计量经济学练习题答案(第七章)
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C_7
案例7.4：通过阿尔蒙法做分布滞后模型，滞后期为3，多项式阶数为2，得到如下结果：
C -71.38141 19.91206 -3.584833 0.0033
Z0T 0.661393 0.165246 4.002488 0.0015
Z1T 0.900763 0.482702 1.866083 0.0847
Z2T -0.431647 0.166337 -2.595007 0.0222 R-squared 0.996803 Mean dependent var 818.6900
Adjusted R-squared 0.996065 S.D. dependent var 279.9174
S.E. of regression 17.55873 Akaike info criterion 8.771303
Sum squared resid 4008.015 Schwarz criterion 8.967353
Log likelihood -70.55608 F-statistic 1351.083
Durbin-Watson stat 1.847312 Prob(F-statistic) 0.000000
Variable Coefficient Std. Error t-Statistic Prob.
C -71.38141 19.91206 -3.584833 0.0033
PDL01 1.130509 0.179875 6.284984 0.0000
PDL02 0.037469 0.162261 0.230919 0.8210
R-squared 0.996803 Mean dependent var 818.6900
Adjusted R-squared 0.996065 S.D. dependent var 279.9174
S.E. of regression 17.55873 Akaike info criterion 8.771303
Sum squared resid 4008.015 Schwarz criterion 8.967353
Log likelihood -70.55608 F-statistic 1351.083
Lag Distribution of X i Coefficien
t
Std. Error T-Statistic
. * | 0 0.66139 0.16525 4.00249
. *| 1 1.13051 0.17987 6.28498
. * | 2 0.73633 0.16412 4.48665
Sum of
Lags
2.00709 0.06324 31.7393
7_1
(1)做c和i的简单线性回归模型，结果如下：
C 7.363753 8.422103 0.874337 0.3949
R-squared 0.961816 Mean dependent var 172.6517
Adjusted R-squared 0.959430 S.D. dependent var 37.35341
S.E. of regression 7.523725 Akaike info criterion 6.978439
Sum squared resid 905.7030 Schwarz criterion 7.077369
Log likelihood -60.80595 F-statistic 403.0285
Durbin-Watson stat 1.168058 Prob(F-statistic) 0.000000
做e和i的一阶自回归模型，结果如下：
C 4.172912 10.53155 0.396230 0.6979
I 0.943596 0.236994 3.981521 0.0014
E(-1) 0.076357 0.220705 0.345968 0.7345 R-squared 0.953214 Mean dependent var 176.7389
Adjusted R-squared 0.946531 S.D. dependent var 34.10267
S.E. of regression 7.885697 Akaike info criterion 7.126763
Sum squared resid 870.5789 Schwarz criterion 7.273801
Log likelihood -57.57749 F-statistic 142.6190
Durbin-Watson stat 1.164644 Prob(F-statistic) 0.000000
调整后的可决系数都很好，模型拟合优度很高；两个模型都通过了F检验，但从T统计值可以看出，一阶自回归变量不显著，所以第一个模型更好。
（2）不会。
7_2
通过阿尔蒙法做滞后变量长度为4，多项式阶数为2的滞后变量模型，可得如下结果：Variable Coefficient Std. Error t-Statistic Prob.
C -35.49234 8.192884 -4.332093 0.0007
Z0 0.891012 0.174563 5.104248 0.0002
Z1 -0.669904 0.254447 -2.632783 0.0197
Z2 0.104392 0.062311 1.675338 0.1160 R-squared 0.984670 Mean dependent var 121.2322
Adjusted R-squared 0.981385 S.D. dependent var 45.63348
S.E. of regression 6.226131 Akaike info criterion 6.688517
Sum squared resid 542.7059 Schwarz criterion 6.886378
Log likelihood -56.19666 F-statistic 299.7429
Durbin-Watson stat 1.130400 Prob(F-statistic) 0.000000
各滞后变量的系数为：
C -35.49234 8.192884 -4.332093 0.0007
PDL01 -0.031228 0.123416 -0.253031 0.8039
PDL02 -0.252336 0.062441 -4.041182 0.0012
PDL03 0.104392 0.062311 1.675338 0.1160 R-squared 0.984670 Mean dependent var 121.2322
Adjusted R-squared 0.981385 S.D. dependent var 45.63348
S.E. of regression 6.226131 Akaike info criterion 6.688517
Sum squared resid 542.7059 Schwarz criterion 6.886378
Log likelihood -56.19666 F-statistic 299.7429
Durbin-Watson stat 1.130400 Prob(F-statistic) 0.000000