计量经济学临时文件

P1

书P484,题123

P1.1

输入数据

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data y x

使用一元线性回归,最小二乘法估计方式

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ls y c x

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Dependent Variable: Y				
Method: Least Squares
Date: 05/07/21 Time: 15:43
Sample: 1978 2004
Included observations: 27

Variable Coefficient Std. Error t-Statistic Prob.

C 103.3241 42.92707 2.406968 0.0238
X 0.000636 3.78E-05 16.82932 0.0000

R-squared 0.918891 Mean dependent var 532.3441
Adjusted R-squared 0.915646 S.D. dependent var 617.9120
S.E. of regression 179.4645 Akaike info criterion 13.28902
Sum squared resid 805187.8 Schwarz criterion 13.38501
Log likelihood -177.4018 Hannan-Quinn criter. 13.31756
F-statistic 283.2261 Durbin-Watson stat 0.635653
Prob(F-statistic) 0.000000


P1.3

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Forecast

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ls x c y

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2006
XF 4042280.901851338
XF1 340383.1008128138

置信参数95%,注意单位更换

P2

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ls y c x

Dependent Variable: Y
Method: Least Squares
Date: 05/07/21 Time: 16:31
Sample: 1 30
Included observations: 30

Variable Coefficient Std. Error t-Statistic Prob.

C 5050.958 26836.70 0.188211 0.8521
X 377.7625 5.815969 64.95264 0.0000

R-squared 0.993407 Mean dependent var 604572.7
Adjusted R-squared 0.993171 S.D. dependent var 1670268.
S.E. of regression 138023.1 Akaike info criterion 26.57257
Sum squared resid 5.33E+11 Schwarz criterion 26.66598
Log likelihood -396.5886 Hannan-Quinn criter. 26.60245
F-statistic 4218.845 Durbin-Watson stat 1.975994
Prob(F-statistic) 0.000000

ls x c y
Dependent Variable: X
Method: Least Squares
Date: 05/07/21 Time: 16:33
Sample: 1 30
Included observations: 30

Variable Coefficient Std. Error t-Statistic Prob.

C -2.819050 70.84937 -0.039789 0.9685
Y 0.002630 4.05E-05 64.95264 0.0000

R-squared 0.993407 Mean dependent var 1587.033
Adjusted R-squared 0.993171 S.D. dependent var 4406.876
S.E. of regression 364.1636 Akaike info criterion 14.69742
Sum squared resid 3713225. Schwarz criterion 14.79084
Log likelihood -218.4614 Hannan-Quinn criter. 14.72731
F-statistic 4218.845 Durbin-Watson stat 1.976141
Prob(F-statistic) 0.000000

XCY图

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P3

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ls y2 c y1

Y1是income,Y2是consumption。

Dependent Variable: Y2
Method: Least Squares
Date: 05/07/21 Time: 16:37
Sample: 1 31
Included observations: 31

Variable Coefficient Std. Error t-Statistic Prob.

C 238.4590 275.9627 0.864099 0.3946
Y1 0.746818 0.032099 23.26623 0.0000

R-squared 0.949151 Mean dependent var 6433.181
Adjusted R-squared 0.947398 S.D. dependent var 1761.371
S.E. of regression 403.9738 Akaike info criterion 14.90292
Sum squared resid 4732651. Schwarz criterion 14.99543
Log likelihood -228.9952 Hannan-Quinn criter. 14.93308
F-statistic 541.3175 Durbin-Watson stat 1.220884
Prob(F-statistic) 0.000000

P15

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data x1 x2 y
ls y c x1 x2

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算出方程参数

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Dependent Variable: Y				
Method: Least Squares
Date: 05/14/21 Time: 14:56
Sample: 1980 1995
Included observations: 16

Variable Coefficient Std. Error t-Statistic Prob.

C 14.99672 1.913073 7.839074 0.0000
X1 -0.003516 0.001960 -1.793971 0.0961
X2 0.001433 0.001834 0.781664 0.4484

R-squared 0.858951 Mean dependent var 10.49813
Adjusted R-squared 0.837252 S.D. dependent var 2.445464
S.E. of regression 0.986551 Akaike info criterion 2.978158
Sum squared resid 12.65269 Schwarz criterion 3.123018
Log likelihood -20.82526 Hannan-Quinn criter. 2.985576
F-statistic 39.58341 Durbin-Watson stat 1.160868
Prob(F-statistic) 0.000003

y=14.99672+-0.003516*x1+0.001433*x2

不对,是

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Dependent Variable: Y				
Method: Least Squares
Date: 05/14/21 Time: 15:21
Sample: 1980 1995
Included observations: 16

Variable Coefficient Std. Error t-Statistic Prob.

C 155.6083 578.3793 0.269042 0.7921
X1 0.825816 0.063573 12.99003 0.0000
X2 -56.43329 31.45720 -1.793971 0.0961

R-squared 0.989437 Mean dependent var 2952.175
Adjusted R-squared 0.987811 S.D. dependent var 1132.051
S.E. of regression 124.9807 Akaike info criterion 12.66156
Sum squared resid 203062.2 Schwarz criterion 12.80642
Log likelihood -98.29245 Hannan-Quinn criter. 12.66897
F-statistic 608.8292 Durbin-Watson stat 0.402019
Prob(F-statistic) 0.000000

y=155.6083+0.825816x1-56.43329x2

置信区间计算:


EX3-16

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P1

Statics

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P2

View-Covarience Analysis

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P3

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ls y c x1 x2 x3 x4 x5 x6
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Dependent Variable: Y				
Method: Least Squares
Date: 05/28/21 Time: 15:48
Sample: 1 25
Included observations: 25

Variable Coefficient Std. Error t-Statistic Prob.

C -1161.575 421.6408 -2.754892 0.0130
X1 2.264390 1.704604 1.328397 0.2006
X2 0.038527 0.007639 5.043484 0.0001
X3 0.140766 0.038521 3.654291 0.0018
X4 221.0603 50.72874 4.357693 0.0004
X5 286.2107 161.0874 1.776742 0.0925
X6 4.312653 4.020409 1.072690 0.2976

R-squared 0.919782 Mean dependent var 3374.568
Adjusted R-squared 0.893043 S.D. dependent var 1313.068
S.E. of regression 429.4303 Akaike info criterion 15.19429
Sum squared resid 3319387. Schwarz criterion 15.53558
Log likelihood -182.9286 Hannan-Quinn criter. 15.28895
F-statistic 34.39807 Durbin-Watson stat 1.853874
Prob(F-statistic) 0.000000

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经济学含义:

销售结果和市场潜力、销售区域广告费用关联相对较小,与市场份额和市场份额的变化值关联性相对强。


计量经济学临时文件
http://hexo.init-new-world.com/ji-liang-jing-ji-xue-lin-shi-wen-jian
Author
John Doe
Posted on
May 7, 2021
Licensed under