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1、误差修正模型：如果用两个变量，人均消费y和人均收入x（从格林的数据获得）来研究误差修正模型。令z=（yx）’，则模型为：其中，如果令，即滞后项为1，则模型为实际上为两个方程的估计：用ols命令做出的结果：gent=_ntssetttimevariable:t,1to204genly=L.y(1missingvaluegenerated)genlx=L.x(1missingvaluegenerated)regD.ylylxD.lyD.lxSource
2、SSdfMSNumberofobs=202-------------+-----------------
3、-------------F(4,197)=21.07Model
4、37251.252549312.81313Prob>F=0.0000Residual
5、87073.3154197441.996525R-squared=0.2996-------------+------------------------------AdjR-squared=0.2854Total
6、124324.568201618.530189RootMSE=21.024----------------------------------------------------------
7、--------------------D.y
8、Coef.Std.Err.tP>
9、t
10、[95%Conf.Interval]-------------+----------------------------------------------------------------ly
11、.0417242.01875532.220.027.0047371.0787112lx
12、-.0318574.0171217-1.860.064-.0656228.001908ly
13、D1.
14、.1093189.0823681.330.186-.0531173.2717552lx
15、
16、D1.
17、.0792758.05669661.400.164-.0325344.1910861_cons
18、2.5335043.7571580.670.501-4.8759099.942916这是的回归结果，其中=2.5335，b11=0.04172，b12=-0.03186，p11=0.10932，p12=0.07928同理可得的回归结果，见下regD.xlylxD.lyD.lxSource
19、SSdfMSNumberofobs=202-------------+------------------------------F(4,197)=11.18Mo
20、del
21、36530.279549132.56988Prob>F=0.0000Residual
22、160879.676197816.648101R-squared=0.1850-------------+------------------------------AdjR-squared=0.1685Total
23、197409.955201982.139082RootMSE=28.577------------------------------------------------------------------------------D.x
24、Coef.
25、Std.Err.tP>
26、t
27、[95%Conf.Interval]-------------+----------------------------------------------------------------ly
28、.037608.02549371.480.142-.0126676.0878836lx
29、-.0307729.0232732-1.320.188-.0766694.0151237ly
30、D1.
31、.4149475.1119613.710.000.1941517.6357434lx
32、D1.
33、-.1812014.0770664-2.350.
34、020-.3331825-.0292203_cons
35、11.201865.107022.190.0291.13041921.27331如果用vec命令vecyx,piVectorerror-correctionmodelSample:3-204No.ofobs=202AIC=18.29975Loglikelihood=-1839.275HQIC=18.35939Det(Sigma_ml)=277863.4SBIC=18.44715EquationParmsRMSER-sqchi2P>chi2-------------------------------
36、---------------------------------D_y420.97060.6
