金融计量学 李子奈版 第三,四章课后习题 gretl版详解.doc

第三章课后习题 11题 通过上面的数据，可以得出Y=626.509-9.791X1+0.029X2 σ2=/（n-k-1）=2116.847 /7=302.407 R2 = 0.902218 = 0.874281 （2）F检验 F检验值=32.2940〉 (2,7)=9.55 模型的线性关系在95%的置信水平显著成立。 T检验 (7)=2.365 的检验值为15.61﹥2.365。||的检验值为3.062大于2.365 的检验值为4.902﹥2.365 所以变量在95%的置信水平下通过显著性检验。 95%的置信区间为下表： （3）因为单价X1=35 收入X2=20000 可以得出Y=863.824 第四章课后习题 第8题 （1） 可以得出: Y= 272.364 + 0.755125 X (2)异方差检验 利用怀特检验 原模型存在异方差性。 （3）由前问可知，存在异方差性，对模型做WLS回归： 由此可知，修正后的估计模型参数常数项为302.457，为0.751046。模型为Y= 302.448 + 0.750147 X 第9题 设定为lnYt=β0+β1lnXt+μ时，对其进行OLS可得出下表： 进行D.W检验 Durbin-Watson statistic = 0,383404，经查表知，在小于5%的显著性水平下，n=28的DW临界值下限，所以，模型存在1阶序列相关性 LM检验 LMF = 32,395687, with p-value = P(F(1,25) 32,3957) = 6,3e-006，存在序列相关性 （2）利用广义最小二乘法修正估计原模型 由此可知，经过广义最小二乘法估计的模型已经不存在1阶序列相关性。 （3）X、Y做一阶差分，即得和 作OLS回归 进行D.W.检验，可得 在小于5%的显著性水平下，n=27的DW临界值下限DL=1.32，，模型存在正自相关性。 第10题 由拟合优度=96%，但两者的t检验在5%的显著性水平下不显著。 同时根据经济检验，其符号跟经济理论不符合。所以，估计的模型与理论不符合。 country, leadership in the three-three education. For carried out good city government system of three strict three real topic education, according to Central, and provincial and municipal of requirements, today take this seminar of opportunities, I wants to and everyone with Exchange learning practice line three strict three real and construction rule of law Government of awareness and experience, also as municipal government party carried out three strict three real topic education of topic party lecture and work mobilization. 　　Todays lecture is divided into two parts. First part on practice line three strict three real a, and accurate grasp three strict three real of connotation and essence last year March, acquisition General Secretary in participate in national two Anhui delegation considered Shi first proposed, levels leaders are to set and develop good of style, both strict to slim, and strict to with right, and oneself, and something to real, and venture to real, and man to real. Zhihou, and General Secretary have on various occasions