第十章 时间序列计量经济模型 思考题

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1、第十章时间序列计量经济模型思考题10.1对时间序列进行分析,为什么提出平稳性问题?10.2简述模型出现"伪回归"的含义。10.3什么是非平稳?为什么随机游走过程是非平稳的?10.4试述单位根检验的基本步骤。10.5怎样判断变量之间是否存在协整关系。10.6什么是误差修正机制?误差修正模型的特点是什么?》练习题10·1表10·10是某国的宏观经济数据。其中,GDP为国内生产总值,PDI为个人可支配收入,PCE为个人消费支出,利润为公司税后利润,红利为公司净红利支出。表10.10某国1980年到2001年宏观经济季

2、度数据季度GDPPDIPCE利润红利gdppdipcepftbnuJan-802878.81990.61800.544.724.5Feb-802860.32020.11087.544.423.9Mar-802896.62045.31824.744.923.3Apr-802873.72045.21821.242.123.1Jan-812942.92073.91849.948.823.8Feb-812947.420981863.550.723.7Mar-8129662106.61876.954.223.8Apr-8

3、12980.82121.11904.655.723.7Jan-823037.32129.71929.359.425Feb-823089.72149.11963.360.125.5Mar-823125.82193.91989.162.826.1Apr-823175.322722032.168.326.5Jan-833253.32300.72063.979.127Feb-833267.62315.2206281.227.8Mar-833264.32337.92073.781.328.3Apr-833289.1238

4、2.72067.48529.4Jan-843259.42334.72050.88929.8Feb-843267.72304.5205991.230.4Mar-843239.123152065.597.130.9Apr-843226.42313.72039.986.830.5Jan-8531542282.52051.875.830Feb-853190.42390.32086.98129.7Mar-853249.92354.42114.497.830.1Apr-853292.52389.42137103.430.6

5、Jan-863356.72424.52179.3108.432.6Feb-863369.22434.92194.7109.235Mar-8633812444.7221311036.6Apr-863416.32459.52242110.338.3Jan-872466.424632271.3121.539.2Feb-8735252490.32280.8129.740Mar-873574.425412302.6135.141.4Apr-873567.22556.22331.6134.842.4Jan-883591.8

6、2587.32347.1137.543.5Feb-883707.72631.9239415444.5Mar-883735.62653.22404.515846.6Apr-883779.62680.92421.6167.848.9Jan-893780.82699.22437.9168.250.5Feb-893784.32697.62435.4174.151.8Mar-893807.52715.32454.7178.152.7Apr-893814.62728.12465.4173.457.6Jan-903830.8

7、2742.92464.6174.357.6Feb-903732.626922414.2144.558.7Mar-903733.52722.52440.315159.3Apr-903808.527772469.2154.660.5Jan-913860.52783.72475.5159.3564Feb-913844.42776.72476.1143.768.4Mar-913864.52814.12487.4147.671.9Apr-913803.12808.82468.8140.372.4Jan-923756.12

8、7952484114.470Feb-923771.12824.82488.911468.4Mar-923754.428292502.5114.669.2Apr-923759.62832.62539.3109.972.5Jan-933783.32843.62556.5113.677Feb-933886.52867260413380.5Mar-933944.429032639145.783