实验八内生解释变量问题

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1、实验八内生解释变量问题【实验目的】掌握工具变量法、两阶段最小二乘法的使用以及内生性检验与过度识别约束检验【实验内容】利用美国各州的数据为样本观测值，建立香烟需求模型（见教材138页例4.3.4）【实验步骤】表4.3.11995年美国48个州人均香烟消费、收入与对香烟的课税地区人均香烟消费Q（盒）人W收入飞（千美元）香烟平均销售f格P（美分/盒）香烟平均消费税Tax（美分/盒）香烟平琢的特别消费鞔Taxs（奏分/盒）AL101.0912.92103.9226.570.92AR111.0412.17115.1936.425.49AZ71.9513.54130.3242.876

2、.21CA56.8616.07138.1340.039.04CO82.5816.32109.8128.870.00CT79.4720.96143.2348.568.11DE124.4716.66108.6631.500.00FL93.0715.43123.1737.996.97GA97.4714.59102.7423.620.94IA92.4013.90125.2639.375.96ID74.8512.88117.8734.125.61IL83.2716.83130.2344.627.37IN134.2614.33101.4025.924.83KS88.7514.3611

3、4.9731.505.47KY172.6512.6195.7917.725.42LA105.1812.82110.1028.874.23MA76.6218.41142.4649.216.78MD77.4717.65122.0739.375.81ME102.4713.28129.4240.037.33MI81.3915.73158.0464.968.95MN82.9516.13144.5947.249.46MO122.4514.50103.1726.900.91MS105.5811.28111.0427.567.26MT87.1612.31102.5027.560.00NC

4、121.5414.4098.4219.033.79ND79.8112.52126.1544.627.14NE87.2714.56119.5438.065.69NH156.3416.41109.3432.150.00NJ80.3719.21133.2641.997.54NM64.6712.37115.5829.535.50NV93.5316.93135.5638.718.87NY70.8218.19145.5852.495.60OH111.3815.02108.8531.505.18OK108.6812.73111.6430.845.32OR92.1614.87124.87

5、40.680.00PA95.6415.58115.5936.096.54RI92.6015.78147.2852.499.64SC108.0812.78100.2720.344.77地区人均香烟消费Q（盒）人均收入Y（千美元）香烟平均稍售价格P（美分/盒）香烟平均消贾税Tax（美芬?盒）香烟平均的特别消费税Taxs（美分/盒）SD97.2213.02110.2630.844.24TN122.3214.30109.6224.288.12TX73.0814.12130.0542.657.36UT49.2712.37118.7533.145.65VA105.3916.05109

6、.3617.395.21VT122.3314.02115.2528.875.49WA65.5315.67156.9052.8210.26WI92.4714.81132.1440.686.29WV115.5711.75109.2626.906.18WY112.2414.12104.0323.620.00资源来源：根据IntroductiontoEconometrics(2ndedition)整理。根据商品需求函数理论，对香烟的人均消费需求Q与居民的收入水平Y及香烟的销售价格P有关；虑到在市场均衡时香烟的销售价格也同时受香烟的需求量的影响，则Q与P之间存在着双向因果关系，P为

7、内生解释变量，考虑到香烟价格中包含政府对烟草的课税，而香烟的人均消费量本身不会直接影响政府对香烟的课税政策，因此香烟的消费税可能是价格的一个适当的工具变量。一、建立对数线性模型：ln2=/?（）+/?1lnr+房In尸+//对原模型做回归分析结果如下：[View

8、Proc

9、Object]

10、Print

11、Name

12、Freeze

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14、Estimate

15、Forecast

16、Stats

17、Resids]DependentVariable:LNQMethod:LeastSquaresDate:10/28/16Time:10:56Sample:1