计量经济学(庞浩)第五章练习题参考解答

计经()第章题考

lnulnu练题5.1

第五章练习参考解答设费为YXXi22i3i

i式，为消支出为可配；Yi2ii为人动产为机差并i（中为试答(uVaru22iii问：(1)用适的修异，求出换；(2)出异差参估的达式5.2根章四对变我知道变对通降异性但这模随误的质足的注例设型Y1量对得下

，该中变lnYlnln(1)如要有望，的应是么(2)如

(u)

，不

(ln

？什2

(3)如

(lnu)

不零怎样使等？5.3

由中消费Y收入X的，试据数资成下：（1计归中知Y1数，写本归的写；1（2）用Goldfeld-Quandt法法验的方；（3）用的法异差YXYXYX8015295140100144108851751131801101201351251401151301781301401911351251371209018914010555140160701523

15075140652307424018080245842507926090265982705.4

由中1985年我方个市业值农肥、水、劳动每日产定产以农力据要（1）试建国方农产性型（2）选用的法模中存异差（3）如果异差采用当的法以修。农总业动

化用值

力

灌面

量

户固地（）（万人（顷(万产元4

北天河山

19.6414.4149.955.07

90.195.21639.0562.6

33.8434.95357.26107.9

7.53.992.431.4

394.3567.5706.89856.37内古60.85

462.9

96.49

15.4

1282.81辽吉

87.4873.81

588.9399.7

72.469.63

61.636.9

844.742576.81黑江104.51山276.55河200.02

425.32365.62557.5

67.95456.55318.99

25.8152.3127.9

1237.165812.02754.78陕新

68.1849.12

884.2256.1

117.9260.46

36.115.1

607.411143.675.5

表的是国1988究开（R&D出与同产销（X试据建一归型运Glejser法White方验方由决定方表形选适法以。单：美销量R&D工群X

费Y利润Z5

1.器与装2.银行金3.务行4.属与矿5.房与筑6.般制业7.闲娱

62.511626.41569.514655.121869.22828.126408.332405.635107.78.张与木品4645.79.品10.卫保11.宇12.消者13.电与产14.化产15.五

70761.65036.480552.83918.6101314.1595.3116141.6107.58787.3122315.4454.1141649.3163.99761.416.办设电算175025.6

机

230614.

517.燃18.汽

1703.89528.2

5.6

由中的入房出数，住支型住房收支1.82222.133.23.53.53.64.24.2

55555101010101015157

4.54.854.855.766.2

1515152020202020假模,其为房为YYXi2ii收。解列(1)参的估值标准、优Goldfeld-Quandt方法异差（设时去何本(3)果存异，设差形式，用权二法估和ii的计标差合度2

5.7

表给国的价格Y）消费价年百率化X一横面。股价化消价变国

率%Y

率%X8

1.澳大利2.奥地利3.比利时4.加拿大5.利6.麦7.兰8.国9.国10.印兰以列意利14.日墨

11.13.27.925.53.811.19.913.31.56.48.98.113.54.7

4.34.62.42.426.44.25.54.72.28.43.34.75.29

哥16.荷新

7.5兰18.瑞19.英20.美

4.77.5

3.63.92.1试据完以题(1)Y归分析归残；(2)智数出异，智数据，作归次析中残(3)果据1条的果你得有异差的而据第2的你得反的论此能什样论5.8

表给是1998我重造业售与售的据行名售销售行销销售称

入

润

名

润食品187.253180.44医药238.711264.10加工业

制业10

食品111.421119.88化学81.57779.46制造业

纤制饮料205.421489.89橡胶77.84692.08制造业

制业烟草183.871328.59塑料144.341345.00加工业

制业纺织316.793862.90非金339.262866.14业

属制服装157.701779.10黑色367.473868.28制造业

金冶皮革81.731081.77有144.291535.16羽绒制木材35.67443.74加工业家具31.06226.78

金冶金201.421948.12制业普354.692351.6811

制造业

机制造纸134.401124.94专用238.161714.73及纸制印刷90.12499.83业文教54.40504.44体育用

设制交511.944011.53运设电409.833286.15机制石油194.452363.80电子508.154499.19加工业

通设化学502.614195.22仪器72.46663.68原料制

仪设试成问求售利岁售收的回函数并型行意检统检(2)别图Glejser方法、White方法验是存方；12

(3)果存异，用的法对方进修5.9下所资为至年省村纯入据

X

和均费出tt

的活支

四省人纯和均单：人时间

农村人均收入农村人均生活费

时间

农村人均收入农村人均生活费19781979198019811982198319841985198619871988

X127.1155.9187.9220.98255.96258.39286.76315.07337.94369.46448.85

支出Y120.3142.1159.5184.0208.23231.12251.83276.25310.92348.32426.47

19901991199219931994199519961997199819992000

X557.76590.21634.31698.27946.331158.291459.091680.691789.171843.471903.60

支出Y509.16552.39569.46647.43904.281092.911358.031440.481440.771426.061485.341989

494.07

473.59数据来源《四统计年鉴》2001年。(1)农均活出人收的样回数对型经意验统计验(2)用的法模中存异方；(3)果存异，用的法对方进修13

5.10在题5.9用是时序据而没剔价涨试析如剔价涨素用际配入际费，异差题否所善于乏省1978年的村居消价格基数的数，以年—年国零价基数年）替，据下表所：年商品年份品售年份商零售格指19781001979102

消价指1986135.81987145.7

消价指1994310.21995356.11980108.11988172.71981110.71989203.41982112.81990207.71983114.51991213.71984117.71992225.21985128.11993254.9数据来源《中统计年鉴练习题参考答

1996377.81997380.81998370.91999359.82000354.414

123i**Xˆ123i**Xˆˆ22i2i练题5.1参考（）为

f)Xi

i

，以

W2i

1X2i

，给i模两得Yi3iiXX2iiii上模随误的差固常即u(iX2i

1)(u)X22i

2（）据加最二乘及四章（）和式可正方的数式为ˆ*ˆ

y*x*iii*2i2i

x*2iiii3i2ii3i*2x**i3i2iii

3

**2iii*22i2i

*22i2iii2i2i2ii*2x**2iii2i3i

其X*2

2i

2i

X*3

2i

3i

Y*

Y2ii2i15

(20,(20,(20,x

*i

Xi

*

x*i

i

*

y

*

i

*练题5.3参考解（）模型本归估式书写式Y9.34750.6371Xi(2.5691)(32.0088)

iR

2

0.9464,se.F1023.56（首用进验a.样按顺排去1/4，再为部的，。n221分别两部分样求最二估，两部残平，12求统计为

e22e21

2495.84603.0148

给

查布临值。0.05c.比临值与F统计值有=4.1390>F0.05项在差

，明型随差其，White进验。具结果下表WhiteHeteroskedasticityTest:F-statistic6.301373Probability0.00337016

0.050.05Obs*R-squared

10.86401Probability0.004374TestEquation:DependentVariable:RESID^2Method:LeastSquaresDate:08/05/05Time:12:37Sample:60Includedobservations:Variable

Coefficient

Std.Errort-StatisticProb.CXX^2

-10.036140.1659770.001800

131.14241.6198560.004587

-0.0765290.1024640.392469

0.93930.91870.6962R-squaredAdjustedR-squaredS.E.ofregression

0.181067Meandependentvar78.862250.152332S.D.dependentvar111.1375102.3231Akaikeinfocriterion12.14285SumresidLoglikelihoodDurbin-Watson

596790.5Schwarzcriterion-361.2856F-statistic0.937366Prob(F-statistic)

12.247576.3013730.003370给，由为2下查方表得

2

。比较临界值与卡方统计量值，即nR210.8640

同样说明中随差存异。（）权数

W1

1

作加最二乘计得如结DependentVariable:YMethod:LeastSquaresDate:08/05/05Time:13:17Sample:60Includedobservations:17

ˆˆˆˆWeightingseries:W1Variable

Coefficient

Std.Errort-StatisticProb.CX

10.370510.630950

2.6297160.018532

3.94358734.04667

0.00020.0000WeightedStatisticsR-squaredAdjustedR-squaredS.E.ofregression

0.211441Meandependentvar106.21010.197845S.D.dependentvar8.6853767.778892Akaikeinfocriterion6.973470SumresidLoglikelihoodDurbin-WatsonUnweightedStatistics

3509.647Schwarzcriterion-207.2041F-statistic0.958467Prob(F-statistic)

7.0432821159.1760.000000R-squaredAdjustedR-squared

0.946335Meandependentvar119.66670.945410S.D.dependentvar38.68984S.E.ofregressionDurbin-Watson

9.039689Sumsquaredresid0.800564

4739.526其计写式Y10.3705(3.9436)(34.0467)R

2

0.2114,se.F练题5.5参解（）立样回模型YR

2

0.4783,s..F（）用White检判断型存异差WhiteHeteroskedasticityTest:F-statisticObs*R-squared

3.057161Probability5.212471Probability

0.0769760.07381218

0.05TestEquation:DependentVariable:RESID^2Method:LeastSquaresDate:08/08/05Time:15:38Sample:18Includedobservations:Variable

Coefficient

Std.Errort-StatisticProb.CXX^2

-6219633.229.3496-0.000537

6459811.126.21970.000449

-0.9628201.817066-1.194942

0.35090.08920.2507R-squaredAdjustedR-squaredS.E.ofregression

0.289582Meandependentvar6767029.0.194859S.D.dependentvar1470600313195642Akaikeinfocriterion35.77968SumresidLoglikelihoodDurbin-Watson

2.61E+15Schwarzcriterion-319.0171F-statistic1.694572Prob(F-statistic)

35.928083.0571610.076976给和度下，卡方布，得临值

2

，White统计

nR

，，不原设明型存2(2)异差（）Glejser检判断型否存在异差经算取函形e

X得本式R

由可以出中机项可在方。19

ˆˆˆˆˆ（4）异的正权为下计Y0.0367X(1.7997)

，如20.1684,s..F练题5.7参解（）回归计。YXR

2

0.5864,se.3.3910,F作差方解量散5040302E20100051015X

202530由形看，有能异差（）掉智的据后回得到下YXR

2

0.0093,sF0.1589作差对释的点20

2E

403020100051015X

202530从形，方程降。（）较情）情况（，上据所的，们情1的方差比情（2的异差低练题5.9参解（）立样回函数Y43.8967(2.1891)(37.7771)R

0.9854,s..60.4920,从计果，检指显但残差方释量图以，很能存异。21

200001500010000E5000005001000X

15002000（）检判是否在差WhiteHeteroskedasticityTest:F-statisticObs*R-squared

9.509463Probability11.21085Probability

0.0012520.003678TestEquation:DependentVariable:RESID^2Method:LeastSquaresDate:08/08/05Time:17:04Sample:2000Includedobservations:Variable

Coefficient

Std.Errort-StatisticProb.CXX^2

-2319.69010.85979-0.002560

2268.3736.6443880.003247

-1.0226231.634430-0.788315

0.31870.11780.4398R-squaredAdjustedR-squaredS.E.ofregression

0.487428Meandependentvar3337.7690.436171S.D.dependentvar5013.4023764.490Akaikeinfocriterion19.42572SumresidLoglikelihoodDurbin-Watson

2.83E+08Schwarzcriterion-220.3958F-statistic1.552514Prob(F-statistic)

19.573839.5094630.001252由表，

nR

2

，定，在度0.05查分表，临