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1、人人好公，则天下太平；人人营私，则天下大乱。刘鹗勿以恶小而为之，勿以善小而不为。刘备第 4 章 习题一 表 1 给出了 19651970 年美国制造业利润和销售额的季度数据。假定利润不仅与销售额有关，而且和季度因素有关。要求对下列二种情况分别估计利润模型：（1）如果认为季度影响使利润平均值发生变异，应如何引入虚拟变量（2）如果认为季度影响使利润对销售额的变化率发生变异，如何引入虚拟变量 表 1 利润（Y）销售额（X）利润（Y）销售额（X）1965-I 10503 114862 1968-I 12539 148826 II 12092 123968 II 14849 158913 III 108
2、34 121454 III 13203 155727 IV 12201 131917 IV 14947 168409 1966-I 12245 129911 1969-I 14151 162781 II 14001 140976 II 15949 176057 III 12213 137828 III 14024 172419 IV 12820 145645 IV 14315 183327 1967-I 11349 136989 1970-I 12381 170415 II 12615 145126 II 13991 181313 III 11014 141536 III 12174 1767
3、12 IV 12730 151776 IV 10985 180370 Quarterly 65-70 Quick-Equation Estimation Y c x seas(1)seas(2)seas(3)Dependent Variable:Y 穷则独善其身，达则兼善天下。孟子穷则独善其身，达则兼善天下。孟子Method:Least Squares Date:11/26/14 Time:18:38 Sample:1965Q1 1970Q4 Included observations:24 Variable Coefficient Std.Error t-Statistic Prob.C X
4、 SEAS(1)SEAS(2)SEAS(3)R-squared Mean dependent var Adjusted R-squared .dependent var .of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)T 和 P 在 5%情况下都不通过，第二季度相对还好一点 假设第二季度显著，结果的经济含义是什么 Y c x seas(2)seas(3)seas(4)万两黄
5、金容易得，知心一个也难求。曹雪芹百学须先立志。朱熹 Dependent Variable:Y Method:Least Squares Date:11/26/14 Time:18:47 Sample:1965Q1 1970Q4 Included observations:24 Variable Coefficient Std.Error t-Statistic Prob.C X SEAS(2)SEAS(3)SEAS(4)R-squared Mean dependent var Adjusted R-squared .dependent var .of regression Akaike inf
6、o criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)第二季度依旧显著影响 四种都试一下（去掉一个季节），选一个最显著的 好学近乎知，力行近乎仁，知耻近乎勇。中庸常将有日思无日，莫待无时思有时。增广贤文124 Dependent Variable:Y Method:Least Squares Date:11/26/14 Time:18:51 Sample:1965Q1 1970Q4 Included observations:2
7、4 Variable Coefficient Std.Error t-Statistic Prob.C X SEAS(1)SEAS(2)SEAS(4)R-squared Mean dependent var Adjusted R-squared .dependent var .of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)134 良辰美景奈何天，便赏心乐事谁家院。则为你如花
8、美眷，似水流年。汤显祖勿以恶小而为之，勿以善小而不为。刘备Dependent Variable:Y Method:Least Squares Date:11/26/14 Time:18:52 Sample:1965Q1 1970Q4 Included observations:24 Variable Coefficient Std.Error t-Statistic Prob.C X SEAS(1)SEAS(3)SEAS(4)R-squared Mean dependent var Adjusted R-squared .dependent var .of regression Akaike
9、info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)（2）Y=c+x+1D1X+2D2X+3D3X D1=1（第一季度）0（其他）百学须先立志。朱熹人人好公，则天下太平；人人营私，则天下大乱。刘鹗Y c x seas(1)*x seas(2)*x seas(3)*x Dependent Variable:Y Method:Least Squares Date:11/26/14 Time:19:00 Sample:1965
10、Q1 1970Q4 Included observations:24 Variable Coefficient Std.Error t-Statistic Prob.C X SEAS(1)*X SEAS(2)*X SEAS(3)*X R-squared Mean dependent var Adjusted R-squared .dependent var .of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat P
11、rob(F-statistic)Dependent Variable:Y 勿以恶小而为之，勿以善小而不为。刘备以家为家，以乡为乡，以国为国，以天下为天下。管子牧民Method:Least Squares Date:11/26/14 Time:19:10 Sample:1965Q1 1970Q4 Included observations:24 Variable Coefficient Std.Error t-Statistic Prob.C X SEAS(1)SEAS(3)SEAS(4)R-squared Mean dependent var Adjusted R-squared .depen
12、dent var .of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)Dependent Variable:Y Method:Least Squares Date:11/26/14 Time:19:11 Sample:1965Q1 1970Q4 人之为学，不日进则日退，独学无友，则孤陋而难成；久处一方，则习染而不自觉。顾炎武非淡泊无以明志，非宁静无以致远。诸葛亮Included
13、 observations:24 Variable Coefficient Std.Error t-Statistic Prob.C X SEAS(1)*X SEAS(2)*X SEAS(4)*X R-squared Mean dependent var Adjusted R-squared .dependent var .of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)De
14、pendent Variable:Y Method:Least Squares Date:11/26/14 Time:19:11 Sample:1965Q1 1970Q4 Included observations:24 Variable CoefficieStd.Error t-Statistic Prob.大丈夫处世，不能立功建业，几与草木同腐乎？罗贯中我尽一杯，与君发三愿：一愿世清平，二愿身强健，三愿临老头，数与君相见。白居易nt C X SEAS(2)*X SEAS(3)*X SEAS(4)*X R-squared Mean dependent var Adjusted R-squar
15、ed .dependent var .of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)我尽一杯，与君发三愿：一愿世清平，二愿身强健，三愿临老头，数与君相见。白居易丈夫志四方，有事先悬弧，焉能钧三江，终年守菰蒲。顾炎武习题二 表 2 给出了某地区某行业的库存Y和销售X的统计资料。假设库存额依赖于本年销售额与前三年的销售额，试用 Almon 变换估计以下有限分布滞后模型：tttt
16、ttXXXXY3322110 表 2 库存 Y（万元）销售额 X（万元）库存 Y（万元）销售额 X（万元）1980 11267 8827 1990 17053 13668 1981 12661 9247 1991 19491 14956 1982 12968 9579 1992 21164 15483 1983 12518 9093 1993 22719 16761 1984 13177 10073 1994 24269 17852 1985 13454 10265 1995 25411 17620 1986 13735 10299 1996 25611 18639 1987 14553 11
17、038 1997 26930 20672 1988 15011 11677 1998 30218 23799 1989 15846 12445 1999 36784 27359 Y=+0Xt-i+1Xt-i+2Xt-i+t 3，i=0 笔记 11,26）在最上面输入 genr z0=x+x(-1)+x(-1)+x(-3)genr z1=x(-1)+2*x(-2)+3*x(-3)genr z2=x(-1)+4*x(-2)+9*x(-3)y c z0 z1 z2 丈夫志四方，有事先悬弧，焉能钧三江，终年守菰蒲。顾炎武良辰美景奈何天，便赏心乐事谁家院。则为你如花美眷，似水流年。汤显祖 Depende
18、nt Variable:Y Method:Least Squares Date:11/26/14 Time:19:38 Sample(adjusted):1983 1999 Included observations:17 after adjustments Variable Coefficient Std.Error t-Statistic Prob.C Z0 Z1 Z2 R-squared Mean dependent var Adjusted R-squared .dependent var .of regression Akaike info criterion Sum squared
19、 resid 2692398.Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)Y c PDL(x,3,2)重新回归 谋事在人，成事在天！增广贤文良辰美景奈何天，便赏心乐事谁家院。则为你如花美眷，似水流年。汤显祖 Dependent Variable:Y Method:Least Squares Date:11/26/14 Time:19:46 Sample(adjusted):1983 1999 Included observations:17 after adjustments
20、Variable Coefficient Std.Error t-Statistic Prob.C PDL01 PDL02 PDL03 R-squared Mean dependent var Adjusted R-squared .dependent var .of regression Akaike info criterion Sum squared resid 2511848.Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)Lag Distribution of X i C
21、oefficient Std.Error t-Statistic .*|0 .*|1 古之立大事者，不惟有超世之才，亦必有坚忍不拔之志。苏轼人之为学，不日进则日退，独学无友，则孤陋而难成；久处一方，则习染而不自觉。顾炎武 .*|2 *.|3 Sum of Lags 勿以恶小而为之，勿以善小而不为。刘备海纳百川，有容乃大；壁立千仞，无欲则刚。林则徐习题三 表 3 给出了印度 19491965 年实际货币存量、实际总国民收入和长期利率数据。假设有如下的长期货币需求关系式：teYRMttt210*其中，*tM为长期货币需求（现金余额）；tR为长期利率；tY为实际总国民收入。请在如下存量调整假说下估计
22、该货币需求模型，其中tM为实际现金存量：1*1ttttMMMM 10 表 3 年份 实际 货币 M 实际 净收入 Y 长期 利率 R 年份 实际 货币 M 实际 净收入 Y 长期 利率 R (千万卢比)(10 亿卢比)(%)(千万卢比)(10 亿卢比)(%)1949 1958 1950 1959 1951 1960 1952 1961 1953 1962 1954 1963 1955 1964 1956 1965 1957 LnM*t=ln0+1lnRt+2lnYt+t LnMt-LnMt-1=lnM*t-lnMt-1 LnMt=ln0+1 lnRt+2 lnYt+（1-）lnMt-1+t 求
23、回归 忍一句，息一怒，饶一着，退一步。增广贤文百川东到海，何时复西归？少壮不尽力，老大徒伤悲。汉乐府长歌行Quick-Equation Estimation log(m)c log(r)log(y)log(m(-)Dependent Variable:LOG(M)Method:Least Squares Date:11/26/14 Time:20:13 Sample(adjusted):1950 1965 Included observations:16 after adjustments Variable Coefficient Std.Error t-Statistic Prob.C LO
24、G(R)LOG(Y)LOG(M(-1)R-squared Mean dependent var Adjusted R-squared .dependent var .of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)求 我尽一杯，与君发三愿：一愿世清平，二愿身强健，三愿临老头，数与君相见。白居易人不知而不愠，不亦君子乎？论语1-=非线性模型如何变换，变换后还要回到估计的预原模型
25、中 拉格朗日乘数检验VIEW=R=LM test Lags to 1 Breusch-Godfrey Serial Correlation LM Test:F-statistic Probability Obs*R-squared Probability Test Equation:Dependent Variable:RESID Method:Least Squares Date:11/26/14 Time:20:22 Presample missing value lagged residuals set to zero.Variable Coefficient Std.Error t-Statistic Prob.C LOG(R)LOG(Y)LOG(M(-1)RESID(-1)R-squared Mean dependent var Adjusted R-squared .dependent var 好学近乎知，力行近乎仁，知耻近乎勇。中庸海纳百川，有容乃大；壁立千仞，无欲则刚。林则徐.of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)