实验七 滞后效应、虚拟变量、时间序列和联立方程模型的估计-学生实验报告 - 图文

??ependent Variable: TBZS Method: Least Squares Date: 06/25/15 Time: 10:54 Sample (adjusted): 1997M08 2008M11 Included observations: 136 after adjustments Variable C M2Z M2Z(-1) M2Z(-2) M2Z(-3) M2Z(-4) M2Z(-5) M2Z(-6) M2Z(-7) M2Z(-8) M2Z(-9) M2Z(-10) M2Z(-11) M2Z(-12) M2Z(-13) M2Z(-14) M2Z(-15) M2Z(-16) M2Z(-17) M2Z(-18) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient 97.59653 -0.019520 0.015064 -0.020539 0.004309 0.001523 0.004786 -0.011763 0.066961 0.091757 0.043119 0.036499 0.164543 0.214224 0.231705 0.212450 0.215432 0.172157 0.109469 0.114872 Std. Error 0.286256 0.077185 0.077286 0.079295 0.079056 0.081215 0.082489 0.081670 0.078720 0.078392 0.078385 0.077371 0.087029 0.094830 0.094485 0.095659 0.097011 0.096130 0.096874 0.092097 t-Statistic 340.9415 -0.252900 0.194914 -0.259019 0.054506 0.018752 0.058023 -0.144027 0.850616 1.170486 0.550086 0.471740 1.890669 2.259027 2.452283 2.220905 2.220687 1.790878 1.130015 1.247298 Prob. 0.0000 0.8008 0.8458 0.7961 0.9566 0.9851 0.9538 0.8857 0.3967 0.2442 0.5833 0.6380 0.0612 0.0257 0.0157 0.0283 0.0283 0.0759 0.2608 0.2148 101.5537 2.494614 3.797135 4.225466 3.971198 0.197989 0.685178 Mean dependent var 0.633612 S.D. dependent var 1.509989 Akaike info criterion 264.4877 Schwarz criterion -238.2052 Hannan-Quinn criter. 13.28748 Durbin-Watson stat 0.000000 2、自回归模型 （实验指导书P180）根据数据，建立广东省城乡储蓄存款CX的自回归模型（作一阶自回归模型、考虑LB、RK作为自变量）。并解释模型的实际意义。数据见“广东省宏观经济数据-实验七”。 Dependent Variable: CX Method: Least Squares Date: 06/25/15 Time: 10:59 Sample (adjusted): 1979 2005 Included observations: 27 after adjustm??nts Variable CX(-1) LB RK C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient 0.747825 0.984097 -0.688002 3588.705 Std. Error 0.085061 0.217340 0.237546 1289.782 t-Statistic 8.791634 4.527917 -2.896293 2.782412 Prob. 0.0000 0.0002 0.0081 0.0106 4446.959 5613.364 14.05271 14.24468 14.10979 1.017355 0.998181 Mean dependent var 0.997944 S.D. dependent var 254.5348 Akaike info criterion 1490123. Schwarz criterion -185.7115 Hannan-Quinn criter. 4207.399 Durbin-Watson stat 0.000000 CX(-1)不仅显著，LB、RK也显著，方程为 CX=0.747825*CX(-1)+0.984097*LB-0.688002*RK+3588.7047 （请对得到的图表进行处理，以上在一页内） （二）虚拟解释变量模型 （实验指导书P200）根据数据，考虑1994年的税制改革，作为虚拟变量引入到税收CS对生产税SE的模型中，建立合理的模型。数据见“广东省宏观经济数据-实验七”。