计量经济学作业(分布滞后)

《计量经济学作业(分布滞后)》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、《计量经济学B》作业姓名刘晴学号20100630110班级李达1004题号分布滞后模型=============================================表7.3是某水库1998年1月——2004年6月的月流量（Y）和降水量(X)数据。试建立多项式分布滞后模型研究降水量对流量的影响，并进行估计。表7.3某水库各月流量和降水量序号流量降水量序号流量降水量1534234043082404241373193345184222926430164352795316674434636108827452491763844621128

2、477047160193992481680104121649199711370050133712346051143113208152202414202153220201521245438151621115534251720625628615182091257255819309758481152024245972541215373609322322377176113703923422462636524574516392647256768645143026546676557828271287136626481286962767578913729

3、79040681782353058401446922934131210053701230313221806471937573311801672134018348648734838933557026745296673673541751014137105039765521538561477430103934324782419假设滞后阶数为3，有限分布滞后模型为：Y=α+βX+βX+βX+βX+µ………………（*）t0t1t−12t−23t−3t一、经验加权法下面用经验加权法估计该模型，选择三组权数：①、1，1/2，1/4，1/8；②、1/4，1

4、/2，2/3，1/4；③、1/4，1/4，1/4，1/4.设新的解释变量为：z=X+1/2X+1/4X+1/8X1ttt−1t−2t−3z=1/4X+1/2X+2/3X+1/4X2ttt−1t−2t−3z=1/4X+1/4X+1/4X+1/4X3ttt−1t−2t−3分别估计如下经验加权模型：Y=α+βz+µ,k=1,2,3………………（**）tktt基于Eviews6.0，对模型（**）分别进行OLS估计，估计结果如下：表1k=1时的模型估计结果DependentVariable:YMethod:LeastSquaresDate:04/0

5、9/12Time:19:29Sample(adjusted):20042078Includedobservations:75afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.C-181.8867114.9985-1.5816430.1181Z123.542481.89335012.434300.0000R-squared0.679279Meandependentvar859.9467AdjustedR-squared0.674885S.D.dependentvar1196

6、.360S.E.ofregression682.1507Akaikeinfocriterion15.91468Sumsquaredresid33969059Schwarzcriterion15.97648Loglikelihood-594.8006Hannan-Quinncriter.15.93936F-statistic154.6119Durbin-Watsonstat1.861482Prob(F-statistic)0.000000表2k=2时的模型估计结果DependentVariable:YMethod:LeastSquaresDa

7、te:04/09/12Time:19:29Sample(adjusted):20042078Includedobservations:75afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.C37.52492162.50560.2309150.8180Z220.891913.0673236.8111220.0000R-squared0.388566Meandependentvar859.9467AdjustedR-squared0.380190S.D.dependentva

8、r1196.360S.E.ofregression941.8707Akaikeinfocriterion16.55992Sumsquaredresid64759796Schwar