计量经济作业

1、第三章课后习题3.3 家庭书刊消费收家庭收入及户主受教育年数的影响。Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:19Sample: 1 18Included observations: 18VariableCoefficientStd. Errort-StatisticProb. C-50.0163849.46026-1.0112440.3279X10.0864500.0293632.9441860.0101X252.370315.20216710.067020.0000R-squared0.951235

2、Mean dependent var755.1222Adjusted R-squared0.944732 S.D. dependent var258.7206S.E. of regression60.82273 Akaike info criterion11.20482Sum squared resid55491.07 Schwarz criterion11.35321Log likelihood-97.84334 F-statistic146.2974Durbin-Watson stat2.605783 Prob(F-statistic)0.000000（1）设家庭书刊消费的计量经济模型：其

3、中Y为家庭书刊年消费支出 X为家庭月平均收入、T为户主受教育年数（2）根据表中的数据，模型估计的结果为（3） 由估计检验结果, 户主受教育年数参数对应的t 统计量为10.06702, 明显大于t的临界值，同时户主受教育年数参数所对应的P值为0.0000，明显小于，均可判断户主受教育年数对家庭书刊消费支出确实有显著影响。（4）本模型说明家庭月平均收入和户主受教育年数对家庭书刊消费支出有显著影响，家庭月平均收入增加1元，家庭书刊年消费支出将增加0.086元，户主受教育年数增加1年，家庭书刊年消费支出将增加52.37元。3.7 1970-1982年某国实际通货膨胀率、失业率和预期通货膨胀率（1）设回

4、归模型为：对模型参数进行估计，根据回归结果得：模型估计结果表明：在预期通货膨胀率不变的情况下，失业率每增长1个百分点，实际通货膨胀率平均降低1.393115个百分点；在失业率不变的情况下，预期通货膨胀率每增长1个百分点，实际通货膨胀率平均增长1.480674个百分点。（2）检验t检验:给定显著性水平，查表得，与对应的t统计量分别为4.390321、-4.493196、8.217506，其绝对值均大于，这说明应当拒绝。表明在其他解释变量不变的情况下，“失业率”和“预期通货膨胀率”分别对被解释变量“实际通货膨胀率”有显著影响。 F检验：针对，给定显著性水平，由于，所以拒绝原价设，说明回归方程显著，

5、即“失业率”和“预期通货膨胀率”联合起来确实对被解释变量“实际通货膨胀率”有显著影响。拟和优度：，修正的可决系数： ，这说明模型对样本拟和的很好。（2）修正的可决系数第四章4.6理论上认为影响能源消费需求总量的因素。1985年-2002年（1） 建立对数线性多远回归模型进行最小二乘估计后得到由此可见，该模型R2=0.989327，=0.989327可决系数很高，F检验值132.4180，明显显著。但是当0.05时，=2.228,不仅、系数的t检验不显著，而且、系数的符号与预期的相反，这表明很可能存在多重共线性。计算各解释变量的相关关系，得到：由相关系数矩阵可以看出，各解释变量相互之间的相关系数

6、较高，证实寻在多重共线性。修正多重共线性运用OLS方法逐一求y对各个解释变量的回归。结合经济意义和统计经验选出拟合效果最好的一元线性回归方程。结果如下：从结果来看，对Y的线性关系最强，拟合程度最好。（）逐步回归Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:09Sample: 1985 2002Included observations: 18VariableCoefficientStd. Errort-StatisticProb. C86357.352841.43330.392180.0000X418.541

7、547.8302782.3679290.0318X1-0.4756720.454371-1.0468820.3117R-squared0.922471 Mean dependent var116222.1Adjusted R-squared0.912134 S.D. dependent var23538.34S.E. of regression6977.273 Akaike info criterion20.68972Sum squared resid7.30E+08 Schwarz criterion20.83811Log likelihood-183.2074 F-statistic89.

8、23847Durbin-Watson stat0.335003 Prob(F-statistic)0.000000Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:10Sample: 1985 2002Included observations: 18VariableCoefficientStd. Errort-StatisticProb. C86259.352803.49130.768550.0000X419.573337.9580502.4595630.0265X2-0.5269020.454185-1.16

9、01030.2641R-squared0.923657 Mean dependent var116222.1Adjusted R-squared0.913477 S.D. dependent var23538.34S.E. of regression6923.737 Akaike info criterion20.67431Sum squared resid7.19E+08 Schwarz criterion20.82271Log likelihood-183.0688 F-statistic90.74026Durbin-Watson stat0.347108 Prob(F-statistic

10、)0.000000Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:11Sample: 1985 2002Included observations: 18VariableCoefficientStd. Errort-StatisticProb. C85732.172895.25529.611270.0000X49.6590461.5200806.3543030.0000X30.1229720.2190400.5614120.5828R-squared0.918519 Mean dependent var1162

11、22.1Adjusted R-squared0.907655 S.D. dependent var23538.34S.E. of regression7152.915 Akaike info criterion20.73944Sum squared resid7.67E+08 Schwarz criterion20.88783Log likelihood-183.6550 F-statistic84.54591Durbin-Watson stat0.314153 Prob(F-statistic)0.000000Dependent Variable: YMethod: Least Square

12、sDate: 12/12/14 Time: 16:11Sample: 1985 2002Included observations: 18VariableCoefficientStd. Errort-StatisticProb. C84833.922917.47429.077860.0000X413.914993.0359934.5833410.0004X5-2.7506222.287992-1.2021990.2479R-squared0.924118 Mean dependent var116222.1Adjusted R-squared0.914001 S.D. dependent va

13、r23538.34S.E. of regression6902.771 Akaike info criterion20.66825Sum squared resid7.15E+08 Schwarz criterion20.81664Log likelihood-183.0142 F-statistic91.33793Durbin-Watson stat0.313571 Prob(F-statistic)0.000000Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:12Sample: 1985 2002Incl

14、uded observations: 18VariableCoefficientStd. Errort-StatisticProb. C83786.874994.56116.775620.0000X47.9024324.8479461.6300580.1239X6124.7067240.19210.5191960.6112R-squared0.918275 Mean dependent var116222.1Adjusted R-squared0.907379 S.D. dependent var23538.34S.E. of regression7163.592 Akaike info cr

15、iterion20.74242Sum squared resid7.70E+08 Schwarz criterion20.89082Log likelihood-183.6818 F-statistic84.27173Durbin-Watson stat0.242887 Prob(F-statistic)0.000000Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:12Sample: 1985 2002Included observations: 18VariableCoefficientStd. Error

16、t-StatisticProb. C164797.082887.901.9881910.0654X410.972360.99785210.995980.0000X7-1183.2041242.400-0.9523540.3560R-squared0.921550 Mean dependent var116222.1Adjusted R-squared0.911090 S.D. dependent var23538.34S.E. of regression7018.597 Akaike info criterion20.70153Sum squared resid7.39E+08 Schwarz

17、 criterion20.84992Log likelihood-183.3137 F-statistic88.10265Durbin-Watson stat0.347945 Prob(F-statistic)0.000000从结果来看、对Y的拟合最好，继续添加变量得如下结果：Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:16Sample: 1985 2002Included observations: 18VariableCoefficientStd. Errort-StatisticProb. C8369

18、4.695218.97316.036620.0000X49.52293816.727500.5692990.5782X5-4.6950627.648324-0.6138680.5491X10.4016601.5026570.2673000.7931R-squared0.924503 Mean dependent var116222.1Adjusted R-squared0.908326 S.D. dependent var23538.34S.E. of regression7126.884 Akaike info criterion20.77427Sum squared resid7.11E+

19、08 Schwarz criterion20.97213Log likelihood-182.9684 F-statistic57.14635Durbin-Watson stat0.297856 Prob(F-statistic)0.000000Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:16Sample: 1985 2002Included observations: 18VariableCoefficientStd. Errort-StatisticProb. C85164.534589.72718.5

20、55470.0000X415.4022915.866560.9707390.3482X5-2.1280556.927209-0.3072020.7632X2-0.1311051.370944-0.0956310.9252R-squared0.924168 Mean dependent var116222.1Adjusted R-squared0.907918 S.D. dependent var23538.34S.E. of regression7142.714 Akaike info criterion20.77870Sum squared resid7.14E+08 Schwarz cri

21、terion20.97656Log likelihood-183.0083 F-statistic56.87266Durbin-Watson stat0.321437 Prob(F-statistic)0.000000Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:17Sample: 1985 2002Included observations: 18VariableCoefficientStd. Errort-StatisticProb. C84744.583006.24328.189530.0000X413

22、.200773.5204103.7497830.0022X5-2.6352302.366856-1.1133880.2843X30.0959110.2186660.4386160.6676R-squared0.925147 Mean dependent var116222.1Adjusted R-squared0.909107 S.D. dependent var23538.34S.E. of regression7096.455 Akaike info criterion20.76571Sum squared resid7.05E+08 Schwarz criterion20.96357Lo

23、g likelihood-182.8914 F-statistic57.67760Durbin-Watson stat0.362047 Prob(F-statistic)0.000000Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:17Sample: 1985 2002Included observations: 18VariableCoefficientStd. Errort-StatisticProb. C55475.695935.6289.3462210.0000X40.9911003.0994580.

24、3197660.7539X5-15.107332.758634-5.4763790.0001X61445.868279.05585.1812850.0001R-squared0.973991 Mean dependent var116222.1Adjusted R-squared0.968418 S.D. dependent var23538.34S.E. of regression4183.077 Akaike info criterion19.70861Sum squared resid2.45E+08 Schwarz criterion19.90647Log likelihood-173

25、.3775 F-statistic174.7603Durbin-Watson stat0.945925 Prob(F-statistic)0.000000Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:18Sample: 1985 2002Included observations: 18VariableCoefficientStd. Errort-StatisticProb. C226134.783767.342.6995570.0173X417.045643.4127464.9947010.0002X5-4

26、.3665302.361625-1.8489510.0857X7-2128.6081261.221-1.6877360.1136R-squared0.936947 Mean dependent var116222.1Adjusted R-squared0.923436 S.D. dependent var23538.34S.E. of regression6513.120 Akaike info criterion20.59415Sum squared resid5.94E+08 Schwarz criterion20.79202Log likelihood-181.3474 F-statis

27、tic69.34517Durbin-Watson stat0.656021 Prob(F-statistic)0.000000从结果来看，、和的拟合有度最好，但的系数为负，不符合经济意义，综合比较、对Y的解释是最好的。再次添加到方程中得到结果如下：Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:26Sample: 1985 2002Included observations: 18VariableCoefficientStd. Errort-StatisticProb. C84005.485451.19315.

28、410470.0000X10.2635221.5946510.1652540.8713X30.0869710.2330480.3731890.7150X410.3858017.420810.5961720.5613X5-3.9216978.162314-0.4804640.6389R-squared0.925304 Mean dependent var116222.1Adjusted R-squared0.902320 S.D. dependent var23538.34S.E. of regression7356.616 Akaike info criterion20.87472Sum sq

29、uared resid7.04E+08 Schwarz criterion21.12205Log likelihood-182.8725 F-statistic40.25953Durbin-Watson stat0.347820 Prob(F-statistic)0.000000Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:26Sample: 1985 2002Included observations: 18VariableCoefficientStd. Errort-StatisticProb. C854

30、50.374766.41017.927620.0000X2-0.2837601.450401-0.1956420.8479X30.1064030.2328480.4569640.6552X416.3417016.463690.9925900.3390X5-1.2751437.371855-0.1729740.8653R-squared0.925367 Mean dependent var116222.1Adjusted R-squared0.902402 S.D. dependent var23538.34S.E. of regression7353.521 Akaike info crite

31、rion20.87388Sum squared resid7.03E+08 Schwarz criterion21.12120Log likelihood-182.8649 F-statistic40.29616Durbin-Watson stat0.382583 Prob(F-statistic)0.000000Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:27Sample: 1985 2002Included observations: 18VariableCoefficientStd. Errort-S

32、tatisticProb. C55376.166034.5219.1765630.0000X61446.306283.63585.0991650.0002X30.0973000.1310100.7426860.4709X40.2626213.2994900.0795940.9378X5-14.994012.808052-5.3396470.0001R-squared0.975050 Mean dependent var116222.1Adjusted R-squared0.967373 S.D. dependent var23538.34S.E. of regression4251.722 A

33、kaike info criterion19.77817Sum squared resid2.35E+08 Schwarz criterion20.02549Log likelihood-173.0035 F-statistic127.0099Durbin-Watson stat1.195203 Prob(F-statistic)0.000000Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 16:27Sample: 1985 2002Included observations: 18VariableCoeffici

34、entStd. Errort-StatisticProb. C225770.086256.722.6174190.0213X7-2124.4251298.678-1.6358370.1258X30.0935040.2066520.4524710.6584X416.343193.8416754.2541830.0009X5-4.2508572.445103-1.7385190.1057R-squared0.937925 Mean dependent var116222.1Adjusted R-squared0.918824 S.D. dependent var23538.34S.E. of re

35、gression6706.383 Akaike info criterion20.68964Sum squared resid5.85E+08 Schwarz criterion20.93697Log likelihood-181.2068 F-statistic49.10570Durbin-Watson stat0.726028 Prob(F-statistic)0.000000从拟合结果和经济意义上来看，加入似乎是合适的，但对Y的影响并不显著，故将删去。得到最终结果。Date: 12/12/14 Time: 16:17Sample: 1985 2002Included observatio

36、ns: 18VariableCoefficientStd. Errort-StatisticProb. C84744.583006.24328.189530.0000X413.200773.5204103.7497830.0022X5-2.6352302.366856-1.1133880.2843X30.0959110.2186660.4386160.6676R-squared0.925147 Mean dependent var116222.1Adjusted R-squared0.909107 S.D. dependent var23538.34S.E. of regression7096

37、.455 Akaike info criterion20.76571Sum squared resid7.05E+08 Schwarz criterion20.96357Log likelihood-182.8914 F-statistic57.67760Durbin-Watson stat0.362047 Prob(F-statistic)0.000000第五章5.9 1978年-2000年四川省农村人均纯收入和人均生活费支出。1、估计参数Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 20:40Sample(ad

38、justed): 1978 2000Included observations: 23 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb. C41.4444819.567912.1179820.0463X0.8163490.02104838.785530.0000R-squared0.986232 Mean dependent var632.6430Adjusted R-squared0.985577 S.D. dependent var489.9925S.E. of regression58.84650

39、 Akaike info criterion11.07068Sum squared resid72721.12 Schwarz criterion11.16942Log likelihood-125.3129 F-statistic1504.317Durbin-Watson stat0.389107 Prob(F-statistic)0.000000（1） 建立样本回归函数：=41.44448+0.816349X（2.117982） （38.78553）R2=0.986232 F=1504.317 DW=0.3891072、检验模型的异方差 X与E2的散点图 因此模型存在异方差 Y与E2的散点

40、图 如图看出存在异方差（2） Whitet检验White Heteroskedasticity Test:F-statistic8.702383 Probability0.001910Obs*R-squared10.70210 Probability0.004743Test Equation:Dependent Variable: RESID2Method: Least SquaresDate: 12/12/14 Time: 20:49Sample: 1978 2000Included observations: 23VariableCoefficientStd. Errort-Statist

41、icProb. C-1326.7362317.812-0.5724090.5734X6.9016176.8054251.0141350.3226X2-0.0005900.003347-0.1761550.8619R-squared0.465309 Mean dependent var3161.788Adjusted R-squared0.411840 S.D. dependent var5009.390S.E. of regression3841.782 Akaike info criterion19.46637Sum squared resid2.95E+08 Schwarz criteri

42、on19.61448Log likelihood-220.8632 F-statistic8.702383Durbin-Watson stat1.599367 Prob(F-statistic)0.001910由上表可知，nR2=10.70210 给定，在自由度为2下，查卡方分布表，得临界值为，显然，nR2=10.70210>5.9915,则拒绝原假设，说明模型存在异方差。3、修正异方差。 取权数为W2Dependent Variable: YMethod: Least SquaresDate: 12/12/14 Time: 21:08Sample: 1978 2000Included

43、observations: 23Weighting series: W2VariableCoefficientStd. Errort-StatisticProb. C6.6590270.25376126.241330.0000X0.8686910.000985881.79380.0000Weighted StatisticsR-squared1.000000 Mean dependent var224.0761Adjusted R-squared1.000000 S.D. dependent var988.1865S.E. of regression0.206384 Akaike info c

44、riterion-0.235219Sum squared resid0.894478 Schwarz criterion-0.136481Log likelihood4.705022 F-statistic777560.3Durbin-Watson stat1.281139 Prob(F-statistic)0.000000Unweighted StatisticsR-squared0.980282 Mean dependent var633.0004Adjusted R-squared0.979343 S.D. dependent var490.5345S.E. of regression70.50182 Sum squared resid104380.6Durbin-Watson stat0.279924Y = 6.65902728 + 0.8686910728*XWhite 检验White Heteroskedasticity Test:F-statistic1.021337 Pro