计量经济学报告

计量经济学报告计量经济学报告课程名称计量经济学班级与班级代码专业国际经济与贸易任课教师学号：姓名：日期：年月日计量经济学报告2研究储蓄额与GDP之间的关系中国储蓄存款总额（Y，亿元）与GDP（亿元）数据如下表。表1年GDP储蓄(Y)年GDP储蓄(Y)19722518.1105.2198711962.53081.419732720.9121.2198814928.33822.219742789.9136.5198916909.25196.419752997.3149.6199018547.97119.819762943.7159.1199121617.89141.619773201.9181.6199226638.11175819783624.1210.6199334634.415203.519794038.2281199446759.421518.819804517.8399.5199558478.129662.319814862.4523.7199667884.638520.819825294.7675.4199774462.646279.819835934.5892.5199878345.253407.5198471711214.7199982067.4659621.819858964.41622.6200089442.264332.4198610202.22238.5200195933.373762.4第一步，散点图（图1）图1计量经济学报告3第二步，建立数学模型由经济理论知，中国储蓄存款总额受GDP的影响，当GDP增加时，中国储蓄存款总额也随着增加，它们之间具有正向的同步变动趋势。中国储蓄存款总额除受GDP的影响外，还受到其他一些变量的影响及随机因素的影响，将其他变量及随机变量的影响均归并到随机变量u中，根据GDP与Y的样本数据，作GDP与Y之间的散点图可以看出，它们的变化趋势是线性的，由此建立中国储蓄存款总额Y与GDP之间的一元线性回归模型：iiiGDPY10第三步，估计参数样本回归模型为：tttGDPY10下面是Eviews的估计结果（表2）：表2DependentVariable:YMethod:LeastSquaresDate:12/13/11Time:12:27Sample:19722001Includedobservations:30CoefficientStd.Errort-StatisticProb.C-4366.305932.1408-4.6841690.0001GDP0.7185770.02291831.354660.0000R-squared0.972308Meandependentvar15044.68AdjustedR-squared0.971319S.D.dependentvar22537.94S.E.ofregression3816.918Akaikeinfocriterion19.39661计量经济学报告4Sumsquaredresid4.08E+08Schwarzcriterion19.49003Loglikelihood-288.9492Hannan-Quinncriter.19.42650F-statistic983.1150Durbin-Watsonstat0.206704Prob(F-statistic)0.000000GDPY718577.0305.4366ˆ(-4.68)(31.35),R2=0.9723，DW=0.206704，T=30第四步，统计检验1.拟合优度样本可决系数为R-squared=0.972308修正样本可决系数为：AdjustedR-squared=0.971319即R2=0.972308，R2=0.971319计算结果表明，估计的样本回归方程较好地拟合了样本观测值。2.回归系数估计值的显著性检验——t检验提出检验的原假设为0H：2,1,0ii得t统计量为0的t-Statistic=-4.6841691的t-Statistic=31.35466对于给出显著性水平α=0.05，查自由度v=30-2=28的t分布表，得临界值t0.025（28）=2.05，|t0|=4.684169＞t0.025（28）=2.05，t1=31.35466＞t0.025（28）=2.05，故回归系数均显著不为零，回规模型中应包含常计量经济学报告5数项，GDP对Y有显著影响。从以上的评价可以看出，此模型是比较好的。3.F检验提出检验的原假设为0H：0-1=0对立假设为1H：至少有一个i不等于零(i=1,2)F-statistic=983.1150对于给定的显著性水平α=0.05，查出分子自由度为2，分母自由度为27的F分布上侧分位数F0.05（2，27）=3.35因为F=983.1150＞3.35,所以否定H0，总体回归方程是显著的，即在中国储蓄存款总额Y与GDP之间存在显著的线性性。第五步，检验异方差GDPY718577.0305.4366ˆ(-4.68)(31.35),R2=0.9723，DW=0.206704，T=301．利用残差图判断。建立残差关于GDP的散点图，如图5.1，可以发现随着GDP增加，残差呈现不断增大的趋势，即存在递增性的异方差。图2计量经济学报告62．用White方法检验是否存在异方差，得表3HeteroskedasticityTest:WhiteF-statistic10.36874Prob.F(2,27)0.0005Obs*R-squared13.03220Prob.Chi-Square(2)0.0015ScaledexplainedSS13.06975Prob.Chi-Square(2)0.0015TestEquation:DependentVariable:RESID^2Method:LeastSquaresDate:12/15/11Time:21:15Sample:19722001Includedobservations:30CoefficientStd.Errort-StatisticProb.C-57307.365222451.-0.0109730.9913GDP650.9958433.64191.5012290.1449GDP^2-0.0023760.004863-0.4885350.6291R-squared0.434407Meandependentvar13597608AdjustedR-squared0.392511S.D.dependentvar20985874S.E.ofregression16356723Akaikeinfocriterion36.15282Sumsquaredresid7.22E+15Schwarzcriterion36.29294计量经济学报告7Loglikelihood-539.2922Hannan-Quinncriter.36.19764F-statistic10.36874Durbin-Watsonstat1.029242Prob(F-statistic)0.000456因为只含有一个解释变量，所以White检验辅助回归式中应该包括两个解释变量。辅助回归式估计结果如下：22002376.09958.65036.57307ˆtttGDPGDP(-0.011)(1.50)(-0.49)R2=0.4344,T=30TR2=30*0.4344=13.03220＞0.6)2(025.0，所以结论是该回归模型中存在异方差。3.克服异方差异方差修正如下：表4DependentVariable:YMethod:LeastSquaresDate:12/14/11Time:16:27Sample:19722001Includedobservations:30Weightingseries:1/GDPCoefficientStd.Errort-StatisticProb.C-1584.144176.6377-8.9683210.0000GDP0.5256390.03388215.513990.0000WeightedStatisticsR-squared0.895788Meandependentvar2121.702AdjustedR-squared0.892066S.D.dependentvar1703.101S.E.ofregression880.7714Akaikeinfocriterion16.46381Sumsquaredresid21721230Schwarzcriterion16.55723Loglikelihood-244.9572Hannan-Quinncriter.16.49370F-statistic240.6838Durbin-Watsonstat0.082459Prob(F-statistic)0.000000计量经济学报告8UnweightedStatisticsR-squared0.890189Meandependentvar15044.68AdjustedR-squared0.886267S.D.dependentvar22537.94S.E.ofregression7600.750Sumsquaredresid1.62E+09Durbin-Watsonstat0.075333再进行White检验：表5HeteroskedasticityTest:WhiteF-statistic2.453316Prob.F(2,27)0.1050Obs*R-squared4.613428Prob.Chi-Square(2)0.0996ScaledexplainedSS2.426664Prob.Chi-Square(2)0.2972得ˆ=0.1050大于0.05，所以认为已经消除了回归模型的异方差性。得输出结果，整理后得到回归式为：ttGDPY53.0144.1584ˆt(-8.97)(15.51)R2=0.895788,DW=0.082459第六步，检验误差项ut是否存在自相关1.已知DW=0.082459，若给定α=0.05，查表可得DW检验临界值dL=1.35，dU=1.49。因为DW=0.082459＜1.35，依据判别规则，认为误差项ut存在严重的正自相关。图3残差分布图计量经济学报告92.用LM检验判断是否存在自相关设定滞后期为一阶，得到LM检验结果表6Breusch-GodfreySerialCorrelationLMTest:F-statistic195.2096Prob.F(1,27)0.0000Obs*R-squared26.35479Prob.Chi-Square(1)0.0000TestEquation:DependentVariable:RESIDMethod:LeastSquaresDate:12/14/11Time:16:39Sample:19722001Includedobservations:30Presamplemissingvaluelaggedresidualssettozero.Weightseries:1/GDPCoefficientStd.Errort-StatisticProb.C-90.4259463.03508-1.4345340.1629GDP0.0175370.0120921.4502230.1585RESID(-1)1.1382960.08147113.971740.0000WeightedStatistics计量经济学报告10R-squared0.878493Meandependentvar-3.18E-13AdjustedR-squared0.869493S.D.dependentvar865.4524S.E.ofregression312.6517Akaikeinfocriterion14.42270Sumsquaredresid2639280.Schwar