控制在本页） 根据经济理论居民消费XFJ取决于劳动报酬LB，看散点图和因果关系检验。10,00098,000*6,000 _*醫4,000 _*K2,000 -*«*0 -02,0004,0006,0008,00010,000L

12、BPairwise Granger Causality TestsDate: 05/12/14 Time: 12:34Sample: 1978 2005Lags: 2Null Hypothesis:ObsF-StatisticProb.LB does not Granger Cause XFJ267.190100.0042XFJ does not Granger Cause LB5.455160.0124从散点图看它们之间具有线性关系，从因果关系检验看它们之间似乎具有双向因果关 系。宏观经济中确实如此。进行一元线性回归如下：Dependent Variable: XFJMethod: Leas

13、t SquaresDate: 06/12/14 Time: 12:36Sample: 1973 2005Induced observati ons: 2SCaefficientStd Errort-StatisticProb.L60 986702001691659.330100.0000c-75.9966259.99073-1 2658060 2165R-squared0.992416LTean dependent var236 2 277Adjusted R-squared0 992125S D. dependent var2565.722S.e. or regression227.6&am

14、p;09Akai Ke info criterion13.76260Sum squared resid1347921.Schwarz criterion13 85775Log likelihood-190.6765Hannan'Quinn enter13.79169F'Statistic2402401Durbin-V-atson slat0.701578Pro bF-stati stic)0 000000得到回归方程XFJ=0.986702*LB-75.996622 固定资产投资模型（结果控制在本页）固定资产投资TZC显然取决于固定资产折旧ZJ、营业盈余丫丫和财政支出CZ,进行

15、三 元线性回归如下：Dependent Variable: T2GMethod: Least SquaresDate: 05/12/14 Time: 12:45Sample： 1973 2005Included observations: 28CoeflidentStd Errort-Stati sticProb.ZJ11118640.2431524.5727160.0001YY0 4316920.0525663 2123520.0000CZ01432100 4053QB0.3533380 7269C31.2762527.825171 1240270.2721R-squared0.997573

16、Me a n depe1628997Adjusted R-squared0.997270S.D. dependent var2003852S.E. of regression104.7010Akai Ice info criterion1227166Sum squared resid2630951Schwarz criterion1246197Log likelihood-167.8032Hannan-Quinn criter1232984F-statistic3288.646Curb in-Wats on stat1 298515Pro b(F-stati stic)0.000000分别去掉

17、一个解释变量进行三个二元线性回归如下：Dependent Variable:TZGMethod: Least SquaresDate: 05/12/14 Time: 12:47Sample: 1978 2005Induded observations: 2SCoeffidentStd. Error(-StatisticProb.ZJ1.1918780.08699313 700910 0000YY0.4384220.D481299.1093&50,0000C33.6561326.520921.2590410.2161R-squared0.997561Mean dependentvar16

18、29.997Adjusted R-squared0.997366S.D. dependent war2003 952S.E of regression102 S521Akaike info criterion12.20542Sum squared resid2644637Sdiwarz criterion12.34B15Log likelihood-167.8758Hannan-Quinn alter.12.24905F-statistic5111.852Durbin-'/Jatson stat1 370345ProtHF-statistic)0000000Dependent vari

19、able: tzgHettiod: Least SquaresDate: 05712/14 Time: 12:48Sample: 1978 2005Included observations: 29Co efficientStd ErrorbStati sticProb.ZJ1.09857S0.4650212.3624280.0262CZ1.3493010.7224791 3676010.0736C-45.6139450.11293-0 91022303714R*squared0 990754Mean dependentvar1628997Adjusted R-squared0990014S.

20、D. dependent var2003852S E. of regression200.2421Akaike info criterio n13.53739Sum squared resid1002422Schwarz criterion136B062Log likelihood-186.5304Hannan-Quinn criter.13 58152F-statistic1339.431Durbin-Watson statQ.436795Prob (F-statistic)0.000000Dependent Variable. TZG Method: Least Squar&sDa

21、te: 05/12/14 Time: 12:49Sample' 1978 2005Included observations: 28CoefficientSid. Error1-SlatjsticPros.YY CZ0,4300930 070453S1C4709000001.3&92760 197S469 W31350.0000G2C 9169337 170150 5627360 5736R*squared0.995459Mean aependent var1626997Adjusted R-sciuareti0.9S5096SO dependentvar2003852S.E

22、cfregression140.5301Aka ike info Gfiierion12A2633Sum squared resid452313.8Schwarz cr iterign12.96957Log likelihood-17S.f756Hannan-Quinn crikr,12.S7Q47F-statistic2740.226Durbin AVatson stat0.761924Prostic；0.000000从上面三个回归结果可以看出，只要固定资产折旧ZJ和财政支出CZ其中一个不在方程中，回归就能得到很好的拟合。现在暂且去最后一个回归方程来使用，方程为TZG=0.430093*YY

23、+1.869278*CZ+20.918933 货物和服务净流出模型（结果控制在本页）先考虑影响货物和服务净流出CK的因素为支出法的国内生产总值 GDP，看散点图和 因果关系检验。Pairwise Granger Causality Tests Date: 05/12/14 Time： 13:00 Sample: 197S 2005Lags: 2Null Hypothesis:ObsF-StatisticProbCK does not Granger Cause GDP GDP does not Granger Cause CK2610.25637 44017O.OOQ8Q.0036从散点图和因

24、果关系检验看它们具有关系，进行一元线性回归如下:Depende nt Variable: GDP Method: L&ast Squares Date: 05/12/14 Time: 13:02Sample: 1979 2005 Included oBsenrations:28Co efficientStd. Errort-StatisticProbCK9 3122230.5205S117.88813O.OQ9QC1450.714400,22653.&497160.0012R-5quared0.924852M&an depend&rit'ar5437,3

25、86Adjusted R-squareti0 921962S D depen dent var&3M032S E or regression1761.049Akaike info criterion17.35396Sum squared residi80633654Schwarz criterion17.94911Log liKAlitiaod*247 9554HannanQuinn critei.17 30395F-statistic319.9853Duroin-Z/atson stat0.868719Pro b(F-statstc)OOOOOQQ在所有收集到的统计数据中，年利率LL

26、是一个可以考虑引入的因素，引入LL进行二元线性回归如下：Dependentvariable: CKMethod： Least SquaresDate: 05/12/14 Time: 13:04Sample: 1978 2005Included observations: 28CoefficientStd. Errort-StatisticProb.GDP0.088239Q 00552515.970570 0000LL-42.6598911.83064-3 6058800.0014C202.2173952503821230080 0438R-squared0.950564Mean depende

27、ntvar427 0379Adjusted R-squared0.945&09S.D. dependentvar651.0303S.E of regression150.4304Akai Ke info criterion12.96584Sum squared resid565732.7Schwarz criterion13 10857Log likelihood-179.5217Hannan-Quinn crrter.13.00947F-statistic2403512Durbin-Watson stat1,504205Prob (F-stati Stic)0.000000最后得到回

28、归方程CK=0.88239*GDP-42.65989*LL+202.21734 存货增加模型（结果控制在本页）存货增加TZC显然取决于城乡储蓄CX和商品零售价格指数PSL,进行二元线性回归如下：Dependent Variable: TZC Method: Least Squares D3te:C5/12/i4 Time: 13:12 Sample' 1978 2005 Included observations: 2ECoefficientStJ. Errort-StatisticPro&.CX0.0306330.004736 46369S0 0000PSL178080601

29、906593 9551120 0000G-2D9 054645E4519-4 5600130.0001R-squared0.952473Mean dependemt var4243629Adjusted R-squared0.946671S.D. dependent var3922360S.E. of regressionSS.S6445Akaike info criterion11,91305Sum squared resid!197422.3Schwarz criterion12 05579Log likelihood-1637826Hannan-Quinn enter.11.95669F-Btatistic250.5102Durbin-Watsnn stat2164713Pro b(F-statist