eviews面板數(shù)據(jù)實(shí)例分析(包會(huì))

1、1.已知19962002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的居民家庭人均消費(fèi)（cp，不變價(jià)格）和人均收入（0,不變價(jià)格）居民，利用數(shù)據(jù)（1）建立面板數(shù)據(jù)（paneldata）工作文件；（2）定義序列名并輸入數(shù)據(jù)；（3）估計(jì)選擇面板模型；（4）面板單位根檢驗(yàn)。年人均消費(fèi)（consume）和人均收入（income）數(shù)據(jù)以及消費(fèi)者價(jià)格指數(shù)（p）分別見表9.1，9.2和9.3。表9.119962002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的居民家庭人均消費(fèi)（元）數(shù)據(jù)人均消費(fèi)1996199719981999200020012002CONSUMEAH3607.433693.553777.413901.81

2、4232.984517.654736.52CONSUMEBJ5729.526531.816970.837498.488493.498922.7210284.6CONSUMEFJ4248.474935.955181.455266.695638.746015.116631.68CONSUMEHB3424.354003.713834.434026.34348.474479.755069.28CONSUMEHLJ3110.923213.423303.153481.743824.444192.364462.08CONSUMEJL3037.323408.033449.743661.684020.87433

3、7.224973.88CONSUMEJS4057.54533.574889.435010.915323.185532.746042.6CONSUMEJX2942.113199.613266.813482.333623.563894.514549.32CONSUMELN3493.023719.913890.743989.934356.064654.425342.64CONSUMENMG2767.843032.33105.743468.993927.754195.624859.88CONSUMESD3770.994040.634143.964515.0550225252.415596.32CONS

4、UMESH6763.126819.946866.418247.698868.199336.110464CONSUMESX3035.593228.713267.73492.983941.874123.014710.96CONSUMETJ4679.615204.155471.015851.536121.046987.227191.96CONSUMEZJ5764.276170.146217.936521.547020.227952.398713.08表9.219962002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的居民家庭人均收入（元）數(shù)據(jù)人均收入1996199719981999200020012002

5、INCOMEAH4512.774599.274770.475064.65293.555668.86032.4INCOMEBJ7332.017813.168471.989182.7610349.6911577.7812463.92INCOMEFJ5172.936143.646485.636859.817432.268313.089189.36INCOMEHB4442.814958.675084.645365.035661.165984.826679.68INCOMEHLJ3768.314090.724268.54595.144912.885425.876100.56INCOMEJL3805.53

6、4190.584206.644480.0148105340.466260.16INCOMEJS5185.795765.26017.856538.26800.237375.18177.64INCOMEJX3780.24071.324251.424720.585103.585506.026335.64INCOMELN4207.234518.14617.244898.615357.795797.016524.52INCOMENMG3431.813944.674353.024770.535129.055535.896051INCOMESD4890.285190.795380.085808.966489

7、.977101.087614.36INCOMESH8178.488438.898773.110931.6411718.0112883.4613249.8INCOMESX3702.693989.924098.734342.614724.115391.056234.36INCOMETJ5967.716608.397110.547649.838140.58958.79337.56INCOMEZJ6955.797358.727836.768427.959279.1610464.6711715.6表9.319962002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的消費(fèi)者物價(jià)指數(shù)物價(jià)指數(shù)199619971998

8、1999200020012002PAH109.9101.310097.8100.7100.599PBJ111.6105.3102.4100.6103.5103.198.2PFJ105.9101.799.799.1102.198.799.5PHB107.1103.598.498.199.7100.599PHLJ107.1104.4100.496.898.3100.899.3PJL107.2103.799.29898.6101.399.5PJS109.3101.799.498.7100.1100.899.2PJX108.410210198.6100.399.5100.1PLN107.9103.19

9、9.398.699.910098.9PNMG107.6104.599.399.8101.3100.6100.2PSD109.6102.899.499.3100.2101.899.3PSH109.2102.8100101.5102.5100100.5PSX107.9103.198.699.6103.999.898.4PTJ109103.199.598.999.6101.299.6PZJ107.9102.899.798.810199.899.1（1）建立面板數(shù)據(jù)工作文件首先建立工作文件。打開工作文件后，過程如下：建立面板數(shù)據(jù)庫。在窗口中輸入15個(gè)不同省級(jí)地區(qū)的標(biāo)識(shí)。2）定義序列名并輸入數(shù)據(jù)（3）估

10、計(jì)、選擇面板模型打開一個(gè)pool窗口，先輸入變量后綴（所要使用的變量）。點(diǎn)擊Estimate,打開估計(jì)窗口。Pool:POOL1lorkfile:UNTITLED:Untitled回岡ZJA.混合模型的估計(jì)方法左邊的Common表示相同系數(shù)，即表示不同個(gè)體有相同的斜率。得到如下輸出結(jié)果：DependentVariable:CP?Method:PooledLeastSquaresDate:07/02/08Time:13:13Sample:19962002Includedobservations:7Cross-sectionsincluded:15Totalpool(balanced)observ

11、ations:105VariableCoefficientStd.Errort-StatisticProb.C129.631363.692592.0352650.0444IP?0.7587260.00952279.681890.0000R-squared0.984036Meandependentvar4917.608AdjustedR-squared0.983881S.D.dependentvar1704.704S.E.ofregression216.4270Akaikeinfocriterion13.61125Sumsquaredresid4824588.Schwarzcriterion13

12、.66180Loglikelihood-712.5905F-statistic6349.204Durbin-Watsonstat0.784107Prob(F-statistic)0.000000相應(yīng)的表達(dá)式是：CP=129.63+0.76IPitit(2.0)(79.7)R2=0.9&SSE=4824588r上式表示15個(gè)省級(jí)地區(qū)的城鎮(zhèn)人均指出平均占收入的76%。B個(gè)體固定效應(yīng)回歸模型的估計(jì)方法將截距項(xiàng)選擇區(qū)選Fixedeffects(固定效應(yīng))得到如下輸出結(jié)果：DependentVariable:CP?Method:PooledLeastSquaresDate:07/02/08Time:13

13、:36Sample:19962002Includedobservations:7Cross-sectionsincluded:15Totalpool(balancEd)observations:105VariableCoEffiuiEntStd.Errort-StatisticProb.C515.614281.596656.319061.0000IP?0.6975610.01269254.96029.0000FixedEffects(Cross)AH-C-36.30583BJ-C537.5660FJ-C-47.64515HB-C-154.2367HU-C-169.7015JL-C24.5042

14、7JS-C-35.19587JX-C-319.6960LN-C106.4273NMG-C-209.5484SD-C-134.1145SH-C266.9859SX-C-74.88901TJ-C47.22940ZJ-C198.6202EffectsSpecificationCross-sectionfixed(dummyvariables)R-squarEd0.992488MeandepEndEntvar4917.608AdjustedR-squared0.991222S.D.dependentvar1704.704S.E.ofegression159.7184Akaikeinfocriterio

15、n13.12414Sumsquaredresid2270386.Schwarzcriterion13.52855Loglihood-673.0173F-statistic783.8902Durbin-Watsonstat1.609517Prob(F-statistic)0.000000相應(yīng)的表達(dá)式為：CP=515.6+0.70IP-36.3D+537.6D+.+198.6Ditit1215(6.3)(55)R2二0.99,SSE=2270386r其中虛擬變量D,D，,D的定義是:12151,如果屬于第個(gè)個(gè)體,i=1,2,.,15D=i0,其他15個(gè)省級(jí)地區(qū)的城鎮(zhèn)人均指出平均占收入70%。從上面

16、的結(jié)果可以看出北京市居民的自發(fā)性消費(fèi)明顯高于其他地區(qū)。接下來用F統(tǒng)計(jì)量檢驗(yàn)是應(yīng)該建立混合回歸模型，還是個(gè)體固定效應(yīng)回歸模型。H:a“。模型中不同個(gè)體的截距相同(真實(shí)模型為混合回歸模型)。0iH:模型中不同個(gè)體的截距項(xiàng)a不同(真實(shí)模型為個(gè)體固定效應(yīng)回歸模型)。1iF統(tǒng)計(jì)量定義為：(SSE-SSE)/(NT-k-1)-(NT-N-k)_(SSE-SSE)/(N-1)SSE/(NT-N-k)SSE/(NT-N-k)uu其中SSE表示約束模型，即混合估計(jì)模型的殘差平方和，SSE表示非約束模型，即ru個(gè)體固定效應(yīng)回歸模型的殘差平方和。非約束模型比約束模型多了N-1個(gè)被估參數(shù)。所以本例中：驗(yàn)總當(dāng)：1)饗F

17、o.o514,89)-1-8所以推翻原假設(shè)，建立個(gè)體固定效應(yīng)回歸模型更合理。C時(shí)點(diǎn)固定效應(yīng)回歸模型的估計(jì)方法將時(shí)間選擇為固定效應(yīng)。得到如下輸出結(jié)果：DependentVariable:CP?Method:PooledLeastSquaresDate:07/02/08Time:14:44Sample:19962002Includedobservations:7Cross-sectionsincluded:15Totalpool(balanced)observations:105VariableCoefficientStd.Errort-StatisticProb.C2.57723468.8054

18、80.0374570.9702IP?0.7788600.01043874.619110.0000FixedEffects(Period)1996-C105.92851997-C134.05581998-C54.848281999-C-37.074042000-C-7.1183592001-C-156.74742002-C-93.89280EffectsSpecificationPeriodfixed(dummyvariables)R-squared0.986669Meandependentvar4917.608AdjustedR-squared0.985707S.D.dependentvar1

19、704.704S.E.ofregression203.8001Akaikeinfocriterion13.54529Sumsquaredresid4028843.Schwarzcriterion13.74749Loglikelihood-703.1276F-statistic1025.643Durbin-Watsonstat0.785376Prob(F-statistic)0.000000相應(yīng)的表達(dá)式為：CP=2.6+0.78IP+105.9D+134.1D+.-93.9Ditit127(76.6)R2二0.987,SSE=4028843其中虛擬變量D,D，,D的定義是：1271,如果屬于第t

20、個(gè)截面，t=1996,.,2002D=t|0,其他D個(gè)體隨機(jī)效應(yīng)回歸模型估計(jì)截距項(xiàng)選擇Randomeffects（個(gè)體隨機(jī)效應(yīng)）得到如下部分輸出結(jié)果：DependentVariable:CP?Method:PooledEGLS(Cross-sectionrandomeffects)Date:07/02/00Time:15:06Sample:19962002Includedobservations:7Cross-sectionsincluded:15Totalpool(balanced)observations:105SwamyandAroraestimatorofcomponentvarian

21、cesVariableCoefficientStd.Errort-StatisticProb.C345.179575.472174.5735990.0000IP?0.7245690.01057260.530140.0000RandomEffects(Cross)AH-C-2.553433BJ-C367.0439FJ-C-54.24006HB-C-104.8367HM-C-101.7680JL-C54.90671JS-C-32.27860JX-C-223.9519LN-C112.1152NMG-C-133.1377SD-C-100.8713SH-C126.1820SX-C-22.79189TJ-

22、C10.08794ZJ-C106.0939相應(yīng)的表達(dá)式是：CP=345.2+0.72IP-2.6D+367.0D+.+106.1Ditit1215(68.5)R2二0.9&SSE二2979246其中虛擬變量D,D，,D的定義是：1215八1,如果屬于第i個(gè)個(gè)體,i=l,2,.,15D=OK得到如下檢驗(yàn)結(jié)果：Grein口unitrwttmst:Summ日問Date:07/02/08Time:15:40Sample:19962002Series:CPAH,CPBJ,CPFJ,CPHB,CPHU,CPJL,CPUS,CPJX,CPLN,CPNMG,CPSD,CPSH,CPSX,CPTJ,CPUExo

23、genousvariables:IndividualeffectsAutomaticselectionofmaximumlagsAutomaticselectionoflagsbasedonSIC:0to1Newey-WestbandwidthselectionusingBartlettkernelMethodStatisticProb.*CrosssectionsObsNull:Unitroot(assumescommonunitrootprocess)Levin,Lin&Chut*9.697781.00001584Null:Unitroot(assumesindividualunitroo

24、tprocess)Im,PesaranandShinW-stat6.463801.00001584ADF-FisherChi-square3.049971.00001584PP-FisherChi-square5.243351.00001590Null:Nounitroot(assumescommonunitrootprocess)HadriZ-stat7.503830.000015105*ProbabilitiesforFishertestsarecomputedusinganasympoticChi-squaredistribution.Allothertestsassumeasympto

25、ticnormality從上面的檢驗(yàn)結(jié)果可以看出來，6種檢驗(yàn)方法的結(jié)論都認(rèn)為15個(gè)cp序列存在單位根。選擇IPS檢驗(yàn)方法進(jìn)行單位根檢驗(yàn)。檢驗(yàn)結(jié)果如下:NullHypothesis:Unitroot(individualunitrootprocess)Date:07/02/08Time:15:44Sample:19962002Series:CPAH,CPBJ,CPFJ,CPHB,CPHM,CPJL,CPUS,CPJX,CPLN,CPNMG,CPSD,CPSH,CPSX,CPTJ,CPZJExogenousvariables:IndividualeffectsAutomaticselectiono

26、fmaximumlagsAutomaticselectionoflagsbasedonSIC:0to1Totalnumberofobservations:84Cross-sectionsincluded:15MethodStatisticProb.*Im,PesaranandShinW-stat6.463801.0000*ProbabilitiesarecomputedassumingasympoticnormalityIntermediateADFtestresultsSeriest-StatProb.Eft)E(Var)LaciMaxLaqObsCPAH5.55420.9999-1.558

27、2.648115CPBJ0.56130.9695-1.5472.332016CPFJ-0.69697711-1.5472.332016CPHB-0.53040.8149-1.5472.332016CPHM2.65880.9991-1.5472.332016CPJL0.63240.9732-1.5472.332016CPUS-1.35320.5305-1.5472.332016CPJX0.53560.9601-1.5472.332016CPLN1.12760.9893-1.5472.332016CPNMG3.07650.9992-1.5582.648115CPSD-0.33890.8450-1.

28、5582.648115CPSH0.78710.9754-1.5582.648115CPSX2.11120.9980-1.5472.332016CPTJ-0.15460.8827-1.5582.648115CPZJ2.00920.9966-1.5582.648115Average1.0653-1.5522.459從上面的結(jié)果可以看出，cp面板存在單位根，同時(shí)每個(gè)個(gè)體都存在單位根。2收集中國20002005年各地區(qū)城鎮(zhèn)居民人均可支配收入X和消費(fèi)指出Y統(tǒng)計(jì)數(shù)據(jù)如表9.4。數(shù)據(jù)是6年的，每一年都有32組數(shù)據(jù)，共192組觀測(cè)值。人均可支配收入和消費(fèi)支出數(shù)據(jù)（單位：元）2000可支200120022003

29、20042005可支配收消費(fèi)可支配收消費(fèi)可支配收消費(fèi)可支配收消費(fèi)可支配收消費(fèi)地配收消費(fèi)區(qū)入支出入支出入支出入支出入支出入支出XYXYXYXYXYXY全6279.949986859.553097702.860298472.265109421.6718210493.7942國8.008.010.880.941.1003.88北10349.849311577.892212463.102813882.111215637.122017652.1324京69.4978.72924.60623.84840.40954.20天8140.561218958.769879337.5719110312.786711

30、467.880212638.9653津0.040.226.9691.5316.4455.26河5661.143485984.844796679.650697239.054397951.358199107.06699北6.472.758.286.771.189.67山4724.139415391.041236234.347107005.051057902.856548913.96342西內(nèi)1.875.016.963.386.151.63內(nèi)蒙5129.039275535.841956051.048597012.954198122.962199136.76928古5.759.620.880.149.

31、269.60遼5357.743565797.046546524.553427240.560778007.565439107.57369寧9.061.422.648.926.285.27吉4810.040205340.443376260.149737005.154927840.660688690.66794林0.876.226.887.101.992.71黑八、龍4912.838245425.841926100.544626678.950157470.755678272.56178江8.447.366.080.191.531.01上11718.886812883.933613249.104614

32、867.110416682.126318645.1377海01.1946.10804.00490.34821.03033.41江6800.253237375.155328177.660429262.4670810481.733212318.8621蘇3.180.744.606.5893.2657.82浙9279.1702010464.795211715.871313179.971214546.106316293.1225江6.2267.3960.0853.89386.14773.74安5293.542325668.845176032.447366778.050647511.457118470.

33、66367徽5.980.650.523.343.338.67福7432.256388313.060159189.366319999.5735611175.816112321.8794建6.748.116.684.2637.1531.41江5103.536235506.038946335.645496901.449147559.653378619.66109西8.562.514.322.554.846.39山6489.950227101.052527614.355968399.960699437.8667310744.7457東7.008.416.321.350.7579.31河4766.238

34、305267.441106245.445046926.149417704.952948667.96038南6.712.170.682.600.197.02湖5524.546445855.948046788.556087321.959638022.763988785.96736北4.508.792.928.255.524.56湖6218.752186780.555466958.555747674.260828617.468849523.97504南3.796.226.720.628.617.99廣9761.5801610415.809911137.898812380.963613627.1069

35、14769.1180東7.9119.6320.4843.27654.79949.87廣5834.448526665.752247315.354137785.057638689.964459286.77032西3.313.732.444.509.730.80海5358.340825838.843676822.754597259.255027735.758028123.95928南2.564.852.645.438.404.79重6275.955696721.058737238.063608093.671189220.9797310243.8623慶8.849.694.247.066.0546.2

36、9四5894.248556360.451766610.854137041.857597709.863718385.96891川7.787.170.087.217.146.27貴5122.242785451.942735944.045986569.249487322.054948151.16159州1.281.908.283.985.453.29云6324.651856797.752527240.558277643.560238870.868379265.96996南4.311.606.927.568.010.90西7426.355547869.159948079.169528765.48045

37、9106.083389431.18617藏2.426.392.445.347.218.11陜5124.242765483.746376330.853786806.356667492.462338272.06656西4.673.744.045.547.072.46甘4916.241265382.944206151.450646657.252987376.759378086.86529肅5.471.314.244.914.302.20青5169.941855853.746986170.550426745.354007319.657588057.86245海6.732.592.522.247.955

38、.26寧4912.442005544.145956067.451046530.453307217.858218093.66404夏0.507.404.928.347.384.31新5644.844226395.049316899.656367173.555407503.457737990.16207疆6.934.404.404.612.625.52首先建立工作文件，打開工作文件后，過程如下：建立面板數(shù)據(jù)庫，并命名為XY。輸入不同省市（包括全國）的標(biāo)識(shí)，如下：點(diǎn)擊sheet鍵，定義變量X和Y。點(diǎn)擊Edt+/-后，在數(shù)據(jù)窗口鍵入數(shù)據(jù)即可。對(duì)模型進(jìn)行估計(jì)，建立個(gè)體固定效應(yīng)回歸模型，過程如下：得到如下

39、輸出結(jié)果：DependentVariable:Y?Method:PooledLeastSquaresDate:07/08/08Time:19:12Sample:20002005Includedobservations:6Cross-sectionsincluded:32Totalpool(balanced)observations:192VariableCoefficientStd.Errort-StatisticProb.c634.3534X?0.699629FixedEffects(Cross)00QG-C-45.914151BJ-C566.338802TJ-C40.1904603HB-C-295.