《计量经济学》第9章数据(共12页).doc
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1、精选优质文档-倾情为你奉上计量经济学各章数据第9章 时间序列分析例9.2.1 检验中国1978-2003年间支出法GDP时间序列(表9.2.1)的平稳性。表9.2.1 1978-2003年中国GDP(单位:亿元)年份GDP(亿元)19783624.119794038.219804517.819814862.419825294.719835934.519847171.019858964.4198610202.2198711962.5198814928.3198916909.2199018547.9199121617.8199226638.1199334634.4199446759.4199558
2、478.1199667884.6199774462.6199878345.2199982067.5200089468.1200197314.82002.32003.9例9.3.1 根据表9.3.1给出的样本调查数据,建立AR(p)模型。表9.3.1 样本数据日期t样本y日期t样本y1-0.058130.06820.058140.59530.72915-0.21740.28016-1.02351.02717-0.22660.67018-0.26170.559190.3788-0.48220-0.1289-1.46221-1.00310-2.039221.19711-1.306232.064120
3、.037例9.4.2 检验中国城镇居民人均消费性支出与人均可支配收入(见表9.3.3与图9.4.1)时间序列的协整关系。表9.4.2 中国城镇居民人均收入、人均消费(单位:元)年份人均可支配收入PI人均消费性支出PC年份人均可支配收入PI人均消费性支出PC1978343.4311.1619911700.61453.811979405.0361.8019922026.61671.731980477.6412.4419932577.42110.811981500.4456.8419943496.22851.341982535.3471.0019954283.03537.571983564.6505
4、.9219964838.93919.471984652.1559.4419975160.34185.641985739.1673.2019985425.14331.611986900.1798.9619995854.04615.9119871002.1884.4020006280.04998.0019881180.21103.9820016895.65309.0119891373.91210.9520027702.86029.8819901510.21278.8920038472.06510.94例9.5.1 表9.5.1给出了我国1978-2000年按当年价格计算的GDP与居民消费CS数据,
5、试检验GDP与CS是否存在因果关系。表9.5.1 中国GDP与消费支出(单位:亿元)年份CSGDP19781759.13605.619792005.4407419802317.14551.319812604.14901.419822867.95489.219833182.56076.319843674.57164.4198545898792.11986517510132.819875961.211784.719887633.11470419898523.51646619909113.218319.5199110315.921280.4199212459.825863.7199315682.43
6、4500.7199420809.846690.7199526944.558510.5199632152.368330.4199734854.674894.2199836921.179003.3199939334.482673.1200042911.989112.5资料来源:中国统计年鉴(2001) 例9.6.2 钢铁行业的需求对下游行业相关行业变化的影响本例选择钢铁行业及其主要的下游行业的销售收入数据(表9.6.4)作为各行业的需求变量,利用脉冲响应函数分析各下游行业自身需求的变动对钢铁行业需求的影响。表9.6.4 我国钢材、建材、汽车、机械、家电销售收入(单位:亿元)时间钢材销售收入y1建材
7、销售收入y2汽车销售收入y3机械销售收入y4家电销售收入y51999.1100.2593.23120.62334.55117.341999.2150.37139.85180.94501.83176.011999.3156.50153.84247.08572.42161.591999.4171.29176.69234.56610.12196.481999.5188.46181.36238.32634.57197.201999.6195.57202.88213.0645.86170.711999.7175.77195.88214.28650.19265.711999.8178.14187.1021
8、3.18602.46204.561999.9178.69188.71266.67657.80175.111999.10191.73188.96253.95644.98172.251999.11178.80204.83255.25687.57253.751999.12226.32269.42321.17939.11280.152000.1122.06104.74142.43385.39136.6282000.2183.10157.10213.65578.09204.942000.3190.55172.83291.75658.54188.162000.4208.56198.49276.97702.
9、52228.782000.5229.47203.74281.41730.80229.622000.6228.87234.15234.92695.12205.692000.7215.35213.49269.45769.96299.712000.8215.05213.88272.89720.86215.892000.9230.31213.09292.22779.11244.742000.10237.58216.97315.66775.77236.122000.11235.39210.81277.97790.80229.452000.12260.39287.36386.021045.38297.56
10、2001.1151.66115.76188.82445.58153.132001.2227.50173.63283.24668.37229.692001.3237.36205.96381.71806.15233.112001.4247.40218.87354.64811.39246.372001.5247.75222.21344.00837.38260.712001.6247.54236.03321.65895.51319.152001.7252.03216.28295.45758.41234.812001.8341.38224.99321.66787.95288.392001.9195.96
11、242.86367.93843.44190.412001.10232.40233.04335.31836.82207.012001.11227.17244.00368.36883.79233.412001.12307.99317.46452.601185.33333.512002.1162.46130.15232.26505.332174.482002.2243.69195.23348.39757.998261.732002.3240.61218.67458.73873.84293.222002.4261.64238.74515.33937.25286.662002.5326.27254.72
12、490.66964.00299.242002.6291.73278.20504.271036.48339.722002.7305.22240.07462.53909.48302.102002.8265.59258.77473.45967.98277.622002.9294.10273.33542.931037.8283.592002.10299.51284.86495.601052.29234.992002.11298.25289.77499.171081.40276.502002.12324.26331.21602.191445.66317.069.9 案例分析中国GDP、消费、投资与出口的
13、协整分析 根据表9.9.1给出了1980-2004年间按当年价格计算的中国总产出(用支出法核算的国内生产总值GDP度量,单位:亿元),最终消费CS(单位:亿元),固定资产投资总额I(单位:亿元),出口总额EX(单位:亿元),GDP缩减指数。试对中国GDP、消费、投资与出口进行协整分析。表9.9.1 1980-2004年中国GDP、最终消费、投资总额与出口总额(单位:亿元)年 份GDP最终消费CS投资总额I出口总额EXGDP缩减指数(定基)PGDP缩减指数(环比)19804551.32976.1910.9271.21.03801.03819814901.43309.1961.0367.61.06
14、191.02319825489.23637.91230.4413.81.05980.99819836076.34020.51430.1438.31.07141.01119847164.44694.51832.9580.51.12391.04919858792.15773.02543.2808.91.23741.101198610132.86542.03120.61082.11.29431.046198711784.77451.23791.71614.21.36041.051198814704.09360.14753.81766.71.52501.121198916466.010556.5441
15、0.41956.11.65921.088199018319.511365.24517.02985.81.75371.057199121280.413145.95594.53827.11.87121.067199225863.715952.18080.14676.32.01911.079199334500.720182.113072.35284.82.31381.146199446690.726796.017042.110421.82.77431.199199558510.533635.020019.312451.83.14051.132199668330.440003.922974.01257
16、6.43.32581.059199774894.243579.424941.115160.73.35241.008199879003.346405.928406.215223.63.27190.976199982673.149722.729854.716159.83.19990.978200089340.954600.932917.720634.43.22871.009200198592.958927.437213.522024.43.26751.0122002.662798.543499.926947.93.26100.9982003.367493.555566.636287.93.3262
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