計(jì)量經(jīng)濟(jì)學(xué)時(shí)間序列課后習(xí)題eviews解答

1、2.1980年-2013年中國(guó)全社會(huì)固定資產(chǎn)投資總額X與工業(yè)總額增加Y的統(tǒng)計(jì)資料如下:obsYXgeo1996.50091O9000力日wq2043.-00951GOOD19S22362.3001230.40019632375.600“3。J00q9B42789.OODI83.90019S5344S.TOO2543J2O09S63&&T-W>O3120eooT9674585.800370*1.TOOrsee5777.2004753.0006484.00D4410.4009906S5S.OOO45-17.000"1991OOS594.5OO-199210284.5

2、08DS0.100q99:38S,OO3073,3019941948070"04NJ190S2950.6020019.a0996之64A7：6099732?？?-4M-I-1O199S3-013,40234060199335S61.5029SS4.7020004.00336032917.7Q200-143580.6D37215口20024743T.304M99.902OD3&4$4Sc&65-5S6b,6O2口04652HO.OO7口47/一4口SOOS77230.80SS773.602006SiSdO.aO彳。99&言：之2007110534.93733.9

3、2008130260,2172S264S009135239.922459S.S201T6O72222516S3.320-111B847O2314051201219D67D.737r48自47r3210639=.-4EV1曰-Group：UNTITLEOWerkfs!e：UNTITL=ED;I1F；l=EcditOLzyVi='wProcicfccOfzrttcjProuQbjtut:PiritjNamu|Fruuxuj|Defeo!t|Boijzj試問：(1)當(dāng)設(shè)定模型為lnY=B0+B1lnX+u時(shí)是否存在序列相關(guān)？(2)采用普通最小二乘法和穩(wěn)定標(biāo)準(zhǔn)誤差方法分別估計(jì)模型，比較參數(shù)估計(jì)

4、的差異和它們標(biāo)準(zhǔn)差的誤差，并說明穩(wěn)定標(biāo)準(zhǔn)誤差法克服序列相關(guān)后果的原理。(3)若原模型存在序列相關(guān)性，試用廣義最小二乘法估計(jì)模型。(1)1.圖示法DGraph:ETWcrkfile:UNTHlED：!Urtitled回|總編Vig?.：Proc,Object'PrintjManeAddTextLney-SnadeRemovelemnlaieQjtionjZoom07-0.8-0.95T.。1.1-1.2-133-.2-1.0.12.3從圖中可以殘差項(xiàng)的變化圖形判斷隨機(jī)干擾項(xiàng)的序列相關(guān)性為正相關(guān)。2 .原模型OLS估計(jì)口Uk二出口4工大科刊自UN-LED-Un*tlr-d.回,手Vfew|

5、Fnoc|otjECt，Prirrt|N3me|Fneezie|Estinate|Foreca£t5G1sResidsDepenntVariable;LOGY)Method:Lea&tSquaresDate:06/03/16Tim«:29:43Sample:19S02013IncludedobseRations.34VariableCoefficientStd.ErrortStatisticProb.C193740101280791512559Q.OOOOLOGCX)081420600127325395109O.OGOOR-squared0.99223SMeande

6、pendent'-ar9.S9O61SAdjustedR-squared0.991904S.Ddependentvar1.523353S.E.ofr&gression0136307Akaikeinfocrit&rion-1.090796Sumsquaredresid0594544Schwaizcriterion-1.001010LogliKelirood20.54354Hannan-Quinncriter.-1.D6O177F-statlStic4089,742Duriiin-V/atsonstat0.230617ProtXF-statiStC)0.000000由于DW

7、值為0.28,dL(k=2,T=34)=1.39DW值小于dL,應(yīng)此可以判斷模型存在序列相關(guān)。3 .LM檢驗(yàn)曲EViewc-(EqualUNTTTLEDWorkfileUNTITLED:tUrrtkEleC3FileEditOiiycrtViewProcQuickOption3WindowHelpWcf>pcObtiert|KtjnatgFbecastfStvta總重點(diǎn)dzBrentch-fio白心iftICcrreIartLF.4eeistF3t0titic7G.9959SPTO00.0000口yR-qusirRtfl?441日PrctiChi仔不用片1)口onnoTestEqiuti

8、onD»!PurlduntViIut>to.RESIDMMharf_Le曰31E<1ugreaDalFoa?a3/16Time2JODSample.1sso2013Includeeobservations:34PresamplemlaaingwalufrlaggedraidiualAtoz»ro.vanaDieccerrici&ntsta.Errortstatist*cftcd.c0.(1581710.009a95O.S3&2520.40S3LUG(X)-.Ubt)1/U.0(Jt>9UtiU.9i/S/U0.34MF1E3ID(-1>

9、;091SMCIT0102GG20007404c.aoooR-SQUar&OMeandiepentjentwarb.OIL16Adjusi&dR-squareciS.Dcfependentwar0134.22SS.E.ofu白gi已臺(tái)號(hào)Jon0.073623AkidIkyinfocriterion-2.298338oumsquaredresid0.175/5iscriwarzcriterion-2.163bS9Loglikelihoodl4207175Hannfln-OLiiniricritsr-2252409FWBHEIC30,49297Durbin-Watsan方tai1.

10、401173Prob(F-statistic).OOOOQ根據(jù)nRA2統(tǒng)計(jì)量對(duì)應(yīng)的值得出LM=34*0.699=23.76,在5%顯著性水平下存在一階序列相關(guān)性。感EView5-Equation:UNTITLEDWorkfik：UNTUIED:UntitledPIFileEditObjectViewProcQuickOptionsWrnciowHelpVieMProc|ObjectPriit|Pame|Freeze|Estindte|Forecast|Stats|Kesds|Breuscfi-GocJEre.SerialCorrelatronLMTestF-statistic4281526Pr

11、obF(2.30)0.0D000bs*R-squ3ne<i25.173&0ProbCh!-3quare(2:0.0000TestEquation:Dependentvarisble:RESIDf.lettiod:LeastSquaresDate:06/03/16Time;2159Sampic19802013Includedobservations:34PresamplermsHngvaluelaggedresidualssettozerc.Variabi&CoefficientStC.Errort-StatislicProbC00379E4S068B350.5513740

12、.5855LOGCX)T0043560Q063S2-0.6328910316RESIDE1.15217601794656.4193370.0000RESID(-2-,3044110.189117-16096410.1130R-sqjared0.740553Meandependentvar-5.O1E-16AdjustedR-squy&dQfDBs.DJependentvar0.134220S.Eofregressiori0.071706上Maikeinfocrikrtcn23陽52Surnsquaredrasid0.1542t3Scriwatzcriterion-2.142780Log

13、likelihoodHannan-Quinnenter小pfinnF-statistic28$4390Durbin-V.,atsonstat1.794S44ProbtFtatistic)0.0口。阿2階序列相再繼續(xù)LM檢驗(yàn)的2階序列相關(guān)性檢驗(yàn)，發(fā)現(xiàn)在5%顯著性水平下，原模型存在關(guān)性，但在t-test中，RESID(-2)的參數(shù)為0的假設(shè)。故不存在2階序列相關(guān)性(2)序列相關(guān)穩(wěn)健標(biāo)準(zhǔn)誤差法Equation:NEWEYWorkFle:UNHTLED:UntWed歸ViewPE|Objectftinft|NamE|FreeFe|Estimate|boreca/H5括tsgesidsDependent

14、Variable.LOGtY)Metliod:LeastSquaresDate:06/03/46Time:£1:04Sanpie:I9602013IneludedQbsnatianf：34hleweyVestHACStandardErrors&Covari<mce(Faigtruncatcn)VariableCoefficientStd.Errort-StatistrcProb.C19374010202。船95866730.0000LOGCX)0.8U2CSQ.C2044S39.3184400000R-squarect0992235IVteandependentvar9

15、.990519AdjustedR-squarea0.991994S.O.dependentvar1.523353S.E.ofregressian0136307AKaikeinfocriterion-1.09079S5umsquaredresid0,5945"Schwajz.criterian-1.001010LoglikfrHhood20.543&4Hannan-Quinnenter.4.060177F-statistic4089742urbin-Wstsonstat0230517Ffob(F-statistic)0.000000與原模型OLS估計(jì)對(duì)比Q.S7/CMUN-;T

16、LED：Unttl-d.U回羽View:ProciObject'Pdnt|FreezieFEijrngg|£口那匚町與？.3GtsResidsDependentVariabk:LOGCY)Method:LeastSquaresDate：06/03/16Time：20:43Sample:19S02C13IncludedoDser<ation£：34VariableCoefficientStdErrorStatisticProb.C1937401012807915125590.0000LOGCX)081420500127320395109O.OGOOR-squar

17、edD.99223BMeandependentvar&.sgos-isAdjustedR-squaretf0.991904SDdependentvar1523353S.E.ofregression0136307Aksikeinfocriterion-1090796Sumsquaredresid0594544Schwaizcriterion-1.001010Logiikelirood20.54354Hannan-Quinncrtier.-1.060177F-statistic4089.742urtjin-?/atsonslat0.260517ProbfF-statistic；0.0000

18、00發(fā)現(xiàn)變量X的對(duì)應(yīng)參數(shù)修正后的標(biāo)準(zhǔn)差OLS結(jié)果有所增大，表明原模型OLS估計(jì)結(jié)果低估了X的標(biāo)準(zhǔn)差。(3)廣義最小二乘法估計(jì)由于LM檢驗(yàn)只要一階序列相關(guān)性，故：軍EVlews-(Equstton;ARIWorkfile;UNTIT_EUntitldFileEditObjectViewProcQuickOptionsWindowHelp陛依jproc|cibct|Print|Piamc|F3H&|Estiffimte，F(xiàn)g其器t|StatsDependentVariable:LOG(Y)Methoa.LeastSquaresDate:6Time:21:33Sample(adjusted):-1Q812013Includedobservations;33afteradjustmentsConvergenceachievedafter13iterationsVariableCoefficientStdErrorStatisticProc.C94344306.0fl6531556412口1301LOG兇046106S0.10571243315610.0001AR(1)0.986440Q.015S4358565960.0000R'Squared0998356Meanaependentvar10,053