计量经济学序列相关性

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1、P155９..中国1980-2007年全社会固定资产投资总额X与工业总产值Y的统计资料如下表所示。年份全社会固定资产投资（X）工业增加值（Y）年份全社会固定资产投资（X）工业增加值（Y）1980910.91996.5199417042.119480.719819612048.4199520019.324950.619821230.42162.3199622913.529447.619831430.12375.6199724941.132921.419841832.92789.0199828406.234018.419852543.23448.7199929854.7358

2、61.519863120.63967.0200032917.740033.619873791.74585.8200137213.543580.619884753.85777.2200243499.947431.319894410.46484.0200355566.654945.5199045176858.0200470477.465210.019915594.58087.1200588773.677230.819928080.110284.52006109998.291310.9199313072.314188.02007137323.9107367.2（1）当设定模型为

3、lnYt=β0+β1lnxt+μt时，是否存在序列相关。（2）若按一介自相关假设μt=ρμt-1+εt，试用广义最小二乘法估计原模型?（3）采用差分形式xt=xt-xt-1与Yt=Yt-Yt-1作为新数据，估计模型Yt*=a0+a1xt*+vt，该模型是否存在序列相关？(1)在工作文件窗口输入命令：genrlny=log(y)genrlnx=log(x)lslnyclnx，得到结果：DependentVariable:LNYMethod:LeastSquaresDate:11/22/11Time:13:25Sample:19802007Includedobservatio

4、ns:286VariableCoefficientStd.Errort-StatisticProb.C1.5884780.13422011.834920.0000LNX0.8544150.01421960.090580.0000R-squared0.992851Meandependentvar9.552256AdjustedR-squared0.992576S.D.dependentvar1.303948S.E.ofregression0.112351Akaikeinfocriterion-1.465625Sumsquaredresid0.328192Schwarzcri

5、terion-1.370468Loglikelihood22.51876F-statistic3610.878Durbin-Watsonstat0.379323Prob(F-statistic)0.000000模型为：LNY=1.588478116+0.8544154373*LNX由于ＤＷ值为0.379323，没有通过５％显著水平下的DW检验。即该模型存在序列相关性。（2）．在工作文件窗口输入命令：genrlny=log(y)genrlnx=log(x)lslnyclnxlnx(-1)lny(-1)DependentVariable:LNYMethod:LeastSqua

6、resDate:11/22/11Time:19:56Sample(adjusted):19812007Includedobservations:27afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.C0.5338570.1389573.8418860.0008LNX0.4256510.0780225.4555450.0000LNX(-1)-0.1314650.114789-1.1452710.2639LNY(-1)0.6644480.0797518.3315000.0000R-square

7、d0.998961Meandependentvar9.624593AdjustedR-squared0.998826S.D.dependentvar1.270246S.E.ofregression0.043526Akaikeinfocriterion-3.294976Sumsquaredresid0.043573Schwarzcriterion-3.103000Loglikelihood48.48218F-statistic7373.686Durbin-Watsonstat0.695752Prob(F-statistic)0.