第七章练习题及参考解答(第四版)计量经济学

第七章练习题及参考解答7.1表7.4中给出了1981-2015年中国城镇居民人均年消费支出(PCE)和城镇居民人均可支配收入(PDI)数据。表7.41981-2015年中国城镇居民消费支出(PCE)和可支配收入(PDI)数据（单位：元）年度城镇居民人均消费支出PCE城镇居民人均可支配收入PDI年度城镇居民人均消费支出PCE城镇居民人均可支配收入PDI1981456.80500.4019994615.915854.021982471.00535.3020004998.006280.001983505.90564.6020015309.016859.601984559.40652.1020026029.887702.801985673.20739.1020036510.948472.201986799.00900.9020047182.109421.601987884.401002.1020057942.8810493.0019881104.001180.2020068696.5511759.5019891211.001373.9320079997.4713785.8019901278.901510.20200811242.8515780.7619911453.801700.60200912264.5517174.6519921671.702026.60201013471.4519109.4419932110.802577.40201115160.8921809.7819942851.303496.20201216674.3224564.7219953537.574283.00201318022.6426955.1019963919.474838.90201419968.0829381.0019974185.645160.30201521392.3631790.3119984331.615425.10估计下列模型：tttttttPCEBPDIBBPCEPDIAAPCE132121(1)解释这两个回归模型的结果。(2)短期和长期边际消费倾向（MPC）是多少？分析该地区消费同收入的关系。(3)建立适当的分布滞后模型，用库伊克变换转换为库伊克模型后进行估计，并对估计结果进行分析判断。【练习题7.1参考解答】(1)解释这两个回归模型的结果。DependentVariable:PCEMethod:LeastSquaresDate:03/10/18Time:09:12Sample:19812005Includedobservations:25VariableCoefficientStd.Errort-StatisticProb.C149.097524.567346.0689330.0000PDI0.7575270.005085148.98400.0000R-squared0.998965Meandependentvar2983.768AdjustedR-squared0.998920S.D.dependentvar2364.412S.E.ofregression77.70773Akaikeinfocriterion11.62040Sumsquaredresid138885.3Schwarzcriterion11.71791Loglikelihood-143.2551F-statistic22196.24Durbin-Watsonstat0.531721Prob(F-statistic)0.000000收入跟消费间有显著关系。收入每增加1元，消费增加0.76元。DependentVariable:PCEMethod:LeastSquaresDate:03/10/18Time:09:13Sample(adjusted):19822005Includedobservations:24afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.C147.688626.735795.5240010.0000PDI0.6791230.0699599.7073850.0000PCE(-1)0.1110350.1001861.1082870.2803R-squared0.999012Meandependentvar3089.059AdjustedR-squared0.998918S.D.dependentvar2354.635S.E.ofregression77.44504Akaikeinfocriterion11.65348Sumsquaredresid125952.4Schwarzcriterion11.80074Loglikelihood-136.8418F-statistic10620.10Durbin-Watsonstat0.688430Prob(F-statistic)0.000000(2)短期和长期边际消费倾向（MPC）是多少？分析该地区消费同收入的关系。短期MPC=0.68，长期MPC=0.679/(1-0.111)=0.764(3)建立适当的分布滞后模型，用库伊克变换转换为库伊克模型后进行估计，并对估计结果进行分析判断。在滞后1-5期内，根据AIC最小，选择滞后5期，其回归结果如下:DependentVariable:PCEMethod:LeastSquaresDate:03/10/18Time:09:25Sample(adjusted):19862005Includedobservations:20afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.C167.959033.277935.0471580.0002PDI0.7079330.1248785.6689810.0001PDI(-1)0.2252720.2742930.8212830.4263PDI(-2)-0.1789110.316743-0.5648470.5818PDI(-3)-0.0695250.328725-0.2114980.8358PDI(-4)0.2648740.3004700.8815320.3940PDI(-5)-0.2269660.145557-1.5592920.1429R-squared0.999382Meandependentvar3596.396AdjustedR-squared0.999096S.D.dependentvar2254.922S.E.ofregression67.79561Akaikeinfocriterion11.54009Sumsquaredresid59751.18Schwarzcriterion11.88860Loglikelihood-108.4009F-statistic3501.011Durbin-Watsonstat1.471380Prob(F-statistic)0.000000当期收入对消费有显著影响，但各滞后期影响并不显著。不显著可能是分布滞后模型直接估计时共线性造成的，也可能是真没显著影响。库伊克模型估计结果见上表，PCE(-1)部分回归结果t检验不显著。7.2表7.5中给出了中国1980-2016年固定资产投资Y与社会消费品零售总额X的资料。取阿尔蒙多项式的次数m=2，运用阿尔蒙多项式变换法估计以下分布滞后模型：011223344tttttttYXXXXXu表7.5中国1980-2016年固定资产投资Y与社会零售总额X数据（单位：亿元）年份固定资产投资Y社会消费品零售总额X年份固定资产投资Y社会消费品零售总额X1980910.92140.0199929854.735647.91981961.02350.0200032917.739105.719821230.42570.0200137213.543055.419831430.12849.4200243499.948135.919841832.93376.4200355566.652516.319852543.24305.0200470477.459501.019863120.64950.0200588773.667176.619873791.75820.02006109998.276410.019884753.87440.02007137323.989210.019894410.48101.42008172828.4114830.119904517.08300.12009224598.8132678.419915594.59415.62010251683.8156998.419928080.110993.72011311485.1183918.6199313072.314270.42012374694.7210307.0199417042.118622.92013446294.1237809.9199520019.323613.82014512020.7271896.1199622913.528360.22015561999.8300930.8199724941.131252.92016606465.7332316.3199828406.233378.1【练习题7.2参考解答】直接估计结果如下：DependentVariable:YMethod:LeastSquaresDate:03/10/18Time:09:32Sample(adjusted):19842016Includedobservations:33afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.C-23633.423701.825-6.3842600.0000X0.4619270.9181980.5030800.6190X(-1)2.0865661.6859581.2376140.2265X(-2)-0.5432541.708205-0.3180260.7529X(-3)1.1505771.8438080.6240220.5379X(-4)-1.3173211.283331-1.0264860.3138R-squared0.993755Meandependentvar128264.7AdjustedR-squared0.992598S.D.dependentvar180131.0S.E.ofregression15497.23Akaikeinfocriterion22.29768Sumsquaredresid6.48E+09Schwarzcriterion22.56977Loglikelihood-361.9117F-statistic859.2660Durbin-Watsonstat0.229807Prob(F-statistic)0.000000使用阿尔蒙变换估计结果如下：DependentVariable:YMethod:LeastSquaresDate:03/10/18Time:09:37Sample(adjusted):19842016Includedobservations:33afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.C-23683.133619.054-6.5440100.0000Z00.8016780.6237781.2851980.2089Z10.4823171.3667070.3529050.7267Z2-0.2333220.358793-0.6502980.5206R-squared0.993572Meandependentvar128264.7AdjustedR-squared0.992907S.D.dependentvar180131.0S.E.ofregression1517