计量经济学第六章课后作业

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1、6.1美国1960〜1995年36年个人实际可支配收入X和个人实际消费支出Y的数据。将数据录入可得ViewProcObjectPrintNameFreezeDefaultvSortobsXY1962169.0000153.00001963176.0000160.00001964188.0000169.00001965200.0000180.00001966211.0000190.00001967220.0000196.00001968230.0000207.00001969237.0000215.00001970247.0000220.00001971256

2、.0000228.00001972268.0000242.00001973287.0000253.00001974285.0000251.00001975290.0000257.00001976301.0000271.00001977311.0000283.00001978326.0000295.00001979335.0000302.00001980337.0000301.00001981345.0000305.00001982348.0000308.00001983孙annnn2dnnnnACCA<1)用普通最小二乘法佔计模型DependentVaria

3、ble:YMethod:LeastSquaresDate:11/09/14Time:10:26Sample:19601995Ineludedobservations:36VariableCoefficientStd.Errort-StatisticProb.c-9.4287452.504347-3.7649510.0006X0.9358660.007467125.34110.0000R-squared0.997841Meandependentvar289.9444AdjustedR-squared0.997777S.D.dependentvar95.8212

4、5S.E.o仃eg「ession4.517862Akaikeinfocriterion5.907908Sumsquaredresid693.9767Schwarzcriterion5.995881Loglikelihood•104.3423Harinan-Quirincriter.5.938613F-statistic15710.39Durbin-Watsonstat0.523428Prob(F-statistic)0.000000由上图可得，估计模型为：Y=-9.428745+0.935866XT=(-3.764951)(125.3411)F=15710.

5、39R2=0.997841DW=0.5234281)检验口相关问题——DW检验込间存在正相根据DW=0.523428<£=1.411,可知此回归模型中误差项山,

6、12关关系。2)用适当的方法消除模型中的问题广义差分法首先得到耳和匕」的回归结果。如下图所示：DependentVariable:EMethod:LeastSquaresDate:11/09/14Time:11:00Sample(adjusted):19601994Ineludedobservations:35afteradjustmentsVariableCoefficientStd.Errort

7、-StatisticProb.E(1)0.7215940.1175436.1389950.0000R-squared0.524963Meandependentvar-0.172764AdjustedR-squared0.524963S・D.dependentva「4.393743SEof「egression3.028297Akaikeinfocriterion5.082033Sumsquaredresid311.7997Schwarzcriterion5.126472Loglikelihood・87.93558HannarpQuirincriter.5.09

8、7373Durbin-Watsonstat2.019882由上图回归结果可知，冋归方程为ef=0.721594匕.]故p=0.721594,对原模型进行广义差分，得到广义差分方差为Y~Yt_}=p,(l-0.721594)+卩2(X+q对广义差分方程进行回归，。可得以下回归结果：DependentVariable:Y-0.721594*Y(-1)Method:LeastSquaresDate:11/10/14Time:08:43Sample(adjusted):19611995Includedobservations:35afteradjustmentsVa

9、riableCoefficientStd.Error