實(shí)驗(yàn)三 多元線性回歸模型的估計(jì)和檢驗(yàn)

1、 實(shí) 驗(yàn) 報(bào) 告課程名稱： 計(jì)量經(jīng)濟(jì)學(xué) 實(shí)驗(yàn)項(xiàng)目： 實(shí)驗(yàn)三 多元線性回歸模型的 估計(jì)和檢驗(yàn) 實(shí)驗(yàn)類型：綜合性 設(shè)計(jì)性 驗(yàn)證性R專業(yè)班別： 姓 名： 學(xué) 號(hào)： 實(shí)驗(yàn)課室： 厚德樓B503 指導(dǎo)教師： 石立 實(shí)驗(yàn)日期： 2016年4月29日 廣東商學(xué)院華商學(xué)院教務(wù)處 制 一、實(shí)驗(yàn)項(xiàng)目訓(xùn)練方案小組合作：是 否R小組成員：無實(shí)驗(yàn)?zāi)康模赫莆斩嘣€性回歸模型估計(jì)和檢驗(yàn)的方法。實(shí)驗(yàn)場地及儀器、設(shè)備和材料實(shí)驗(yàn)室：普通配置的計(jì)算機(jī)，Eviews軟件及常用辦公軟件。實(shí)驗(yàn)訓(xùn)練內(nèi)容（包括實(shí)驗(yàn)原理和操作步驟）：【實(shí)驗(yàn)步驟】（一）國內(nèi)生產(chǎn)總值的增長模型：分析廣東省國內(nèi)生產(chǎn)總值的增長，根據(jù)廣東數(shù)據(jù)（數(shù)據(jù)見“表：廣東省宏觀經(jīng)

2、濟(jì)數(shù)據(jù)-第三章.xls”文件，各變量的表示按照試驗(yàn)指導(dǎo)課本上的來表示）選擇不變價(jià)GDP（GDPB）、不變價(jià)資本存量（ZC）和從業(yè)人員（RY），把GDPB作為因變量，ZC和RY作為兩個(gè)解釋變量進(jìn)行二元線性回歸分析。要求：按照試驗(yàn)指導(dǎo)課本，分別作：1作散點(diǎn)圖（GDPB同ZC，GDPB同RY）（結(jié)果控制在本頁）2進(jìn)行因果關(guān)系檢驗(yàn)（GDPB同ZC，GDPB同RY）（結(jié)果控制在本頁）Pairwise Granger Causality TestsDate: 04/29/16 Time: 14:35Sample: 1978 2005Lags: 2 Null Hypothesis:ObsF-Sta

3、tisticProb.  ZC does not Granger Cause GDPB 26 3.849390.0376 GDPB does not Granger Cause ZC 19.07482.E-05Pairwise Granger Causality TestsDate: 04/29/16 Time: 14:36Sample: 1978 2005Lags: 2 Null Hypothesis:ObsF-StatisticProb.  RY does not Granger Cause GDPB

4、 26 0.096030.9088 GDPB does not Granger Cause RY 4.728560.02023作GDPB同ZC和RY的多元線性回歸，寫出模型估計(jì)的結(jié)果，并分析模型檢驗(yàn)是均否通過？（三個(gè)檢驗(yàn)）（結(jié)果控制在本頁）Dependent Variable: GDPBMethod: Least SquaresDate: 04/29/16 Time: 14:40Sample: 1978 2005Included observations: 28CoefficientStd. Errort-StatisticProb. 

5、0;ZC0.3771700.00835545.142650.0000RY0.3536890.0427578.2720280.0000C-800.5997113.7822-7.0362470.0000R-squared0.999152    Mean dependent var1754.112Adjusted R-squared0.999085    S.D. dependent var1683.912S.E. of regression50.94570    Akaike i

6、nfo criterion10.80035Sum squared resid64886.61    Schwarz criterion10.94309Log likelihood-148.2050    Hannan-Quinn criter.10.84399F-statistic14736.32    Durbin-Watson stat0.443892Prob(F-statistic)0.000000得到估計(jì)方程估計(jì)方程的判定系數(shù)R2接近1；參數(shù)顯著性t檢驗(yàn)值均大于2；方

7、程顯著性F檢驗(yàn)顯著。調(diào)整的判定系數(shù)為0.999085，比下面的一元回歸有明顯改善。4將建立的二元回歸模型（GDPB同ZC和RY）同一元回歸模型（GDPB同ZC、GDPB同RY）相比較，分析優(yōu)點(diǎn)。（結(jié)果控制在本頁）一元回歸模型：Dependent Variable: GDBMethod: Least SquaresDate: 04/29/16 Time: 14:52Sample: 1978 2005Included observations: 28CoefficientStd. Errort-StatisticProb.  ZC0.4428980.00489690.46000

8、0.0000C133.972125.570545.2393140.0000R-squared0.996833    Mean dependent var1754.112Adjusted R-squared0.996711    S.D. dependent var1683.912S.E. of regression96.57302    Akaike info criterion12.04722Sum squared resid242485.0  

9、0; Schwarz criterion12.14238Log likelihood-166.6611    Hannan-Quinn criter.12.07632F-statistic8183.011    Durbin-Watson stat0.167556Prob(F-statistic)0.000000Dependent Variable: GDPBMethod: Least SquaresDate: 04/29/16 Time: 14:54Sample: 1978 2005Included o

10、bservations: 28CoefficientStd. Errort-StatisticProb.  RY2.1893170.11773518.595280.0000C-5519.137400.4253-13.783190.0000R-squared0.930067    Mean dependent var1754.112Adjusted R-squared0.927377    S.D. dependent var1683.912S.E. of regression453.7907&#

11、160;   Akaike info criterion15.14190Sum squared resid5354077.    Schwarz criterion15.23706Log likelihood-209.9866    Hannan-Quinn criter.15.17099F-statistic345.7844    Durbin-Watson stat0.078643Prob(F-statistic)0.000000問題3的二元

12、回歸模型與一元回歸模型比較，可以得出估計(jì)方程的判定系數(shù)R2、參數(shù)顯著性t檢驗(yàn)、方程顯著性F檢驗(yàn)和調(diào)整的判定系數(shù)有些比一元回歸有改進(jìn)，表明這些確實(shí)應(yīng)該進(jìn)行二元回歸。 5結(jié)合相關(guān)的經(jīng)濟(jì)理論，分析估計(jì)的二元回歸模型的經(jīng)濟(jì)意義。（結(jié)果控制在本頁）因?yàn)镚DPB=1.669146*ZC-0.057889*RY-476.1072系數(shù)說明，不變價(jià)資本存量ZC每增加1.669146個(gè)單位，同時(shí)從業(yè)人員RY0.057889個(gè)單位，國內(nèi)生產(chǎn)總值GDPS增加1個(gè)單位，因此符合經(jīng)濟(jì)理論。（二）宏觀經(jīng)濟(jì)模型：根據(jù)廣東數(shù)據(jù)，研究廣東省居民消費(fèi)行為、固定資產(chǎn)投資行為、貨物和服務(wù)凈出口行為和存貨行為，分別建立居民消費(fèi)模型、固定

13、資產(chǎn)投資模型、貨物和服務(wù)凈出口模型和存貨增加模型。要求：按照試驗(yàn)指導(dǎo)課本，分別作出以下模型，并對需要改進(jìn)的模型進(jìn)行改進(jìn)。寫出最終估計(jì)的模型結(jié)果，并結(jié)合相關(guān)的經(jīng)濟(jì)理論，分析模型的經(jīng)濟(jì)意義。（數(shù)據(jù)見“表：廣東省宏觀經(jīng)濟(jì)數(shù)據(jù)-第三章.xls”文件，各變量的表示按照試驗(yàn)指導(dǎo)課本上的來表示。）1 居民消費(fèi)模型（結(jié)果控制在本頁）Pairwise Granger Causality TestsDate: 04/29/16 Time: 15:15Sample: 1978 2005Lags: 2 Null Hypothesis:ObsF-StatisticProb.  LB doe

14、s not Granger Cause XFJ 26 7.190100.0042 XFJ does not Grager Cause LB 5.455160.0124Dependent Variable: XFJMethod: Least SquaresDate: 04/29/16 Time: 15:17Sample: 1978 2005Included observations: 28VariableCoefficientStd. Errort-StatisticProb.  LB0.7408080.03289322.521990.

15、0000YY0.3620750.0464527.7946920.0000C46.9151336.602821.2817350.2117R-squared0.997789    Mean dependent var2362.277Adjusted R-squared0.997612    S.D. dependent var2565.722S.E. of regression125.3710    Akaike info criterion12.60139Sum squared

16、 resid392946.9    Schwarz criterion12.74412Log likelihood-173.4194    Hannan-Quinn criter.12.64502F-statistic5641.541    Durbin-Watson stat1.122075Prob(F-statistic)0.0000002固定資產(chǎn)投資模型（結(jié)果控制在本頁）Dependent Variable: TZGMethod: Least SquaresDate:

17、04/29/16 Time: 15:21Sample: 1978 2005Included observations: 28VariableCoefficientStd. Errort-StatisticProb.  ZJ1.1118640.2431524.527160.0001YY0.4316920.0525668.2123520.0000CZ0.1432100.4053080.3533380.7269C31.2762527.825171.1240270.2721R-squared0.997573    Mean dependent

18、 var1628.997Adjusted R-squared0.997270    S.D. dependent var2003.852S.E. of regression104.7010    Akaike info criterion12.27166Sum squared resid263095.1    Schwarz criterion12.46197Log likelihood-167.8032    Hannan-Quinn

19、 criter.12.32984F-statistic3288.646    Durbin-Watson stat1.298515Prob(F-statistic)0.0000003貨物和服務(wù)凈流出模型（結(jié)果控制在本頁）Dependent Variable: CKMethod: Least SquaresDate: 04/29/16 Time: 15:25Sample: 1978 2005Included observations: 28VariableCoefficientStd. Errort-StatisticProb.  GD

20、P0.0882390.00552515.970670.0000LL-42.6598911.83064-3.6058800.0014C202.217395.250382.1230080.0438R-squared0.950564    Mean dependent var427.0379Adjusted R-squared0.946609    S.D. dependent var651.0303S.E. of regression150.4304    Akaike info

21、 criterion12.96584Sum squared resid565732.7    Schwarz criterion13.10857Log likelihood-178.5217    Hannan-Quinn criter.13.00947F-statistic240.3512    Durbin-Watson stat1.504205Prob(F-statistic)0.0000004存貨增加模型（結(jié)果控制在本頁）Dependent Variable: TZC

22、Method: Least SquaresDate: 04/29/16 Time: 15:27Sample: 1978 2005Included observations: 28VariableCoefficientStd. Errort-StatisticProb.  CX0.0306330.0047396.4638880.0000PSL1.7808060.1988598.9551120.0000C-209.054645.84519-4.5600130.0001R-squared0.952473    Mean dependent

23、var424.3629Adjusted R-squared0.948671    S.D. dependent var392.2360S.E. of regression88.86446    Akaike info criterion11.91306Sum squared resid197422.3    Schwarz criterion12.05579Log likelihood-163.7828    Hannan-Quinn criter.11.95669F-statistic250.5102    Durbin-Watson stat2.164713Prob(F-statistic)0.000000二、實(shí)驗(yàn)總結(jié)與評價(jià)實(shí)驗(yàn)總結(jié)（包括實(shí)