1、112/15/2005 9 6 - q)9 6Advanced Econometrics for Graduates12/15/2005 9 6 - qq = : p V q/ 6 6 F 2 vaS B Gv p V S v + Email: 212/15/2005 9 6 - q)9 6 H 32 H ! M 6 646 d9 qs 9L !_ZsBs L _ bW+12/15/2005 9 6 - q ID1. fku9 6sv 6 S 20002. 0 1 bu9 6v =20053. 0 1u9 6v bv 20024. Gujarati D., Basic Econometrics
2、 3 McGraw-HillS v 2000b5. +l +ru9 6 6vR S Pindyck and D L Rubinfeld, Econometric models and economic forecasts, McGraw-Hill Companies Inc d ? 5+d9 l 5 HqLi“-M kbTC n2F(n2, n1-k-1) 5 L ! ? 3 Mb12/15/2005 9 6 - q 1.1.2 S J (hn p;_b1a _19811994)ln(92.0)ln(08.0)ln(05.163.3)ln(01PPXQ += RSS1=0.0032401995
3、200101ln71.0ln06.3ln55.078.13ln PPXQ +=(9.96) (7.14) (-5.13) (1.81)2312/15/2005 9 6 - q19812001:01ln39.1ln14.0ln21.100.5ln PPXQ +=(14.83) (27.26) (-3.24) (-11.17) 34.10)821/()000058.0003240.0(4/)0000580.0003240.0(013789.0=+=F =5%V “ F0.05(4, 13)=3.1812/15/2005 9 6 - q “ L!V S J (hn pM -? 3 AMb2a; f_
4、65.4)1314/(003240.07/)003240.0013789.0(=F =5%V “ F0.05(7, 10)=3.18 F “ L !2412/15/2005 9 6 - q adL 9 V F dL +=kkXXXY L22110FdL s B *211101 +=kkXXXY L12/15/2005 9 6 - q A dLKl=E nonlinear least squares9bdL _ y Kv $ , Kv 1_ a:_ _ .2512/15/2005 9 6 - q1aKv 1_ (likelihood ratio test, LR9 B s B ZE Kv E_
5、f s “ ”vb: L 2 B f B : Max: ),(2 Ls B : Max:),(2 L g()=012/15/2005 9 6 - q p )(),(2 gL = g(): Hq _ M _ s f V f T Hq 5 f d “ ”b()( )22 |L|L Nl 1 likelihood ratio2612/15/2005 9 6 - qT 1l f v5 HqL ! T 1 f s HqL !b8_ Hv“/)(),(ln),(ln2222hLLLR =h Hq byN YV LRd9 s+ b12/15/2005 9 6 - q S ( J hn p , Q _LR=
6、-2(38.57-38.73)=0.32 5%a “ 0.05 “ 3.84LR 0.05 L ! S J (hn pf , QHq b2712/15/2005 9 6 - qa:_ Wald test, W:_9 b +=kkXXXY L22110 L ! Hq/ ),(2212121+ N12/15/2005 9 6 - qyN 1 2 Hq/)1,0(12121Nz+=:)( 2221Xf=+Vy :d9 :)1()1(2222121 +=W2812/15/2005 9 6 - qT h Hq V hd9 I Hq H Vy v“ /V1 hv 2sd9 )(2hW ZCZ1= Z zi
7、 _ C ZZ -xZ byN WV98 B Hqb dL :d9 W E 1b12/15/2005 9 6 - q3a _ _59 s s B pKv E5)(),(2 gL = _ HqKv f Yb2912/15/2005 9 6 - qT B 5 HqKv f Yl M ,byN _ _ t “v ” T “v”5 HqL !b12/15/2005 9 6 - q d9 LM & B1 f Hqf /VB1 Hq v 2sb2nRLM =“ TL LMVB 2s(*)3012/15/2005 9 6 - qn“ R2 /$ B auxiliary regression V %“ kkRXXXe 22110+= LT dLBZ91 V* T9 LMd9bKB LMLRW12/15/2005 9 6 - qM Z9 6 Ba M =a M
