金融系計(jì)量經(jīng)濟(jì)學(xué)復(fù)習(xí)題

#□■ependentVariable:VMethod:LeasiSquaresDate:06/13/03Time:22:01Sarnple(adjusted):2500Includedobaervations:499afteradjustingendpointsConvergenceachievedafter7iterationsBa-ckcast:1VariableCoefficientStd.Errort-StatisticProh.站⑴0.815^230.051162 15.935990.0000MA(1)-0.5254830075154-6.9920820.0000R.-squa.red0.1964B1Meandependentvar0.077662Adjustedk-squared0.1948E4S.D.dependentvar1.098678S.E.ofregression。一985836Akaikeinfocriterion2.813347Sumsquaredresid4830211Schwarzcriterion2.S30231Loglikelihood-G99.9301Durbin-Watgonstat1.978479根據(jù)上圖回答問題：（1） 寫出模型的估計(jì)式（參數(shù)值截止到小數(shù)點(diǎn)后兩位）（2） 下圖是上述模型殘差序列的相關(guān)圖與自相關(guān)圖：CorrelogramofRe&idualsQ-statistkprobabilitiesadjustedfor2ARMAterm(a)AutocorrelationPartialCorrelationACPACQ-StatPr&h']'II10.0100.0100.0484-'I■i|I2-0.037-0.0370.7242IIII30.0090.0100.76430.382IIII40.0120.011083760.668IIIII50.0460.04B1.08830.596IIII&00090.0091.9309074SIIII1-0.011-0.0081.98730.851IIII30.0120.0122.063S0.914II'II9-0.021-0.0232.28390.942II'III100.0350.0352.9274-0.939根據(jù)圖表對(duì)上述模型進(jìn)行診斷檢驗(yàn)5.填寫下列EVIEWS輸出結(jié)果中的空白：(1)DependentVariable:YMethod:LeastSquaresDate:08/20/97Time:01:24Sample(adjusted):1959:011989:12Includedobservations:340Excludedobservations:32afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.

VariableCoefficientStd.Errort-StatisticProb.C0.1542060.8746830.3824X-0.0006450.0024030.7885R-squaredMeandependentvar0.108655AdjustedR-squared-0.002745S.D.dependentvar0.883724S.E.ofregression0.884936Akaikeinfocriterion2.599262SumsquaredresidSchwarzcriterion2.621786Loglikelihood-439.8746F-statisticDurbin-Watsonstat1.965179Prob(F-statistic)0.788467(2)DependentVariable:LOG(M1)Method:LeastSquaresDate:08/19/97Time:05:02Sample:1959:011989:12Includedobservations:372VariableCoefficientStd.Errort-StatisticProb.C0.164954 -10.305390.0000LOG(IP)1.76586640.551990.0000TB3-0.0118950.0046280.0106R-squaredMeandependentvar5.663717AdjustedR-squaredS.D.dependentvar0.553903S.E.ofregressionAkaikeinfocriterion-0.505429Sumsquaredresid12.92882Schwarzcriterion-0.473825Loglikelihood97.00980F-statistic1439.848Durbin-Watsonstat0.008687Prob(F-statistic)0.0000006..杲變量的單位根檢驗(yàn)結(jié)果如下：ADFTestStatistic-3.3625271%CriticalValue*-4.44155%CriticalValue-3.633010%CriticalValue-3.2535*MacKinnoncriticalvaluesforrejectionofhypothesisofaunitroot.AugmentedDickey-FullerTestEquationDependentVariable:D(PI,2)Method:LeastSquaresDate:12/25/04Time:14:57Sample(adjusted):19802001Includedobservations:22afteradjustingendpoints

VariableCoefficientStd.Errort-StatisticProb.D(PI(-1))-0.7843930.233275-3.3625270.0033C-0.9977552.911262-0.3427220.7356@TREND(1978)0.4154880.2279981.8223280.0842R-squared0.377522Meandependentvar0.784091AdjustedR-squared0.311998S.D.dependentvar7.437837S.E.ofregression6.169381Akaikeinfocriterion6.603198Sumsquaredresid723.1640Schwarzcriterion6.751976Loglikelihood-69.63518F-statistic5.761579Durbin-Watsonstat1.866782Prob(F-statistic)0.011071寫出檢驗(yàn)方法錯(cuò)誤的地方以及改進(jìn)的步驟。2.如果假定條件成立（上式?jīng)]有錯(cuò)誤），試根據(jù)檢驗(yàn)結(jié)果判斷該變量的單整階數(shù)。7.變量關(guān)系的協(xié)整檢驗(yàn)如下:EigenvalueLikelihoodRatio5PercentCriticalValue1PercentCriticalValueHypothesizedNo.ofCE(s)0.44132717.5149529.6835.65None0.2507605.87112715.4120.04Atmost10.0048490.0972173.766.65Atmost2—一試判斷協(xié)整關(guān)系是否成立，如果成立，判斷協(xié)整關(guān)系的個(gè)數(shù)。8,變量關(guān)系的協(xié)整檢驗(yàn)如下:EigenvalueLikelihoodRatio5PercentCriticalValue1PercentCriticalValueHypothesizedNo.ofCE(s)0.91672590.2590947.2154.46None**0.76236943.0326329.6835.65Atmost1**0.54304515.