我國(guó)改革開放以來固定資產(chǎn)投資與GDP關(guān)系分析

1、我國(guó)改革開放以來固定資產(chǎn)投資與GDP關(guān)系分析【摘要】本文旨在對(duì)我國(guó)改革開放以來固定資產(chǎn)投資與GDP關(guān)系進(jìn)行計(jì)量分析。首先我們對(duì)已有的部分關(guān)于固定資產(chǎn)投資的觀點(diǎn)和評(píng)論進(jìn)行了評(píng)述；然后再收集的數(shù)據(jù)的基礎(chǔ)上利用EViews軟件進(jìn)行了計(jì)量分析，從數(shù)據(jù)本身出發(fā)驗(yàn)證了兩者的因果關(guān)系，并尋求設(shè)定合理的經(jīng)濟(jì)關(guān)系模型；接著運(yùn)用軟件對(duì)設(shè)定的模型進(jìn)行了參數(shù)估計(jì)，檢驗(yàn)及修正；最后我們利用所得的結(jié)果進(jìn)行了經(jīng)濟(jì)預(yù)測(cè)以評(píng)估所得結(jié)果的價(jià)值并對(duì)結(jié)果本身提出了政策意見。一問題的提出我國(guó)自改革開放以來已保持了國(guó)民經(jīng)濟(jì)20多年的快速增長(zhǎng)，GDP年均增長(zhǎng)率在10%以上，如此高的增長(zhǎng)速度不經(jīng)要引起人們對(duì)其增長(zhǎng)動(dòng)力或原因的興趣。今年來關(guān)于

2、投資，消費(fèi)和出口“三駕馬車”拉動(dòng)經(jīng)濟(jì)增長(zhǎng)的理論較為突出。尤其是進(jìn)入90年代后直到90年代末到新世紀(jì)最近幾年，不論是學(xué)術(shù)界還是公眾媒體都對(duì)固定資產(chǎn)投資的高增長(zhǎng)表現(xiàn)出不同程度的擔(dān)憂，因而才引出關(guān)于經(jīng)濟(jì)軟著陸和怎樣減少固定資產(chǎn)投資的討論。那么，究竟固定資產(chǎn)投資同GDP之間的關(guān)系如何？新世紀(jì)的前后幾年是不是存在固定資產(chǎn)投資過熱拉動(dòng)經(jīng)濟(jì)過熱的情況？本文試圖運(yùn)用計(jì)量經(jīng)濟(jì)學(xué)的方法尋求答案。二數(shù)據(jù)收集為進(jìn)行計(jì)量分析，我們尋求改革開放至今的GDP和固定資產(chǎn)的可比數(shù)據(jù)，數(shù)據(jù)來源為中國(guó)統(tǒng)計(jì)年鑒及中國(guó)國(guó)家統(tǒng)計(jì)局網(wǎng)站(http:)的數(shù)據(jù)資料，兩項(xiàng)數(shù)據(jù)樣本數(shù)都為27,滿足一元回歸的要求。1978-2004年GDP及固定資

3、產(chǎn)投資年度數(shù)據(jù)obsGDPFAI1978197919801981198219831984198519861987198819891990199119921993199419951996199719983624.1004038.2004517.8004862.4005294.7007171.0007171.0008964.40010202.2011962.5014928.3016909.2018547.9021617.8026638.1034634.4046759.4058478.1067884.6074462.6078345.20780.2000846.2000910.9000961.0000

4、1230.4001430.1001832.9002543.2003120.6003791.7004753.8004410.4004517.0005594.5008080.10013072.3017042.9420019.2622974.0324941.10284065029854.71200089468.1032917.73200197314.8037213.492002104790.643499.912003117251.955566.612004136515.070072.71數(shù)據(jù)分析由于相關(guān)數(shù)據(jù)為時(shí)間序列，很可能為非平穩(wěn)序列，直接回歸可能造成偽回歸。因此對(duì)兩時(shí)間

5、序列進(jìn)行平穩(wěn)性檢驗(yàn)，方法為ADF檢驗(yàn)。EViews5默認(rèn)情況下檢驗(yàn)結(jié)果如下：GDP的ADF檢驗(yàn)NullHypothesis:GDPhasaunitrootExogenous:ConstantLagLength:2(AutomaticbasedonSIC,MAXLAG=6)t-StatisticProb.MacKinnon(1996)one-sidedp-values.AugmentedDickey-Fullerteststatistic2.5889251.0000Testcriticalvalues:1%level-3.7378535%level-2.99187810%level-2.6355

6、42AugmentedDickey-FullerTestEquationDependentVariable:D(GDP)Method:LeastSquaresDate:05/28/05Time:16:45Sample(adjusted):19812004Includedobservations:24afteradjustmentsCoefficieProb.VariablentStd.Errort-StatisticGDP(-1)0.0457720.0176802.5889250.0175D(GDP(-1)1.327562-0.732830.2171506.1135740.0000D(GDP(

7、-2)10.231507-3.1654850.0049C399.8333664.79320.6014400.5543R-squared0.851066Meandependentvar5499.883AdjustedR-squared0.828726S.D.dependentvar4860.139S.E.ofregression2011.3838091321Akaikeinfocriterion18.20204Sumsquaredresid9-214.424Schwarzcriterion18.39839Loglikelihood5F-statistic38.09586Durbin-Watson

8、stat2.019994Prob(F-statistic)0.000000FAI的ADF檢驗(yàn)NullHypothesis:FAIhasaunitrootExogenous:ConstantLagLength:6(AutomaticbasedonSIC,MAXLAG=6)t-StatisticProb.*AugmentedDickey-Fullerteststatistic4.2612021.0000Testcriticalvalues:1%level-3.8085465%level-3.02068610%level-2.650413*MacKinnon(1996)one-sidedp-valu

9、es.AugmentedDickey-FullerTestEquationDependentVariable:D(FAI)Method:LeastSquaresDate:05/28/05Time:16:48Sample(adjusted):19852004Includedobservations:20afteradjustmentsVariable2E.FAI(-1)0.2595730.0609154.2612020.0011D(FAI(-1)0.7625700.2319303.2879250.0065-0.27295D(FAI(-2)70.300382-0.9086990.3814-0.74

10、513D(FAI(-3)30.292414-2.5482100.0255-0.60899D(FAI(-4)30.290971-2.0929660.0583D(FAI(-5)0.7392930.3387122.1826550.0497-1.25799D(FAI(-6)50.331724-3.7922980.0026C189.1530376.01380.5030480.6240R-squared0.956233Meandependentvar3411.991AdjustedR-squared0.930703S.D.dependentvar3814.703S.E.ofregression1004.1

11、98Akaikeinfocriterion16.950941210097Sumsquaredresid4Schwarzcriterion17.34923-161.509Loglikelihood4F-statistic37.45431Durbin-Watsonstat2.303034Prob(F-statistic)0.000000由上述結(jié)果可以看到兩序列的ADF統(tǒng)計(jì)量均大于5%水平下的臨界值，因而不能拒絕原假設(shè),序列為非平穩(wěn)序列由于兩序列均為非平穩(wěn)序列，因而需要進(jìn)行兩序列協(xié)整的檢驗(yàn)，否則其回歸將是沒有意義的。協(xié)整檢驗(yàn)第一步，對(duì)兩序列運(yùn)用OLS法進(jìn)行簡(jiǎn)單一元回歸，得到回歸參數(shù)估計(jì)和殘差序列?；?/p>

12、歸結(jié)果：DependentVariable:GDPMethod:LeastSquaresDate:05/30/05Time:02:57Sample:19782004Includedobservations:27CoefficieVariablentStd.Errort-StatisticProb.C7569.4842054.4443.6844450.0011FAI2.1573120.08369625.775560.0000R-squared0.963736Meandependentvar42756.36AdjustedR-squared0.962285S.D.dependentvar41079

13、.01S.E.ofregression7977.694Akaikeinfocriterion20.87787Sumsquaredresid1.59E+09Schwarzcriterion20.97386-279.851Loglikelihood3F-statistic664.3797Durbin-Watsonstat0.288516Prob(F-statistic)0.000000殘差序列Lastupdated:05/30/05-02:571978-5628.5191979-5356.8011980-5016.7801981-4780.2611982-4929.1411983-3483.656

14、1984-4352.6211985-4091.5601986-4099.3931987-3786.8651988-2896.6151989-174.893919901233.83719911979.23319921637.3171993-1136.11719942422.97219957720.820199610752.96199713087.3719989494.736199910092.08200010884.7920019464.19620023378.2252003-10192.122004-22223.20協(xié)整檢驗(yàn)第二步，運(yùn)用ADF法檢驗(yàn)殘差序列平穩(wěn)性從而檢驗(yàn)兩序列是否存在協(xié)整。殘差

15、序列ADF檢驗(yàn)NullHypothesis:EThasaunitrootExogenous:ConstantLagLength:5(AutomaticbasedonSIC,MAXLAG=6)t-StatisticProb.MacKinnon(1996)one-sidedp-values.AugmentedDickey-Fullerteststatistic-3.7308540.0113Testcriticalvalues:1%level-3.7880305%level-3.01236310%level-2.646119AugmentedDickey-FullerTestEquationDepe

16、ndentVariable:D(ET)Method:LeastSquaresDate:05/30/05Time:03:25Sample(adjusted):19842004Includedobservations:21afteradjustmentsCoefficieStd.Errort-StatisticProb.VariablentET(-1)-0.3704680.099298-3.7308540.0022D(ET(-1)0.9620630.1628165.9088960.0000D(ET(-2)0.4618810.2884971.6009930.1317D(ET(-3)0.2454610

17、.2770220.8860710.3905D(ET(-4)0.3073360.2722551.1288530.2779D(ET(-5)1.2036760.2856654.2135920.0009C-1293.088582.6998-2.2191320.0435R-squared0.846063MeandependentvarAdjustedR-squared0.780090S.D.dependentvar4690.288S.E.ofregression2199.491Akaikeinfocriterion18.491046772866Sumsquaredresid3Schwarzcriteri

18、on18.83922-187.155Loglikelihood9F-statistic12.82436Durbin-Watsonstat1.764056Prob(F-statistic)0.000055由結(jié)果顯示殘差序列的ADF統(tǒng)計(jì)量小于5%水平下的臨界值，因而不能拒絕原假設(shè)殘差序列是平穩(wěn)的，因而就有兩序列間存在協(xié)整。也證實(shí)了兩序列間存在長(zhǎng)期穩(wěn)定關(guān)系。由于兩序列被證實(shí)存在長(zhǎng)期穩(wěn)定關(guān)系，進(jìn)一步檢驗(yàn)GDP同固定資產(chǎn)投資間因果關(guān)系及程度。采用檢驗(yàn)方法為Granger檢驗(yàn)。調(diào)整滯后長(zhǎng)度為2-5,得到如下結(jié)果。PairwiseGrangerCausalityTestsDate:05/30/05Time:

19、03:33Sample:19782004Lags:2NullHypothesis:ObsF-StatisticProbabilityGDPdoesnotGrangerCauseFAI251.510060.24503FAIdoesnotGrangerCauseGDP12.80150.00026PairwiseGrangerCausalityTestsDate:05/30/05Time:03:34Sample:19782004Lags:3NullHypothesis:ObsF-StatisticProbabilityGDPdoesnotGrangerCauseFAI240.609660.61786

20、FAIdoesnotGrangerCauseGDP6.405750.00422PairwiseGrangerCausalityTestsDate:05/30/05Time:03:34Sample:19782004Lags:4NullHypothesis:ObsF-StatisticProbabilityGDPdoesnotGrangerCauseFAI230.439050.77841FAIdoesnotGrangerCauseGDP4.745510.01249PairwiseGrangerCausalityTestsDate:05/30/05Time:03:34Sample:19782004L

21、ags:5NullHypothesis:ObsF-StatisticProbabilityGDPdoesnotGrangerCauseFAI223.056270.056953.697200.03297FAIdoesnotGrangerCauseGDP對(duì)上述結(jié)果總結(jié)如下:滯后長(zhǎng)度m=nGranger因果性F值P值結(jié)論2GDP->FAI1.510060.24503拒絕FAI->GDP12.80150.00026不拒絕3GDP->FAI0.609660.61786拒絕FAI->GDP6.405750.00422不拒絕4GDP->FAI0.439050.77841拒絕FA

22、I->GDP4.745510.01249不拒絕5GDP->FAI3.056270.05695不拒絕FAI->GDP3.69720.03297不拒絕可見GDP與固定資產(chǎn)投資存在明顯的因果關(guān)系，受制于序列的不平穩(wěn)才使得結(jié)論看上去仍受滯后長(zhǎng)度的影響。四模型設(shè)定，參數(shù)估計(jì)與檢驗(yàn)由數(shù)據(jù)分析可知，GDP與固定資產(chǎn)投資不但存在長(zhǎng)期穩(wěn)定關(guān)系更存在因果關(guān)系。因此可設(shè)定初步模型為：GDP=C+1*FAI+u應(yīng)用OLS法進(jìn)行參數(shù)估計(jì)。得到如下結(jié)果:DependentVariable:GDPMethod:LeastSquaresDate:05/31/05Time:14:13Sample:197820

23、04Includedobservations:27CoefficieVariablentStd.Errort-StatisticProb.C7569.4842054.4443.6844450.0011FAI2.1573120.08369625.775560.0000R-squared0.963736Meandependentvar42756.36AdjustedR-squared0.962285S.D.dependentvar41079.01S.E.ofregression7977.694Akaikeinfocriterion20.87787Sumsquaredresid1.59E+09Sch

24、warzcriterion20.97386-279.851Loglikelihood3F-statistic664.3797Durbin-Watsonstat0.288516Prob(F-statistic)0.000000a經(jīng)濟(jì)意義檢驗(yàn)：由經(jīng)濟(jì)理論以及此前的因果檢驗(yàn)可知固定資產(chǎn)投資與GDP存在長(zhǎng)期穩(wěn)定的正線性關(guān)系，模型估計(jì)與此相符。b統(tǒng)計(jì)推斷檢驗(yàn)：可決系數(shù)為0.963736，模型擬合情況較理想。T統(tǒng)計(jì)量為25.77556而顯著水平0.05下臨界值為2.060因此T統(tǒng)計(jì)量顯著。說明參數(shù)估計(jì)是顯著的，固定資產(chǎn)投資對(duì)GDP有顯著影響。F統(tǒng)計(jì)量為664.3797,0.05顯著水平下臨界值為3.33,

25、因此F統(tǒng)計(jì)量也是顯著的。說明模型設(shè)定也是顯著的。c計(jì)量經(jīng)濟(jì)檢驗(yàn)1多重共線性檢驗(yàn)。由于是一元回歸不存在多重共線性問題，無須檢驗(yàn)。2異方差檢驗(yàn)。2.00E+071.60E+071.20E+072E8.00E+064.00E+060.00E+00020000400006000080000FAIARCH檢驗(yàn)，設(shè)定?t后期為3得到如下結(jié)果ARCHTest:F-statistic10.08751Probability0.000294Obs*R-squared14.45014Probability0.002352TestEquation:DependentVariable:RESIDA2Method:Lea

26、stSquaresDate:05/31/05Time:14:53Sample(adjusted):19812004Includedobservations:24afteradjustmentsCoefficieVariablentStd.Errort-StatisticProb.C9059274.203799130.4445200.6614RESID2-1)1.8209830.4217534.3176530.0003-2.14386RESID2-2)80.567807-3.7756970.0012RESID2-3)1.4886240.4913053.0299390.00666273110R-s

27、quared0.602089Meandependentvar7AdjustedR-squared0.542403S.D.dependentvar1.04E+087048675S.E.ofregression1Akaikeinfocriterion39.13076Sumsquaredresid9.94E+16Schwarzcriterion39.32710-465.569Loglikelihood1F-statistic10.08751Durbin-Watsonstat1.787900Prob(F-statistic)0.000294比較obj*R2=14.45014>顯著程度0.05,自

28、由度P=3時(shí)的入臨界值7.81473。因此決絕原假設(shè)，判斷模型誤差項(xiàng)存在異方差。3自相關(guān)檢驗(yàn)。50004000-3000_«PSER2000-.1000-、，Q-*0*.*-1000-2000-*-3000一J,一J11-4000-20000200040006000RESID(-1)由此前回歸結(jié)果可知D-W統(tǒng)計(jì)量為0.288516。給定顯著水平0.05,查D-W表n=27,k=1得下限臨界值為1.316,上限臨界值為1.469。而0.288516<下PM1.316因此模型誤差項(xiàng)存在一階自相關(guān)。五模型修正（一）異方差修正WLS估計(jì)法。生成權(quán)數(shù)w=1/fai的估計(jì)結(jié)果為Depend

29、entVariable:GDPMethod:LeastSquaresDate:05/31/05Time:15:16Sample:19782004Includedobservations:27Weightingseries:1/FAICoefficieVariablentStd.Errort-StatisticProb.C1984.233211.10949.3990780.0000FAI2.7579950.10987425.101510.0000WeightedStatisticsR-squared0.779430Meandependentvar10214.52AdjustedR-squared

30、0.770607S.D.dependentvar2721.756S.E.ofregression1303.584Akaikeinfocriterion17.254814248329Sumsquaredresid9Schwarzcriterion17.35080-230.939Loglikelihood9F-statistic630.0859Durbin-Watsonstat0.677084Prob(F-statistic)0.000000UnweightedStatisticsR-squared0.878099Meandependentvar42756.36AdjustedR-squared0

31、.873223S.D.dependentvar41079.01S.E.ofregression14626.47Sumsquaredresid5.35E+09Durbin-Watsonstat0.201485換用對(duì)數(shù)變換法將gdp和fai替換成Lgdp和Lfai。的如下結(jié)論DependentVariable:LGDPMethod:LeastSquaresDate:05/31/05Time:15:22Sample:19782004Includedobservations:27CoefficieStd.Errort-StatisticProb.VariablentC2.7136610.1159572

32、3.402220.0000LFAI0.8290080.01290464.242410.0000R-squared0.993979Meandependentvar10.06867AdjustedR-squared0.993738S.D.dependentvar1.208213-1.78592S.E.ofregression0.095609Akaikeinfocriterion1-1.68993Sumsquaredresid0.228525Schwarzcriterion3Loglikelihood26.10993F-statistic4127.088Durbin-Watsonstat0.8763

33、28Prob(F-statistic)0.000000比較兩種方法可知gdp與固定資產(chǎn)投資在對(duì)數(shù)線性回歸下擬合最好！此時(shí)的ARCH檢驗(yàn)結(jié)果ARCHTest:F-statistic0.685945Probability0.571103Obs*R-squared2.239024Probability0.524303TestEquation:DependentVariable:RESIDA2Method:LeastSquaresDate:05/31/05Time:15:24Sample(adjusted):19812004Includedobservations:24afteradjustments

34、CoefficieVariablentStd.Errort-StatisticProb.C0.0060410.0030461.9833330.0612RESIDA2(-1)0.1732730.2268380.7638640.4539-0.01532RESIDA2(-2)00.226278-0.0677050.9467RESIDA2(-3)0.2320250.2256401.0282980.3161R-squared0.093293Meandependentvar0.009341AdjustedR-squared-0.04271S.D.dependentvar0.007696-6.70339S.

35、E.ofregression0.007859Akaikeinfocriterion3-6.50705Sumsquaredresid0.001235Schwarzcriterion1Loglikelihood84.44072F-statistic0.685945Durbin-Watsonstat1.892617Prob(F-statistic)0.571103其obj*R2=2.239024<臨界值7.81473。異方差修正！此時(shí)模型修正為：LGDP=C+1*LFAI+u二自相關(guān)修正,從而分別得廣義差分。此前結(jié)論有DW=0.876328,因此計(jì)算出明古計(jì)量為0.561836到GDP和FAI

36、的差分序列，再進(jìn)行OLS參數(shù)估計(jì)得到：DependentVariable:DLGDPMethod:LeastSquaresDate:06/07/05Time:02:13Sample(adjusted):19792004Includedobservations:26afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.C1.2756810.10447012.210950.0000DLFAI0.8070900.02567731.432700.0000R-squared0.976285Meandependentvar4.521712A

37、djustedR-squared0.975297S.D.dependentvar0.512440S.E.ofregression0.080542Akaikeinfocriterion-2.126285Sumsquaredresid0.155686Schwarzcriterion-2.029508Loglikelihood29.64170F-statistic988.0147Durbin-Watsonstat1.663055Prob(F-statistic)0.000000D-W=1.663055,此時(shí)的不能拒絕區(qū)域?yàn)?1.464,2.531)因此D-W客在不能拒絕的區(qū)域,修正了自相關(guān)。再使用迭

38、代法可得到：DependentVariable:LGDPMethod:LeastSquaresDate:05/31/05Time:15:38Sample(adjusted):19792004Includedobservations:26afteradjustmentsConvergenceachievedafter15iterationsCoefficieVariablentStd.Errort-StatisticProb.C3.0597260.3873017.9001210.0000LFAI0.7911560.04100919.292450.0000AR(1)0.6707920.177606

39、3.7768610.0010R-squared0.995495Meandependentvar10.14072AdjustedR-squared0.995103S.D.dependentvar1.171495-2.05653S.E.ofregression0.081979Akaikeinfocriterion9-1.91137Sumsquaredresid0.154573Schwarzcriterion4Loglikelihood29.73501F-statistic2541.114Durbin-Watsonstat1.815953Prob(F-statistic)0.000000InvertedARRoots.67DW=1.815953Y也落在不能拒絕的區(qū)域，修正了自相關(guān)。比較兩種方法取得的結(jié)果，可知，使用迭代法更為準(zhǔn)確。六時(shí)期考慮為了驗(yàn)證是否在近10年內(nèi)的固定資產(chǎn)投資是否過熱，我們運(yùn)用上述方法和結(jié)果對(duì)1994-2004期間的數(shù)據(jù)進(jìn)行了分析，得到如下結(jié)果:DependentVariable:LGDPMethod:LeastSquaresDate:05/31/05Ti