2011计量经济学考试题B.doc2426.pdf

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1、.1 SL A C D 4ABC D5E（Y）0 i XBR2CD 1206ACDYXYt 11Xt tY2 X2 A BC2i Xki ei D(Y?2 Y)/k 2(Y Yj)/(n AF(k-1,n-k)Ct(n-k)1）F(k,n-k-1)t(n-k-1)A XY0BX=0Y0CYX1AC10Yj0 1 Xi i Var(i)=2 X i 2 AR.1 SL cD AY X7 X2 15Yi Xi i XiXii A B C D D11Yt 1Xt tAVar(cVar(Var(i)16ABCi)Var(i)D1712n=30 5YidL 1.35AC1Xi iDW=1.39 ABdu

2、 49CD131DW18ABCD 1914kAX1X2X1i kX2i+iACESBCCDD20j*.1 SL A j j B*j=j C j*D*j j*j j 25 1 5 1 A B C D E 2Y 0 1Xt t A E(t)0 BVar(t)2 CCov(s,t)0 S t D t N(0,2)EX Cov(Xt,t)0 AB CD E5 A B C D E TF1512345Y/L31212 3 4 481212021531550 1A B CD E 4D W 3.1 SL X 6 8 9 11 12 15 Y 54 56 57 70 72 81 Dependent Variab

3、le:Y Method:Least Squares Date:06/21/11 Time:08:26 Sample:1 6 Included observations:6 Coefficie Std.Error t-Statistic Prob.nt C 31.20000 4.333514 7.199700 0.0020 X 3.324590 0.409784 8.113039 0.0013 R-squared 0.942711 Mean dependent var 65.00000 Adjusted R-squared 0.928389 S.D.dependent var 10.91788

4、S.E.of regression 2.921655 Akaike info criterion 5.243379 Sum squared resid 34.14426 Schwarz criterion 5.173965 Log likelihood-13.7301 Hannan-Quinn criter.4.965511 F-statistic 65.82139 Durbin-Watson stat 2.051714 Prob(F-statistic)0.001255 4t0025 4=2.77F0.0514=7.715 532丫I（%）R%EviewsDependent Variable

5、:Y Method:Least Squares Date:12/16/08 Time:01:05 Sample:1 12 Included observations:12 Variable Coefficient Std.Error t-Statistic Prob.C 933.8327 151.0356 6.182866 0.0002 R 6.292058 8.602912 0.731387 0.4831 I-90.85233 16.70357-5.439098 0.0004 R-squared 0.986866 Mean dependent var 430.8333 Adjusted R-

6、squared 0.983947 S.D.dependent var 135.8782 S.E.of regression 17.21585 Akaike info criterion 8.741856 Sum squared resid 2667.471 Schwarz criterion 8.863083 Log likelihood-49.45114 F-statistic 338.1139 Durbin-Watson stat 1.325082 Prob(F-statistic)0.000000 1 42 （13（26（330.05,t/2（n k 1）2.262）43R 443.1

7、SL 31978-2000 CONSUINCOMEPRICE1978=1Y XtY=CONSUM/PRICE Xt=INCOME/PRICE YX 1400 S.E.of regression 32.84676 criterion 9.904525 Sum squared resid 22657.10 Schwarz criterion 10.00326 Log likelihood-111.9020 F-statistic 1774.281 Durbin-Watson stat 0.60000 Prob(F-statistic)0.000000 Akaike info1200 1000 80

8、0 600 400 200 1000 1500 2000 1 YtXt 150 1（5Dependent Variable:Y Method:Least Squares Date:06/05/06 Time:18:45 Sample:1978 2000 Included observations:23 Variable Coefficient Std.Error t-Statistic Prob.C 111.4400 17.05592 6.533804 0.0000 X 0.711829 0.016899 42.12221 0.0000 R-squared 0.988303 Mean dependent var 769.4035 Adjusted R-squared 0.987746 S.D.dependent var 296.7204 ut=0.05dL=1.26du=1.44(2)(3)OLS 5(5?1 n XY S?S?1 2 2 X2(X)2 Y2?0 Y?XY)/(n 2)2(X X)2.1 SL 10 10 10 10 10 10 10 30 100 120|1 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 48|15|15|311|.1 SL 12021531550|.1 SL .1 SL