计量经济学第七章第5,6,7题答案

第7章练习5

解：根据Eview 软件得如下表：

Dependent Variable: Y

Method: ML - Binary Logit (Quadratic hill climbing) Date: 05/22/11 Time: 22:19

Sample: 1 16

Included observations: 16

Convergence achieved after 5 iterations

Covariance matrix computed using second derivatives

Variable Coefficient Std. Error z-Statistic Prob. C -11.10741 6.124290 -1.813665 0.0697 Q 0.003968 0.008008 0.495515 0.6202 V

0.017696

0.008752

2.021914

0.0432 McFadden R-squared 0.468521 Mean dependent var 0.562500 S.D. dependent var 0.512348 S.E. of regression 0.382391 Akaike info criterion 1.103460 Sum squared resid 1.900896 Schwarz criterion 1.248321 Log likelihood -5.827681 Hannan-Quinn criter. 1.110878 Restr. log likelihood -10.96503 LR statistic 10.27469 Avg. log likelihood -0.364230

Prob(LR statistic) 0.005873

Obs with Dep=0 7 Total obs 16

Obs with Dep=1

9

于是，我们可得到Logit 模型为：

V Q i

0177.0004.0107.11Y ˆ++-= （-1.81） （0.49） （2.02）

685.40R 2

MCF = ， LR(2)=10.27

如果在Binary estination 这一栏中选择Probit 估计方法，可得到如下表：

Dependent Variable: Y

Method: ML - Binary Probit (Quadratic hill climbing) Date: 05/22/11 Time: 22:25 Sample: 1 16

Included observations: 16

Convergence achieved after 5 iterations

Covariance matrix computed using second derivatives

Variable Coefficient Std. Error z-Statistic Prob. C -6.634542 3.396882 -1.953127 0.0508 Q 0.002403 0.004585 0.524121 0.6002 V

0.010532

0.004693

2.244299

0.0248 McFadden R-squared 0.476272 Mean dependent var 0.562500 S.D. dependent var 0.512348 S.E. of regression 0.381655 Akaike info criterion 1.092836 Sum squared resid 1.893588 Schwarz criterion 1.237696 Log likelihood -5.742687 Hannan-Quinn criter. 1.100254 Restr. log likelihood -10.96503 LR statistic 10.44468 Avg. log likelihood -0.358918

Prob(LR statistic) 0.005395

Obs with Dep=0 7 Total obs 16

Obs with Dep=1

9

于是，我们可得到Probit 模型为：

V Q i

0105.00024.035.66Y ˆ++-= （-1.95） （0.52） （2.24）

763.40R 2

MCF = ， LR(2)=10.44

第7章练习6

下表列出了美国、加拿大、英国在1980~1999年的失业率Y 以及对制造业的补偿X 的相关数据资料。

解：（1）根据Eview 软件操作得如下表： 美国（US ）： Dependent Variable: Y Method: Least Squares Date: 05/22/11 Time: 22:38 Sample: 1980 1999 Included observations: 20

Variable Coefficient Std. Error t-Statistic Prob. C 10.56858 1.138982 9.278972 0.0000 X

-0.045403

0.012538

-3.621189

0.0020

R-squared 0.421464 Mean dependent var 6.545000 Adjusted R-squared 0.389323 S.D. dependent var 1.432875 S.E. of regression 1.119732 Akaike info criterion 3.158696 Sum squared resid 22.56840 Schwarz criterion 3.258269 Log likelihood -29.58696 Hannan-Quinn criter. 3.178133 F-statistic 13.11301 Durbin-Watson stat 0.797022

Prob(F-statistic)

0.001953

根据上表可得对美国的OLS 估计结果为：t

t X 0454.05686.10Y ˆ-= （9.28） （-3.62） 4215.02

=R ， 3893.02

=R ， D.W.=0.797， RSS=22.57

加拿大(CA)：

Dependent Variable: Y Method: Least Squares Date: 05/22/11 Time: 22:43 Sample: 1980 1999 Included observations: 20