计量经济学作业-设定误差与测量误差

设定误差与测量误差

实验目的：研究1978~2003年全国居民消费水平与国民收入之间的关系。

实验要求：（1）试用eviews软件，采用两种以上检验方法对实证分析模型进行变量设定检验；

（2）若，试对实证分析模型进行测量误差检验

实验原理：最小二乘法原理

实验步骤：

一、变量设定检验

对模型进行回归，得到如下回归结果：

Dependent Variable: CC

Method: Least Squares

Date: 12/03/10 Time: 14:52

Sample: 1978 2003

Included observations: 26

Variable Coefficient

Std.

Error t-Statistic Prob.

C219.614257.412813.8251770.0008 GDP0.0761040.00107171.033110.0000

R-squared0.995266 Mean dependent

var3196.615

Adjusted R-

squared0.995069 S.D. dependent

var2849.293

S.E. of

regression200.0856 Akaike info

criterion13.50917

Sum squared

resid960822.0 Schwarz

criterion13.60595

Log likelihood-173.6192 F-statistic5045.703

Durbin-Watson

stat0.640170 Prob(F-statistic)0.000000

=219.6142+0.076104+

Se=（57.41281）（0.001071）

t=（3.825177）（71.03311）

=0.995266 =0.995069 DW=0.640170 F=5045.703（1）、DW检验

模型=219.6142+0.076104+，在回归后，将GNI-GDP认为是一个变量，生成遗漏变量Z=GNI-GDP，得到遗漏变量Z和残差序列E的列表如下：

obs E Z GNI GDP 1978-90.423790089464903624.13624.1 1979-92.938580884801404038.24038.2 1980-67.438203356290104517.84517.8 1981-27.6637452738775-2.099999999999454860.34862.4 1982-46.56363433648077.100000000000365301.85294.7 1983-68.255165731931922.89999999999965957.45934.5 1984-103.35813317562635.69999999999987206.77171 1985-99.843585511671624.70000000000078989.18964.4 1986-191.0454********-0.80000000000109110201.410202.2

1987-41.0118885387145-811954.511962.5 198875.2779773371387-614922.314928.3 198961.52296867623028.5999999999985416917.816909.2 199054.810851611951250.518598.418547.9 199160.178259816240844.700000000000721662.521617.8 1992109.111840521813.800000000002926651.926638.1 1993171.559023239139-73.900000000001534560.534634.4 1994112.794380898024-89.40000000000154667046759.4 1995203.950915809132-983.19999999999757494.958478.1 199644.0758141034248-1034.1000000000166850.567884.6 1997-90.5382739229544-1319.9000000000173142.774462.6 199834.9791693468515-137876967.278345.2 1999330.696131970659-1488.1000000000180579.482067.5 2000373.478646435841-1214.100000000018825489468.1 2001135.311032492912-1586.9000000000195727.997314.8 2002-176.67850789433-1237103935.3105172.3 2003-671.988014997318-648.699999999997116603.2117251.9

将残差序列e按照遗漏变量z值的递增次序排序，得到如下表：

obs Z E

1-1586.900135.3110

2-1488.100330.6961

3-1378.00034.97917

4-1319.900-90.53827

5-1237.000-176.6785

6-1214.100373.4786

7-1034.10044.07581

8-983.2000203.9509

9-648.7000-671.9880

10-89.40000112.7944

11-73.90000171.5590

12-8.000000-41.01189

13-6.00000075.27798

14-2.100000-27.66375

15-0.800000-191.0455

160.000000-90.42379

170.000000-92.93858

180.000000-67.43820

197.100000-46.56363

208.60000061.52297

2113.80000109.1118

2222.90000-68.25517

2324.70000-99.84359

2435.70000-103.3581

2544.7000060.17826

2650.5000054.81085

由公式d=算出d。首先生成d1=（e1-e1(-1)）^2，d2=e1^2分别表示公式中分子分母求和括号内的变量，利用eviews可得到分子分母的均值：

D1D2

Mean 86102.02 36954.69

Median 13523.33 8417.380

Maximum 767269.0 451567.9

Minimum 6.324169 765.2828

Std. Dev. 193771.0 90754.84