计量经济学第三版(庞浩~)版课后答案~全.doc

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1、-_第二章第二章2.2 （1） 对于浙江省预算收入与全省生产总值的模型，用 Eviews 分析结果如下： Dependent Variable: Y Method: Least Squares Date: 12/03/14 Time: 17:00 Sample (adjusted): 1 33 Included observations: 33 after adjustmentsVariableCoefficientStd. Errort-StatisticProb. X0.1761240.00407243.256390.0000 C-154.306339.08196-3.9482740.00

2、04R-squared0.983702 Mean dependent var902.5148 Adjusted R-squared0.983177 S.D. dependent var1351.009 S.E. of regression175.2325 Akaike info criterion13.22880 Sum squared resid951899.7 Schwarz criterion13.31949 Log likelihood-216.2751 Hannan-Quinn criter.13.25931 F-statistic1871.115 Durbin-Watson sta

3、t0.100021 Prob(F-statistic)0.000000由上可知，模型的参数：斜率系数 0.176124，截距为154.3063关于浙江省财政预算收入与全省生产总值的模型，检验模型的显著性： 1）可决系数为 0.983702，说明所建模型整体上对样本数据拟合较好。 2）对于回归系数的 t 检验：t（2）=43.25639t0.025(31)=2.0395，对斜率系数的显著性 检验表明，全省生产总值对财政预算总收入有显著影响。用规范形式写出检验结果如下： Y=0.176124X154.3063(0.004072) (39.08196) t= (43.25639) （-3.94827

4、4） R2=0.983702 F=1871.115 n=33经济意义是：全省生产总值每增加 1 亿元，财政预算总收入增加 0.176124 亿元。（2）当 x=32000 时， 进行点预测，由上可知 Y=0.176124X154.3063，代入可得： Y= Y=0.176124*32000154.3063=5481.6617进行区间预测：-_先由 Eviews 分析：XYMean 6000.441 902.5148Median 2689.280 209.3900Maximum 27722.31 4895.410Minimum 123.7200 25.87000Std. Dev. 7608.02

5、1 1351.009Skewness 1.432519 1.663108Kurtosis 4.010515 4.590432Jarque-Bera 12.69068 18.69063Probability 0.001755 0.000087Sum 198014.5 29782.99Sum Sq. Dev. 1.85E+09 58407195Observations 33 33由上表可知， x2=（XiX）2=2x(n1)= 7608.0212 x (331)=1852223.473 (XfX)2=(32000 6000.441)2=675977068.2当 Xf=32000 时，将相关数据代入

6、计算得到： 5481.66172.0395x175.2325x1/33+1852223.473/675977068.2 Yf5481.6617+2.0395x175.2325x1/33+1852223.473/675977068.2即 Yf 的置信区间为（5481.661764.9649, 5481.6617+64.9649）(3) 对于浙江省预算收入对数与全省生产总值对数的模型，由 Eviews 分析结果如下： Dependent Variable: LNY Method: Least Squares Date: 12/03/14 Time: 18:00 Sample (adjusted):

7、 1 33 Included observations: 33 after adjustmentsVariableCoefficientStd. Errort-StatisticProb. LNX0.9802750.03429628.582680.0000 C-1.9182890.268213-7.1521210.0000R-squared0.963442 Mean dependent var5.573120 Adjusted R-squared0.962263 S.D. dependent var1.684189 S.E. of regression0.327172 Akaike info

8、criterion0.662028 Sum squared resid3.318281 Schwarz criterion0.752726 Log likelihood-8.923468 Hannan-Quinn criter.0.692545 F-statistic816.9699 Durbin-Watson stat0.096208 Prob(F-statistic)0.000000-_模型方程为：lnY=0.980275lnX-1.918289由上可知，模型的参数：斜率系数为 0.980275，截距为-1.918289关于浙江省财政预算收入与全省生产总值的模型，检验其显著性： 1）可决系

9、数为 0.963442，说明所建模型整体上对样本数据拟合较好。 2）对于回归系数的 t 检验：t（2）=28.58268t0.025(31)=2.0395，对斜率系数的显著性 检验表明，全省生产总值对财政预算总收入有显著影响。 经济意义：全省生产总值每增长 1%，财政预算总收入增长 0.980275%2.4（1）对建筑面积与建造单位成本模型，用 Eviews 分析结果如下： Dependent Variable: Y Method: Least Squares Date: 12/01/14 Time: 12:40 Sample: 1 12 Included observations: 12Va

10、riableCoefficientStd. Errort-StatisticProb. X-64.184004.809828-13.344340.0000 C1845.47519.2644695.796880.0000R-squared0.946829 Mean dependent var1619.333 Adjusted R-squared0.941512 S.D. dependent var131.2252 S.E. of regression31.73600 Akaike info criterion9.903792 Sum squared resid10071.74 Schwarz c

11、riterion9.984610 Log likelihood-57.42275 Hannan-Quinn criter.9.873871 F-statistic178.0715 Durbin-Watson stat1.172407 Prob(F-statistic)0.000000由上可得：建筑面积与建造成本的回归方程为： Y=1845.475-64.18400X（2）经济意义：建筑面积每增加 1 万平方米，建筑单位成本每平方米减少 64.18400 元。（3） 首先进行点预测，由 Y=1845.475-64.18400X 得，当 x=4.5，y=1556.647再进行区间估计： 用 Evi

12、ews 分析：YXMean 1619.333 3.523333Median 1630.000 3.715000-_Maximum 1860.000 6.230000Minimum 1419.000 0.600000Std. Dev. 131.2252 1.989419Skewness 0.003403-0.060130Kurtosis 2.346511 1.664917Jarque-Bera 0.213547 0.898454Probability 0.898729 0.638121Sum 19432.00 42.28000Sum Sq. Dev. 189420.7 43.53567Obser

13、vations 12 12由上表可知， x2=（XiX）2=2x(n1)= 1.9894192 x (121)=43.5357 (XfX)2=(4.5 3.523333)2=0.95387843当 Xf=4.5 时，将相关数据代入计算得到： 1556.6472.228x31.73600x1/12+43.5357/0.95387843 Yf1556.647+2.228x31.73600x1/12+43.5357/0.95387843即 Yf 的置信区间为（1556.647478.1231, 1556.647+478.1231）第三章3.2 ）对出口货物总额计量经济模型，用 Eviews 分析结果

14、如下： Dependent Variable: Y Method: Least Squares Date: 12/01/14 Time: 20:25 Sample: 1994 2011 Included observations: 18VariableCoefficientStd. Errort-StatisticProb. X20.1354740.01279910.584540.0000 X318.853489.7761811.9285120.0729 C-18231.588638.216-2.1105730.0520R-squared0.985838 Mean dependent var6

15、619.191 Adjusted R-squared0.983950 S.D. dependent var5767.152 S.E. of regression730.6306 Akaike info criterion16.17670 Sum squared resid8007316. Schwarz criterion16.32510 Log likelihood-142.5903 Hannan-Quinn criter.16.19717 F-statistic522.0976 Durbin-Watson stat1.173432 Prob(F-statistic)0.000000-_由上

16、可知，模型为： Y = 0.135474X2 + 18.85348X3 - 18231.58对模型进行检验： 1）可决系数是 0.985838，修正的可决系数为 0.983950，说明模型对样本拟合较好 2）F 检验，F=522.0976F（2,15）=4.77，回归方程显著 3）t 检验，t 统计量分别为 X2 的系数对应 t 值为 10.58454，大于 t（15）=2.131，系数是 显著的，X3 的系数对应 t 值为 1.928512，小于 t（15）=2.131，说明此系数是不显著的。（2）对于对数模型，用 Eviews 分析结果如下： Dependent Variable: LNY

17、 Method: Least Squares Date: 12/01/14 Time: 20:25 Sample: 1994 2011 Included observations: 18VariableCoefficientStd. Errort-StatisticProb. LNX21.5642210.08898817.577890.0000 LNX31.7606950.6821152.5812290.0209 C-20.520485.432487-3.7773630.0018R-squared0.986295 Mean dependent var8.400112 Adjusted R-sq

18、uared0.984467 S.D. dependent var0.941530 S.E. of regression0.117343 Akaike info criterion-1.296424 Sum squared resid0.206540 Schwarz criterion-1.148029 Log likelihood14.66782 Hannan-Quinn criter.-1.275962 F-statistic539.7364 Durbin-Watson stat0.686656 Prob(F-statistic)0.000000由上可知，模型为： LNY=-20.52048

19、+1.564221 LNX2+1.760695 LNX3对模型进行检验： 1）可决系数是 0.986295，修正的可决系数为 0.984467，说明模型对样本拟合较好。 2）F 检验，F=539.7364 F（2,15）=4.77，回归方程显著。 3）t 检验，t 统计量分别为-3.777363，17.57789，2.581229，均大于 t（15）=2.131，所 以这些系数都是显著的。（3） （1）式中的经济意义：工业增加 1 亿元，出口货物总额增加 0.135474 亿元，人民币汇 率增加 1，出口货物总额增加 18.85348 亿元。 （2）式中的经济意义：工业增加额每增加1%，出口货

20、物总额增加1.564221%，人民币 汇率每增加1%，出口货物总额增加1.760695%-_3.3（1）对家庭书刊消费对家庭月平均收入和户主受教育年数计量模型，由 Eviews 分析结果 如下： Dependent Variable: Y Method: Least Squares Date: 12/01/14 Time: 20:30 Sample: 1 18 Included observations: 18VariableCoefficientStd. Errort-StatisticProb. X0.0864500.0293632.9441860.0101 T52.370315.2021

21、6710.067020.0000 C-50.0163849.46026-1.0112440.3279R-squared0.951235 Mean dependent var755.1222 Adjusted R-squared0.944732 S.D. dependent var258.7206 S.E. of regression60.82273 Akaike info criterion11.20482 Sum squared resid55491.07 Schwarz criterion11.35321 Log likelihood-97.84334 Hannan-Quinn crite

22、r.11.22528 F-statistic146.2974 Durbin-Watson stat2.605783 Prob(F-statistic)0.000000模型为：Y = 0.086450X + 52.37031T-50.01638对模型进行检验： 1）可决系数是 0.951235，修正的可决系数为 0.944732，说明模型对样本拟合较好。 2）F 检验，F=539.7364 F（2,15）=4.77，回归方程显著。 3）t 检验，t 统计量分别为 2.944186，10.06702，均大于 t（15）=2.131，所以这些系数 都是显著的。经济意义：家庭月平均收入增加 1 元，家

23、庭书刊年消费支出增加 0.086450 元，户主受 教育年数增加 1 年，家庭书刊年消费支出增加 52.37031 元。（2）用 Eviews 分析： Dependent Variable: Y Method: Least Squares Date: 12/01/14 Time: 22:30 Sample: 1 18 Included observations: 18VariableCoefficientStd. Errort-StatisticProb. T63.016764.54858113.854160.0000 C-11.5817158.02290-0.1996060.8443-_R-

24、squared0.923054 Mean dependent var755.1222 Adjusted R-squared0.918245 S.D. dependent var258.7206 S.E. of regression73.97565 Akaike info criterion11.54979 Sum squared resid87558.36 Schwarz criterion11.64872 Log likelihood-101.9481 Hannan-Quinn criter.11.56343 F-statistic191.9377 Durbin-Watson stat2.1

25、34043 Prob(F-statistic)0.000000 Dependent Variable: X Method: Least Squares Date: 12/01/14 Time: 22:34 Sample: 1 18 Included observations: 18VariableCoefficientStd. Errort-StatisticProb. T123.151631.841503.8676440.0014 C444.5888406.17861.0945650.2899R-squared0.483182 Mean dependent var1942.933 Adjus

26、ted R-squared0.450881 S.D. dependent var698.8325 S.E. of regression517.8529 Akaike info criterion15.44170 Sum squared resid4290746. Schwarz criterion15.54063 Log likelihood-136.9753 Hannan-Quinn criter.15.45534 F-statistic14.95867 Durbin-Watson stat1.052251 Prob(F-statistic)0.001364以上分别是 y 与 T，X 与 T

27、 的一元回归 模型分别是： Y = 63.01676T - 11.58171 X = 123.1516T + 444.5888（3）对残差进行模型分析，用Eviews分析结果如下： Dependent Variable: E1 Method: Least Squares Date: 12/03/14 Time: 20:39 Sample: 1 18 Included observations: 18VariableCoefficientStd. Errort-StatisticProb. E20.0864500.0284313.0407420.0078 C3.96E-1413.880832.8

28、5E-151.0000R-squared0.366239 Mean dependent var2.30E-14-_Adjusted R-squared0.326629 S.D. dependent var71.76693 S.E. of regression58.89136 Akaike info criterion11.09370 Sum squared resid55491.07 Schwarz criterion11.19264 Log likelihood-97.84334 Hannan-Quinn criter.11.10735 F-statistic9.246111 Durbin-

29、Watson stat2.605783 Prob(F-statistic)0.007788模型为： E1 = 0.086450E2 + 3.96e-14 参数：斜率系数 为 0.086450，截距为 3.96e-14（3）由上可知，2 与 2 的系数是一样的。回归系数与被解释变量的残差系数是一样的， 它们的变化规律是一致的。 第五章第五章5.3(1)由 Eviews 软件分析得： Dependent Variable: Y Method: Least Squares Date: 12/10/14 Time: 16:00 Sample: 1 31 Included observations: 3

30、1VariableCoefficientStd. Errort-StatisticProb. X1.2442810.07903215.744110.0000 C242.4488291.19400.8326020.4119R-squared0.895260 Mean dependent var4443.526 Adjusted R-squared0.891649 S.D. dependent var1972.072 S.E. of regression649.1426 Akaike info criterion15.85152 Sum squared resid12220196 Schwarz

31、criterion15.94404 Log likelihood-243.6986 Hannan-Quinn criter.15.88168 F-statistic247.8769 Durbin-Watson stat1.078581 Prob(F-statistic)0.000000由上表可知，2007 年我国农村居民家庭人均消费支出（x）对人均纯收入（y）的模型为： Y=1.244281X+242.4488（2） 由图形法检验-_01,000,0002,000,0003,000,0004,000,0005,000,0006,000,00002,0004,0006,0008,00010,00

32、0XE2由上图可知，模型可能存在异方差。Goldfeld-Quanadt 检验 1）定义区间为 1-12 时，由软件分析得：Dependent Variable: Y1 Method: Least Squares Date: 12/10/14 Time: 11:34 Sample: 1 12 Included observations: 12VariableCoefficientStd. Errort-StatisticProb. X11.4852960.5003862.9682970.0141 C-550.54921220.063-0.4512470.6614R-squared0.46839

33、0 Mean dependent var3052.950 Adjusted R-squared0.415229 S.D. dependent var550.5148 S.E. of regression420.9803 Akaike info criterion15.07406 Sum squared resid1772245. Schwarz criterion15.15488 Log likelihood-88.44437 Hannan-Quinn criter.15.04414 F-statistic8.810789 Durbin-Watson stat2.354167 Prob(F-s

34、tatistic)0.014087得e1i2=1772245.2）定义区间为 20-31 时，由软件分析得： Dependent Variable: Y1 Method: Least Squares Date: 12/10/14 Time: 16:36 Sample: 20 31-_Included observations: 12VariableCoefficientStd. Errort-StatisticProb. X11.0869400.1488637.3016230.0000 C1173.307733.25201.6001410.1407R-squared0.842056 Mean

35、dependent var6188.329 Adjusted R-squared0.826262 S.D. dependent var2133.692 S.E. of regression889.3633 Akaike info criterion16.56990 Sum squared resid7909670. Schwarz criterion16.65072 Log likelihood-97.41940 Hannan-Quinn criter.16.53998 F-statistic53.31370 Durbin-Watson stat2.339767 Prob(F-statisti

36、c)0.000026得e2i2=7909670.3）根据 Goldfeld-Quanadt 检验，F 统计量为：F=e2i2 /e1i2 =7909670./ 1772245=4.4631 在 =0.05 水平下，分子分母的自由度均为 10，查分布表得临界值 F0.05（10,10） =2.98，因为 F=4.4631 F0.05（10,10）=2.98，所以拒绝原假设，此检验表明模型存在异 方差。 （3） 1）采用 WLS 法估计过程中， 用权数 w1=1/X,建立回归得： Dependent Variable: Y Method: Least Squares Date: 12/09/14

37、Time: 11:13 Sample: 1 31 Included observations: 31 Weighting series: W1VariableCoefficientStd. Errort-StatisticProb. X1.4258590.11910411.971570.0000 C-334.8131344.3523-0.9722980.3389Weighted StatisticsR-squared0.831707 Mean dependent var3946.082 Adjusted R-squared0.825904 S.D. dependent var536.1907

38、S.E. of regression536.6796 Akaike info criterion15.47102 Sum squared resid8352726. Schwarz criterion15.56354 Log likelihood-237.8008 Hannan-Quinn criter.15.50118 F-statistic143.3184 Durbin-Watson stat1.369081 Prob(F-statistic)0.000000-_Unweighted StatisticsR-squared0.875855 Mean dependent var4443.52

39、6 Adjusted R-squared0.871574 S.D. dependent var1972.072 S.E. of regression706.7236 Sum squared resid14484289 Durbin-Watson stat1.532908对此模型进行 White 检验得： Heteroskedasticity Test: WhiteF-statistic0.299395 Prob. F(2,28)0.7436 Obs*R-squared0.649065 Prob. Chi-Square(2)0.7229 Scaled explained SS1.798067 P

40、rob. Chi-Square(2)0.4070Test Equation: Dependent Variable: WGT_RESID2 Method: Least Squares Date: 12/10/14 Time: 21:13 Sample: 1 31 Included observations: 31 Collinear test regressors dropped from specificationVariableCoefficientStd. Errort-StatisticProb. C61927.891045682.0.0592220.9532 WGT2-593927.

41、91173622.-0.5060640.6168 X*WGT2282.4407747.97800.3776060.7086R-squared0.020938 Mean dependent var269442.8 Adjusted R-squared-0.048995 S.D. dependent var689166.5 S.E. of regression705847.6 Akaike info criterion29.86395 Sum squared resid1.40E+13 Schwarz criterion30.00273 Log likelihood-459.8913 Hannan

42、-Quinn criter.29.90919 F-statistic0.299395 Durbin-Watson stat1.922336 Prob(F-statistic)0.743610从上可知，nR2=0.649065，比较计算的统计量的临界值，因为nR2=0.6490650.05（2）=5.9915，所以接受原假设，该模型消除了异方差。估计结果为：Y=1.425859X-334.8131t=（11.97157）（-0.972298）-_R2=0.875855 F=143.3184 DW=1.369081用权数 w2=1/x2,用回归分析得： Dependent Variable: Y

43、Method: Least Squares Date: 12/09/14 Time: 21:08 Sample: 1 31 Included observations: 31 Weighting series: W2VariableCoefficientStd. Errort-StatisticProb. X1.5570400.14539210.709220.0000 C-693.1946376.4760-1.8412720.0758Weighted StatisticsR-squared0.798173 Mean dependent var3635.028 Adjusted R-square

44、d0.791214 S.D. dependent var1029.830 S.E. of regression466.8513 Akaike info criterion15.19224 Sum squared resid6320554. Schwarz criterion15.28475 Log likelihood-233.4797 Hannan-Quinn criter.15.22240 F-statistic114.6875 Durbin-Watson stat1.562975 Prob(F-statistic)0.000000Unweighted StatisticsR-square

45、d0.834850 Mean dependent var4443.526 Adjusted R-squared0.829156 S.D. dependent var1972.072 S.E. of regression815.1229 Sum squared resid19268334 Durbin-Watson stat1.678365对此模型进行 White 检验得： Heteroskedasticity Test: WhiteF-statistic0.299790 Prob. F(3,27)0.8252 Obs*R-squared0.999322 Prob. Chi-Square(3)0

46、.8014 Scaled explained SS1.789507 Prob. Chi-Square(3)0.6172Test Equation: Dependent Variable: WGT_RESID2 Method: Least Squares Date: 12/10/14 Time: 21:29 Sample: 1 31 Included observations: 31-_VariableCoefficientStd. Errort-StatisticProb. C-111661.8549855.7-0.2030750.8406 WGT2426220.22240181.0.1902

47、620.8505 X2*WGT20.1948880.5163950.3774020.7088 X*WGT2-583.21512082.820-0.2800120.7816R-squared0.032236 Mean dependent var203888.8 Adjusted R-squared-0.075293 S.D. dependent var419282.0 S.E. of regression434780.1 Akaike info criterion28.92298 Sum squared resid5.10E+12 Schwarz criterion29.10801 Log li

48、kelihood-444.3062 Hannan-Quinn criter.28.98330 F-statistic0.299790 Durbin-Watson stat1.835854 Prob(F-statistic)0.825233从上可知，nR2=0.999322，比较计算的统计量的临界值，因为nR2=0.9993220.05（2）=5.9915，所以接受原假设，该模型消除了异方差。估计结果为：Y=1.557040X-693.1946t=（10.70922）（-1.841272） R2=0.798173 F=114.6875 DW=1.562975 用权数 w3=1/sqr（x）,用回归分析得： Dependent Variable: Y Method: Least Squares Date: 12/09/14 Time: 21:35 Sample: 1 31 Included observations: 31 Weig