《計(jì)量經(jīng)濟(jì)學(xué)》龐浩第一版第七章分布滯后模型與自回歸模型eviews上機(jī)操作.doc

1、第七章分布滯后模型與自回歸模型案例分析一、問(wèn)題的提出和模型設(shè)定貨幣主義學(xué)派認(rèn)為，產(chǎn)生通貨膨脹的必要條件是貨幣的超量供應(yīng)。物價(jià)變動(dòng)與貨幣供應(yīng)量的變化有著較為密切的聯(lián)系，但是二者之間的關(guān)系不是瞬時(shí)的，貨幣供應(yīng)量的變化對(duì)物價(jià)的影響存在一定時(shí)滯。在中國(guó)，大家普遍認(rèn)同貨幣供給的變化對(duì)物價(jià)具有滯后影響，但滯后期究竟有多長(zhǎng)，還存在不同的認(rèn)識(shí)。下面采集1996- 2005年全國(guó)廣義貨幣供應(yīng)量和物價(jià)指數(shù)的月度數(shù)據(jù)對(duì)這一問(wèn)題進(jìn)行研究。月度廣義貨幣M2（千億元）廣義貨幣增長(zhǎng)量M2z（千億元）居民消費(fèi)價(jià)格同比指數(shù)tbzs月度廣義貨幣M2（千億元）廣義貨幣增長(zhǎng)量M2z（千億元）居民消費(fèi)價(jià)格同比指數(shù)tbzsJan-965

2、8.401Oct-00129.522-0.9518100Feb-9663.7785.377109.3Nov-00130.99411.4721101.3Mar-9664.5110.733109.8Dec-00134.61033.6162101.5Apr-9665.7231.212109.71-Jan137.54362.9333101.2May-9666.881.157108.91-Feb136.2102-1.3334100Jun-9668.1321.252108.61-Mar138.74452.5343100.8Jul-9669.3461.214108.31-Apr139.94991.20541

3、01.6Aug-9672.3092.963108.11-May139.0158-0.9341101.7Sep-9669.643-2.666107.41-Jun147.80978.7939101.4Oct-9673.15223.50921071-Jul149.22871.419101.5Nov-9674.1420.9898106.91-Aug149.94180.7131101Dec-9676.09491.95291071-Sep151.82261.880899.9Jan-9778.6482.5531105.91-Oct151.4973-0.3253100.2Feb-9778.9980.35105

4、.61-Nov154.08832.59199.7Mar-9779.8890.8911041-Dec158.30194.213699.7Apr-9780.8180.929103.22-Jan159.63931.337499May-9781.1510.333102.82-Feb160.93561.2963100Jun-9782.7891.638102.82-Mar164.06463.12999.2Jul-9783.460.671102.72-Apr164.57060.50698.7Aug-9784.7461.286101.92-May166.0611.490498.9Sep-9785.8921.1

5、46101.82-Jun169.60123.540299.2Oct-9786.6440.752101.52-Jul170.85111.249999.1Nov-9787.590.946101.12-Aug173.25092.399899.3Dec-9790.99533.4053100.42-Sep176.98243.731599.3Jan-9892.21141.2161100.32-Oct177.29420.311899.2Feb-9892.024-0.187499.92-Nov179.73632.442199.3Mar-9892.015-0.009100.72-Dec185.00735.271

6、99.6Apr-9892.6620.64799.73-Jan190.48835.481100.4May-9893.9361.274993-Feb190.1084-0.3799100.2Jun-9894.6580.72298.73-Mar194.48734.3789100.9Jul-9896.3141.65698.63-Apr196.13011.6428101Aug-9897.2990.98598.63-May199.50523.3751100.7Sep-9899.7952.49698.53-Jun204.93145.4262100.3Oct-98100.87521.080298.93-Jul2

7、06.19311.2617100.5Nov-98102.2291.353898.83-Aug210.59194.3988100.9Dec-98104.49852.2695993-Sep213.56712.9752101.1Jan-99105.51.001598.83-Oct214.46940.9023101.8Feb-99107.7782.27898.73-Nov216.35171.8823103Mar-99108.4380.6698.23-Dec221.22284.8711103.2Apr-99109.2180.7897.84-Jan225.101933.87913103.2May-9911

8、0.0610.84397.84-Feb227.050721.94879102.1Jun-99111.3631.30297.94-Mar231.65464.60388103Jul-99111.4140.05198.64-Apr233.627861.97326103.8Aug-99112.8271.41398.74-May234.84241.21454104.4Sep-99115.0792.25299.24-Jun238.427493.58509105Oct-99115.390.31199.44-Jul234.8424-3.58509105.3Nov-99116.5591.16999.14-Aug

9、239.729194.88679105.3Dec-99119.8983.339994-Sep243.7574.02781105.2Jan-00121.221.32299.84-Oct243.74-0.017104.3Feb-00121.58340.3634100.74-Nov247.135583.39558102.8Mar-00122.58070.997399.84-Dec253.20776.07212102.4Apr-00124.12191.541299.75-Jan257.752834.54513101.9May-00124.0533-0.0686100.15-Feb259.35611.6

10、0327103.9Jun-00126.60532.552100.55-Mar264.58895.2328102.7Jul-00126.3239-0.2814100.55-Apr266.992662.40376101.8Aug-00127.791.4661100.35-May269.22942.23674101.8Sep-00130.47382.6838100Eviews上機(jī)具體操作:利用eviews3.0進(jìn)行分析第一步：建立數(shù)據(jù)1新建工作文檔：file-new-workfile，在打開的workfile range對(duì)話框中的 workfile frequency 中選擇 monthly，sta

11、rt date 輸入 1996-1，end date 輸入 2005-5，點(diǎn)擊 ok。2輸入數(shù)據(jù)(先是data y x2 x3 然后是將excel中的數(shù)據(jù)復(fù)制過(guò)來(lái)即可)并保存本題在命令窗口輸入 data TBZS M2Z,并點(diǎn)擊name命名為GROUP01.然后將上面的數(shù)據(jù)錄入。第二步分析數(shù)據(jù)為了考察貨幣供應(yīng)量的變化對(duì)物價(jià)的影響，我們用廣義貨幣M2的月增長(zhǎng)量用廣義貨幣M2Z作為解釋變量，以居民消費(fèi)價(jià)格月度同比指數(shù) TBZS為被解釋變量進(jìn)行研究。首先估計(jì)如下回歸模型：TBZSto M 2Zt Ut在命令窗口輸入ls TBZS C M2Z，并點(diǎn)擊name命名為EQ01.得到如下回歸Depe nde

12、nt Variable: TBZSMethod: Least SquaresDate: 12/20/12 Time: 10:23Sample(adjusted): 1996:02 2005:05In eluded observati ons: 112 after adjusti ng en dpo intsVariableCoefficie ntStd. Errort-StatisticProb.C101.43560.397419255.23580.0000M2Z0.0683710.1518720.4501900.6535R-squared0.001839Mean depe ndent var

13、101.5643Adjusted R-squared-0.007235S.D.dependent var2.911111S.E. of regressi on2.921623Akaike info criteri on4.999852Sum squared resid938.9472Schwarz criteri on5.048396Log likelihood-277.9917F-statistic0.202671Durb in -Watson stat0.047702Prob(F-statistic)0.653460 從回歸結(jié)果來(lái)看，M2Z的t統(tǒng)計(jì)量值不顯著，表明當(dāng)期貨幣供應(yīng)量的 變化對(duì)當(dāng)

14、期物價(jià)水平的影響在統(tǒng)計(jì)意義上不明顯。為了分析貨幣供應(yīng)量變化影響物價(jià)的滯后性，我們做滯后6個(gè)月的分布滯后模型的估計(jì).在命令窗口輸入 Is TBZS C M2Z M2Z(-1) M2Z(-2) M2Z(-3) M2Z(-4) M2Z(-5) M2Z(-6)，并點(diǎn)擊 name命名為 EQ02.Depe ndent Variable: TBZSMethod: Least SquaresDate: 12/20/12 Time: 10:27Sample(adjusted): 1996:08 2005:05Included observations: 106 after adjusting endpoint

15、sVariableCoefficie ntStd. Errort-StatisticProb.C100.04920.584318171.22400.0000M2Z-0.0110370.140613-0.0784930.9376M2Z(-1)0.0161690.1379980.1171660.9070M2Z(-2)0.0530440.1368080.3877230.6991M2Z(-3)0.0286790.1431550.2003330.8416M2Z(-4)0.1308250.1391830.9399510.3496M2Z(-5)0.1377940.1425020.9669650.3359M2

16、Z(-6)0.2487780.1433941.7349240.0859R-squared0.055557Mean depe ndent var101.1377Adjusted R-squared-0.011904S.D.dependent var2.347946S.E. of regressi on2.361879Akaike info criteri on4.629264Sum squared resid546.6902Schwarz criteri on4.830278Log likelihood-237.3510F-statistic0.823546Durb in -Watson sta

17、t0.094549Prob(F-statistic)0.570083 一從回歸結(jié)果來(lái)看，M2Z各滯后期的系數(shù)逐步增加，表明當(dāng)期貨幣供應(yīng) 量的變化對(duì)物價(jià)水平的影響要經(jīng)過(guò)一段時(shí)間才能逐步顯現(xiàn)。但各滯后期的系數(shù)的t統(tǒng)計(jì)量值不顯著，因此還不能據(jù)此判斷滯后期究竟有多 長(zhǎng)。為此，我們做滯后12個(gè)月的分布滯后模型的估計(jì).在命令窗口輸入 Is TBZS 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)，并點(diǎn)擊name命名為EQ03.Depe ndent

18、 Variable: TBZSMethod: Least SquaresDate: 12/20/12 Time: 10:30Sample(adjusted): 1997:02 2005:05Included observations: 100 after adjusting endpointsVariableCoefficie ntStd. Errort-StatisticProb.C98.356680.467897210.21020.0000M2Z-0.1676650.121743-1.3772030.1720M2Z(-1)-0.0320650.111691-0.2870840.7747M2

19、Z(-2)-0.0009950.111464-0.0089250.9929M2Z(-3)0.0042430.1138150.0372760.9704M2Z(-4)0.1065810.1127270.9454800.3471M2Z(-5)0.0432170.1131610.3819080.7035M2Z(-6)0.1175810.1184600.9925750.3237M2Z(-7)0.1404180.1155711.2149880.2277M2Z(-8)0.2208750.1143681.9312710.0567M2Z(-9)0.1408750.1153541.2212470.2253M2Z(

20、-10)0.1804970.1158951.5574100.1230M2Z(-11)0.2469110.1255431.9667520.0524M2Z(-12)0.3923590.1300583.0167980.0034R-squared0.317136Mean depe ndent var100.7830Adjusted R-squared0.213913S.D.dependent var1.890863S.E. of regressi on1.676469Akaike info criteri onSum squared resid241.7072Schwarz criteri onLog

21、 likelihood-186.0217F-statisticDurb in -Watson stat0.265335Prob(F-statistic)_ 一4.0004344.3651583.0723250.000906上表顯示，從M2Z到M2Z(-11),回歸系數(shù)都不顯著異于零(P值均大于0.05)，而 M2z(-i2)的回歸系數(shù)t統(tǒng)計(jì)量值為3.016798，在5%顯著性 水平下拒絕系數(shù)為零的原假設(shè)。這一結(jié)果表明，當(dāng)期貨幣供應(yīng)量變化 對(duì)物價(jià)水平的影響在經(jīng)過(guò)12個(gè)月(即一年)后明顯地顯現(xiàn)出來(lái)。為 了考察貨幣供應(yīng)量變化對(duì)物價(jià)水平影響的持續(xù)期，我們做滯后18個(gè)月的分布滯后模型的估計(jì)。在命令窗口輸

22、入 Is TBZS 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)，并點(diǎn)擊name命名為EQ04.Depe ndent Variable: TBZSMethod: Least SquaresDate: 12/20/12 Time: 10:33Sample(adjusted): 1997:08 2005:05In cluded observa

23、ti ons: 94 after adjusti ng en dpo intsVariableCoefficie ntStd. Errort-StatisticProb.C97.414110.370000263.28150.0000M2Z-0.0836490.094529-0.8849000.3791M2Z(-1)-0.1167440.093984-1.2421610.2181M2Z(-2)-0.1199390.094428-1.2701560.2080M2Z(-3)-0.0929930.095720-0.9715090.3345M2Z(-4)-0.0329120.095823-0.34346

24、80.7322M2Z(-5)-0.0238910.097813-0.2442560.8077M2Z(-6)0.0172900.1006450.1717940.8641M2Z(-7)0.0282880.0975700.2899290.7727M2Z(-8)0.0487080.0958770.5080210.6129M2Z(-9)0.0259950.0975690.2664220.7907M2Z(-10)0.1182470.0967641.2220110.2256M2Z(-11)0.1574080.1025581.5348150.1291M2Z(-12)0.2712810.1123162.4153

25、260.0182M2Z(-13)0.3257600.1092172.9826840.0039M2Z(-14)0.3962420.1070463.7016010.0004M2Z(-15)0.3354820.1067763.1419410.0024M2Z(-16)0.2708110.1072222.5256970.0137M2Z(-17)0.2000240.1092781.8304150.0712M2Z(-18)0.1696960.1015471.6711140.0989R-squared0.610520Mean depe ndent var100.6085Adjusted R-squared0.

26、510519S.D.dependent var1.795733S.E. of regressi on1.256348Akaike info criteri on3.480597Sum squared resid116.8024Schwarz criteri on4.021724Log likelihood-143.5881F-statistic6.105105Durb in -Watson stat0.308938Prob(F-statistic)0.000000一 _結(jié)果表明，從滯后12個(gè)月開始t統(tǒng)計(jì)量值顯著，一直到滯后16個(gè) 月為止，從滯后第17個(gè)月開始t值變得不顯著；再?gòu)幕貧w系數(shù)來(lái)看， 從滯后11個(gè)月開始，貨幣供應(yīng)量變化對(duì)物價(jià)水平的影響明顯增加， 再滯后14個(gè)月時(shí)達(dá)到最大，然后逐步下降。通過(guò)上述一系列分析，我們可以做出這樣的判斷：在我國(guó)，貨幣 供應(yīng)量變化對(duì)物價(jià)水平的影響