《計(jì)量經(jīng)濟(jì)學(xué)》第9章數(shù)據(jù)

1、計(jì)量經(jīng)濟(jì)學(xué)各章數(shù)據(jù)第9章 時(shí)間序列分析例 檢驗(yàn)中國1978-2003年間支出法GDP時(shí)間序列（表）的平穩(wěn)性。表 1978-2003年中國GDP（單位：億元）年份GDP（億元）19783624.119794038.219804517.819814862.419825294.719835934.519847171.019858964.4198610202.2198711962.5198814928.3198916909.2199018547.9199121617.8199226638.1199334634.4199446759.4199558478.1199667884.6199774462.61

2、99878345.2199982067.5200089468.1200197314.82002105172.32003117251.9例9.3.1 根據(jù)表9.3.1給出的樣本調(diào)查數(shù)據(jù)，建立AR(p)模型。 樣本數(shù)據(jù)日期t樣本y日期t樣本y1-0.058130.06820.058140.59530.72915-0.21740.28016-1.02351.02717-0.22660.67018-0.26170.559190.3788-0.48220-0.1289-1.46221-1.00310-2.039221.19711-1.306232.064120.037例 檢驗(yàn)中國城鎮(zhèn)居民人均消費(fèi)性支出與

3、人均可支配收入（見表9.3.3與圖9.4.1）時(shí)間序列的協(xié)整關(guān)系。表9.4.2 中國城鎮(zhèn)居民人均收入、人均消費(fèi)（單位：元）年份人均可支配收入PI人均消費(fèi)性支出PC年份人均可支配收入PI人均消費(fèi)性支出PC1978343.4311.1619911700.61453.811979405.0361.8019922026.61671.731980477.6412.4419932577.42110.811981500.4456.8419943496.22851.341982535.3471.0019954283.03537.571983564.6505.9219964838.93919.471984652

4、.1559.4419975160.34185.641985739.1673.2019985425.14331.611986900.1798.9619995854.04615.9119871002.1884.4020006280.04998.0019881180.21103.9820016895.65309.0119891373.91210.9520027702.86029.8819901510.21278.8920038472.06510.94 表9.5.1給出了我國1978-2000年按當(dāng)年價(jià)格計(jì)算的GDP與居民消費(fèi)CS數(shù)據(jù)，試檢驗(yàn)GDP與CS是否存在因果關(guān)系。表9.5.1 中國GDP與消費(fèi)

5、支出（單位：億元）年份CSGDP19781759.13605.619792005.4407419802317.14551.319812604.14901.419822867.95489.219833182.56076.319843674.57164.4198545898792.11986517510132.819875961.211784.719887633.11470419898523.51646619909113.218319.5199110315.921280.4199212459.825863.7199315682.434500.7199420809.846690.7199526944

6、.558510.5199632152.368330.4199734854.674894.2199836921.179003.3199939334.482673.1200042911.989112.5資料來源：中國統(tǒng)計(jì)年鑒（2001） 例9.6.2 鋼鐵行業(yè)的需求對下游行業(yè)相關(guān)行業(yè)變化的影響本例選擇鋼鐵行業(yè)及其主要的下游行業(yè)的銷售收入數(shù)據(jù)（表9.6.4）作為各行業(yè)的需求變量，利用脈沖響應(yīng)函數(shù)分析各下游行業(yè)自身需求的變動(dòng)對鋼鐵行業(yè)需求的影響。表9.6.4 我國鋼材、建材、汽車、機(jī)械、家電銷售收入（單位：億元）時(shí)間鋼材銷售收入y1建材銷售收入y2汽車銷售收入y3機(jī)械銷售收入y4家電銷售收入y5199

7、9.1100.2593.23120.62334.55117.341999.2150.37139.85180.94501.83176.011999.3156.50153.84247.08572.42161.591999.4171.29176.69234.56610.12196.481999.5188.46181.36238.32634.57197.201999.6195.57202.88213.0645.86170.711999.7175.77195.88214.28650.19265.711999.8178.14187.10213.18602.46204.561999.9178.69188.7

8、1266.67657.80175.111999.10191.73188.96253.95644.98172.251999.11178.80204.83255.25687.57253.751999.12226.32269.42321.17939.11280.152000.1122.06104.74142.43385.39136.6282000.2183.10157.10213.65578.09204.942000.3190.55172.83291.75658.54188.162000.4208.56198.49276.97702.52228.782000.5229.47203.74281.417

9、30.80229.622000.6228.87234.15234.92695.12205.692000.7215.35213.49269.45769.96299.712000.8215.05213.88272.89720.86215.892000.9230.31213.09292.22779.11244.742000.10237.58216.97315.66775.77236.122000.11235.39210.81277.97790.80229.452000.12260.39287.36386.021045.38297.562001.1151.66115.76188.82445.58153

10、.132001.2227.50173.63283.24668.37229.692001.3237.36205.96381.71806.15233.112001.4247.40218.87354.64811.39246.372001.5247.75222.21344.00837.38260.712001.6247.54236.03321.65895.51319.152001.7252.03216.28295.45758.41234.812001.8341.38224.99321.66787.95288.392001.9195.96242.86367.93843.44190.412001.1023

11、2.40233.04335.31836.82207.012001.11227.17244.00368.36883.79233.412001.12307.99317.46452.601185.33333.512002.1162.46130.15232.26505.332174.482002.2243.69195.23348.39757.998261.732002.3240.61218.67458.73873.84293.222002.4261.64238.74515.33937.25286.662002.5326.27254.72490.66964.00299.242002.6291.73278

12、.20504.271036.48339.722002.7305.22240.07462.53909.48302.102002.8265.59258.77473.45967.98277.622002.9294.10273.33542.931037.8283.592002.10299.51284.86495.601052.29234.992002.11298.25289.77499.171081.40276.502002.12324.26331.21602.191445.66317.069.9 案例分析中國GDP、消費(fèi)、投資與出口的協(xié)整分析 根據(jù)表9.9.1給出了1980-2004年間按當(dāng)年價(jià)格計(jì)

13、算的中國總產(chǎn)出(用支出法核算的國內(nèi)生產(chǎn)總值GDP度量，單位：億元)，最終消費(fèi)CS(單位：億元)，固定資產(chǎn)投資總額I(單位：億元)，出口總額EX（單位：億元），GDP縮減指數(shù)。試對中國GDP、消費(fèi)、投資與出口進(jìn)行協(xié)整分析。表9.9.1 1980-2004年中國GDP、最終消費(fèi)、投資總額與出口總額（單位：億元）年 份GDP最終消費(fèi)CS投資總額I出口總額EXGDP縮減指數(shù)(定基)PGDP縮減指數(shù)(環(huán)比)19804551.32976.1910.9271.21.03801.03819814901.43309.1961.0367.61.06191.02319825489.23637.91230.4413.

14、81.05980.99819836076.34020.51430.1438.31.07141.01119847164.44694.51832.9580.51.12391.04919858792.15773.02543.2808.91.23741.101198610132.86542.03120.61082.11.29431.046198711784.77451.23791.71614.21.36041.051198814704.09360.14753.81766.71.52501.121198916466.010556.54410.41956.11.65921.088199018319.511

15、365.24517.02985.81.75371.057199121280.413145.95594.53827.11.87121.067199225863.715952.18080.14676.32.01911.079199334500.720182.113072.35284.82.31381.146199446690.726796.017042.110421.82.77431.199199558510.533635.020019.312451.83.14051.132199668330.440003.922974.012576.43.32581.059199774894.243579.42

16、4941.115160.73.35241.008199879003.346405.928406.215223.63.27190.976199982673.149722.729854.716159.83.19990.978200089340.954600.932917.720634.43.22871.009200198592.958927.437213.522024.43.26751.0122002107897.662798.543499.926947.93.26100.9982003121730.367493.555566.636287.93.32621.0202004142394.27543

17、9.770477.449103.33.53571.063思考與練習(xí)13表1為美國1970-1991年制造業(yè)固定廠房設(shè)備(y)和產(chǎn)品銷售量(x)的數(shù)據(jù)(單位：10億美元)。(1)試檢驗(yàn)y與x的因果關(guān)系，使用直至6期為止的滯后并評述其結(jié)果。(2) 對固定廠房設(shè)備(y)和產(chǎn)品銷售量(x)的VAR模型進(jìn)行估計(jì)。表1 美國1970-1991年制造業(yè)固定廠房設(shè)備和產(chǎn)品銷售量數(shù)據(jù)年份設(shè)備投資y銷售量x197036.99052.8050197133.60055.9060197235.42063.0270197342.35072.9310197452.48084.7900197553.66086.5890197

18、658.53098.7970197767.480113.201197878.130126.905197995.130143.9361980112.60154.3911981128.68168.1291982123.97163.3511983117.35172.5471984139.61190.6821985152.88194.5381986137.95194.6571987141.06206.3261988163.45223.5411989183.80232.7241990192.61239.4591991182.81235.14214中國的國民生產(chǎn)總值，基本建設(shè)投資和價(jià)格指數(shù)數(shù)據(jù)（1966-

19、1997）見表9.7.2，定義對數(shù)的國民生產(chǎn)總值變量和對數(shù)的基本建設(shè)投資變量為試對序列和進(jìn)行單整、協(xié)整檢驗(yàn)。如果是協(xié)整的，試建立相應(yīng)的誤差修正模型。表2 1966-1997年中國國民生產(chǎn)總值、基建投資和價(jià)格指數(shù)數(shù)據(jù)年GNP基建投資價(jià)格指數(shù)19661868.0209.420.47619671773.9140.170.47219681723.1113.060.47219691937.9200.830.46819702252.7312.551.46619712426.4340.840.46219722518.1327.980.46119732720.9338.100.46419742789.9347

20、.710.46719752997.3409.320.46719762934.7376.440.46919773201.9382.370.47819783624.1500.990.48219794038.2523.480.49119804517.8588.890.52119814826.4442.910.53319825294.7555.530.54319835934.5594.130.55119847171.0743.150.56719858964.41074.370.617198610202.21176.110.654198711962.51341.100.702198814928.3157

21、4.310.831198916909.21551.740.979199018547.91703.811.000199124617.82115.81.029199226638.13012.651.085199334634.44615.51.228199446759.46436.741.494199558478.17403.621.714199667884.68570.791.819199774772.49917.021.83315試建立關(guān)于日本人均食品消費(fèi)的誤差修正模型。對數(shù)的人均月食品支出和月總支出數(shù)據(jù)見表3。表3 1950-1985日本人均月食品支出和月總支出的數(shù)據(jù)年份19509.22889

22、.783519519.18589.795419529.27559.944919539.335810.059019549.333410.057419559.348410.105119569.382310.180419579.417410.117919589.464110.289919599.468410.344019609.517610.395419619.565910.474219629.599210.539919639.548110.553819649.602210.624519659.634210.650419669.651310.696319679.699810.759419689.74

23、2010.834119699.785510.901519709.822210.954819719.845611.002419729.875511.047319739.902011.102719749.907111.084319759.927111.130719769.932511.133019779.918811.147019789.912411.153319799.905011.181519809.892911.172419819.894011.186019829.896911.217319839.895311.223819849.895211.240019859.884411.243516

24、中國改革開放以來，財(cái)政收入受稅收的影響越來越大。表4給出了1978-2002年中國財(cái)政收入y與稅收x的相關(guān)數(shù)據(jù)。表4 1978-2002年中國財(cái)政收入與稅收數(shù)據(jù)年份財(cái)政收入y稅收x19781132.26519.2819791146.38537.8219801159.93571.719811175.79629.8919821212.33700.0219831366.95775.5919841642.86947.3519852004.822040.7919862122.012090.7319872199.352140.3619882357.242390.4719892664.92727.41990

25、2937.12821.8619913149.482990.1719923483.373296.9119934348.954255.319945218.15126.919956242.2603819967407.996090.8219978651.148234.0419989875.959262.8199911444.0810682.58200013395.2312581.51200116386.0415301.38200218903.6417636.45（1）請用樣本相關(guān)圖及單位根方法，判斷y、x以及l(fā)ny、lnx平穩(wěn)性。（2）檢驗(yàn)y與x以及l(fā)ny與lnx的單整性。提出哪一組變量是同階單整的。

26、（3）對同階單整的變量進(jìn)行協(xié)整檢驗(yàn)，如果是協(xié)整的，則建立相應(yīng)的協(xié)整模型。 17表5列出了天津人均年收入生活費(fèi)收入與人均食品消費(fèi)相關(guān)數(shù)據(jù)。其中，人均食品年支出額y與人均年收入生活費(fèi)收入x已按職工生活費(fèi)價(jià)格指數(shù)換算為1950年不變價(jià)格數(shù)據(jù)。試建立人均食品年支出額y與人均年收入生活費(fèi)收入x的誤差修正模型。表5 天津人均年收入生活費(fèi)收入與人均食品消費(fèi)相關(guān)數(shù)據(jù)（元）年份人均食物年支出y人均年生活費(fèi)收入x年份人均食物年支出y人均年生活費(fèi)收入x195092.3151.21971151.2274.1195185.5144.61972163.2286.7195290.3156.81973165.0288.019

27、5394.2158.31974170.5293.5195495.6159.71975170.2301.91955104.3166.01976177.4313.8195697.3162.11977181.6330.11957106.4174.01978200.4361.41958107.7176.51979219.6398.81959113.3185.01980260.8491.81960110.3189.21981271.1501.01961107.5166.01982290.3529.2196299.6162.11983318.5552.7196394.0164.91984365.4671.

28、21964101.3177.41985418.9811.81965108.7184.81986517.6988.41966103.2185.71987577.91094.61967108.8185.61988665.81231.81968110.1187.31989756.21374.61969103.8192.91990833.81522.21970113.5205.218表6給出了中國1978-2000年按當(dāng)年價(jià)格計(jì)算的GDP與居民消費(fèi)CS數(shù)據(jù)。表6 中國GDP與消費(fèi)支出（單位：億元）年份CSGDP19781759.13605.619792005.4407419802317.14551.3

29、19812604.14901.419822867.95489.219833182.56076.319843674.57164.4198545898792.11986517510132.819875961.211784.719887633.11470419898523.51646619909113.218319.5199110315.921280.4199212459.825863.7199315682.434500.7199420809.846690.7199526944.558510.5199632152.368330.4199734854.674894.2199836921.179003.3199939334.482673.1200042911.989112.5（1）利用表6數(shù)據(jù)，作出時(shí)間序列l(wèi)nGDP與lnCS的樣本相關(guān)圖，并通過圖形判斷兩時(shí)間序列的平穩(wěn)性。（2）如果不進(jìn)行進(jìn)一步的檢驗(yàn)，直接估計(jì)以下簡單的回歸模型，你是否認(rèn)為此回歸是虛假回歸：（3）檢驗(yàn)lnGDP與lnCS的單整性（4）檢驗(yàn)lnGDP與lnCS的協(xié)整性（5）如果lnGDP與lnCS是協(xié)整的，請估計(jì)lnCS關(guān)于ln