《計(jì)量經(jīng)濟(jì)學(xué)》謝識(shí)予分章練習(xí)題

#若/丫為1(1)序列，則非平穩(wěn)時(shí)間序列丫為()A.1階單整B.2階單整C.3階單整 D.以上答案均不正確某一時(shí)間序列經(jīng)三次差分變換成平穩(wěn)時(shí)間序列，此時(shí)間序列為( )°A.1階單整 BC.2階單整 D檢驗(yàn)時(shí)間序列平穩(wěn)性的方法是( :A.ADF檢驗(yàn)B.鄒檢驗(yàn)C.VIF檢驗(yàn)若/丫為1(2)序列，則非平穩(wěn)時(shí)間序列A.1階單整B.2階單整C.3階單整某一時(shí)間序列經(jīng)二次差分變換成平穩(wěn)時(shí)間序列，此時(shí)間序列為(A.1階單整 BC.2階單整 D檢驗(yàn)時(shí)間序列平穩(wěn)性的方法是(A.自相關(guān)圖檢驗(yàn)B.鄒檢驗(yàn)C若/丫為1(0)序列，則非平穩(wěn)時(shí)間序列丫為A.1階單整B.2階單整C.3階單整某一時(shí)間序列經(jīng)一次差分變換成平穩(wěn)時(shí)間序列，.3階單整.以上答案均不正確)A.1階單整C.2階單整 D56.檢驗(yàn)時(shí)間序列平穩(wěn)性的方法是(3階單整以上答案均不正確D.戈里瑟檢驗(yàn)丫為()D.以上答案均不正確)°.3階單整.以上答案均不正確).VIF檢驗(yàn)D.戈里瑟檢驗(yàn)1)D.以上答案均不正確

此時(shí)間序列為( )°A戈德菲爾德-夸特檢驗(yàn)B.鄒檢驗(yàn)C.圖形檢驗(yàn)D.戈里瑟檢驗(yàn)(2)多選10.檢驗(yàn)時(shí)間序列平穩(wěn)性的方法有( )A.分布圖形檢驗(yàn)B. 自相關(guān)圖檢驗(yàn)C.單位根檢驗(yàn)D.鄒檢驗(yàn) E.DW 檢驗(yàn)四、計(jì)算分析題1.對(duì)中國(guó)GD進(jìn)行單位根檢驗(yàn)的結(jié)果如下：NullHypothesis:GDPhasaunitrootExogenous:Constant,LinearTrendLagLength:4(AutomaticbasedonSIC,MAXLAG=6)t-Statistic Prob.*-4.394309-3.612199-3.243079Testcriticalvalues: -4.394309-3.612199-3.2430795%level10%level*MacKinnon(1996)one-sidedp-values.NullHypothesis:GDPhasaunitrootExogenous:ConstantLagLength:4(AutomaticbasedonSIC,MAXLAG=6)t-StatisticProb.*AugmentedDickey-Fullerteststatistic3.1819371.0000Testcriticalvalues:1%level-3.7378535%level-2.99187810%level-2.635542*MacKinnon(1996)one-sidedp-values.NullHypothesis:GDPhasaunitrootExogenous:NoneLagLength:4(AutomaticbasedonSIC,MAXLAG=6)t-StatisticProb.*AugmentedDickey-Fullerteststatistic3.2721340.9993Testcriticalvalues:1%level-2.6648535%level-1.95568110%level-1.608793*MacKinnon(1996)one-sidedp-values.(1)中國(guó)GD是平穩(wěn)時(shí)間序列么，為什么?變量LRFELRTAXLRGDP和LRPC同階單整，協(xié)整檢驗(yàn)結(jié)果如下:Date:10/15/08Time:22:20Sample(adjusted):19802006Includedobservations:27afteradjustmentsTrendassumption:Lineardeterministictrend(restricted)Series:LRFELRTAXLRGDPLRPCLagsinterval(infirstdifferences):1to1UnrestrictedCointegrationRankTest(Trace)HypothesizedTraceStatistic0.05CriticalValueProb.**No.ofCE(s)EigenvalueNone0.71006761.9526263.876100.0718Atmost10.39279228.5237742.915250.5906Atmost20.33253615.0539325.872110.5701Atmost30.1421134.13862812.517980.7220Tracetestindicatesnocointegrationatthe0.05level*denotesrejectionofthehypothesisatthe0.05level**MacKinnon-Haug-Micheli