回归方程函数形式.pptVIP

The data for real GDP (Yt) year t gdp year t gdp year t gdp 1960 0 54.1 1968 8 79.9 1976 16 105.3 1961 1 56.4 1969 9 83.8 1977 17 109.9 1962 2 59.4 1970 10 86.2 1978 18 114.4 1963 3 62.1 1971 11 89.8 1979 19 118.3 1964 4 65.9 1972 12 94.3 1980 20 119.6 1965 5 69.5 1973 13 100 1981 21 121.1 1966 6 73.2 1974 14 101.4 1982 22 120.6 1967 7 75.7 1975 15 100.5 The scatter between real GDP and t Example: 1960-1982 GDP growth Using the data for real GDP from example 5.3, we estimate the model ln(?t)= 4.044 + 0.0382 t se =(0.0158) (0.0012) t = (255.38) (30.97) n=23, R2=0.9786 Adj-R2=0.9776 F=958.96 Remark: The slope of the estimate equation is 0.0382, which means that the growth rate for real GDP is 3.82% every year in average. The estimated slope is often called instantaneous growth rate. But we can easily calculate the compound growth rate by ln(1+r)=0.0382, therefore, r=e0.0382-1=1.0389-1=0.0389=3.89%. Linear trend model Using the data for real GDP from example 5.3, we estimate the model ?t= 50.3 + 3.277 t se= (0.776)(0.0566) t = (64.82)(57.90) n=23 R2=0.9938 Adj-R2=0.9935 F=3352.72 Remark: The slope means that t increase 1 unit, the real GDP will inrease 3.277, which is absolute value. That is, real GPD in this year will 3.277 greater than that of the year before this year. Linear trend model Log independent variables Sometimes, we meet the model with independent variables logged, such as Y = b0 + b1 ln(X1) + b2 ln(X2) + u Then what are the meaning of the partial coefficients? For example, So, b1 means that when independent variable X1 changes 1%, the dependent variable will change Note, the change of X1 is relative value and Y is absolute value. b1/100. Example The relation between USA GNP (gnp) and Money supply (m2) gnp = b0 + b1 ln(m2) + u we estimate the model gnp = -16329.21 + 2584.785 ln(m2) Se = (696.60) (94.0414) t = (-23.44) (27.49) n=15 R2=0.9831 Adj-R2=0.9818 F=755.46 Remark: The slope means when money supply m2 incre