古扎拉蒂《计量经济学基础》（第5版）课后习题

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QQ:1487366230
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0.1
2()
1
2
3
4
5
6
7
8
(theoretical econometrics)(applied
econometrics)(classical)(Bayesian)
0.2
1
1
1.1
1
1-1
1-1
2
QQ:1487366230
1
1
2
1
2
3
1
2
3
4
5
6
1
X X 1 X 2 X1 / X 2 X 2 X 1
1.2
1 1-1 7 CPI 19821984
19821984=100
1-1 19802005 7 CPI19821984=100
Economic Report of the President2007Table l08P.354
a
b
c 7
d
a CPI CPI CPI 100
% 1-2 1981
1-2
1981
10.32
12.48
4.84
13.28
6.34
19.30
11.97
1982
6.16
10.86
2.94
11.97
5.31
16.31
8.53
1983
3.21
5.80
1.73
9.49
3.30
14.94
4.61
1984
4.32
4.28
2.30
7.67
2.39
10.62
5.01
1985
3.56
4.11
2.06
5.83
2.04
8.61
6.01
1986
1.86
4.13
0.67
2.53
-0.10
6.11
3.42
1987
3.65
4.32
0.00
3.24
0.19
4.59
4.18
1988
4.14
4.05
0.67
2.73
1.33
4.99
4.93
QQ:1487366230
1989
4.82
4.95
2.27
3.46
2.73
6.59
7.72
1990
5.40
4.80
3.15
3.34
2.75
6.12
9.53
1991
4.21
5.61
3.23
3.16
3.65
6.39
5.87
1992
3.01
1.54
1.74
2.41
4.99
5.30
3.70
1993
2.99
1.79
1.28
2.14
4.50
4.25
1.60
1994
2.56
0.20
0.68
1.60
2.74
3.92
2.48
1995
2.83
2.16
-0.08
1.78
1.83
5.37
3.36
1996
2.95
1.59
0.08
2.02
1.50
3.87
2.46
1997
2.29
1.63
1.84
1.19
1.70
1.75
3.12
1998
1.56
0.96
0.58
0.65
0.94
3.15
3.46
1999
2.21
1.71
-0.33
0.52
0.65
1.66
1.52
2000
3.36
2.74
-0.66
1.68
1.43
2.52
2.99
2001
2.85
2.55
-0.74
1.65
1.97
2.76
1.75
2002
1.58
2.25
-0.92
1.94
1.31
2.52
1.67
2003
2.28
2.78
-0.25
2.08
1-09
2.66
2.90
2004
2.66
1.86
0.00
2.16
1.69
2.19
3.00
2005
3.39
2.15
-0.34
1.70
1.92
1.95
2.83
b 1-2
1-2
c 1-2
d
1.812.851.493.401.604.70 2.65
2a 1-1
b 6
c 6
a 1-3
1-3
b 1-3
c
3 1-3 9 19852006
a
bappreciate
depreciate
19852006
QQ:1487366230
1-3 19852006
Economic Report of the President2007Table 13-110P.356
a 1-4
1985 1 0.257 2004 11.29
1-4
b 1-4 19852006
4 1-5 M1 1-4
1-4 M1 1959 1 1999 7
QQ:1487366230
Board of GovernorsFederal Reserve BankUSA
GDP GDP
5
Gary Beeker
1
2
3
4
5
62000 4 7 Clinton
65 69 1.7
3 1
70
6569
7 1-5 1984 3 1
The Wall Street Journal 1983
21
4000
a
b
cSuper Bowl Sunday
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a 1-5
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1-5
b
2
2.1
1conditional expected values

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2 E Y
3
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X i
2
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1
2
3
4
5
6
7
1SRF
Yi 1 2 X i
Yi E Y | X i 1 1 2 2
Yi 1 2 X i ui ui
2
3
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a Yi
b Yi
c Yi
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GNP
2-1 19701990 50
The World BankWorld Development Report 1995P.55The original sources UNIDO dataWorld Bank data
50
11 2-2 [
-Heckscher-Ohlin]
2-2 1985 126
World BankWorld Development Report 1995P.59

COMTRADE UNDP1990
-Heckscher-Oh1in
12 2-3
QQ:1487366230
2-3 GNP
17 1988 1992
World BankWorld Development Report 1995P75
GNP 2-3
13 I-3 PRF SRF GDP
15 SRF
GDP
14 2-1 19802006
a
ba
c 1982
2-1 19802006
1
CLFPRM %
TableB-39P.277.
2
CLFPRF %
TableB-39P.277.
3
UNRM %
TableB-42P.280.
4
UNRF %
TableB-42P.280
5
AHE82 1982
TableB-47P.286.
6
AHE
TableB-47P.286.
Economic Report of the President2007
a 2-4
2-4
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b 2-5
2-5
discouraged worker hypothesis
c AH82 2-6
2-6
75.4% 57.3% 1.17%

2.73% 2
15 2-2 55 2000 1
40
2-2
Chandan MukherjeeHoward Whiteand Marc WuytsEconometrics and Data Analysis for Developing Countries
RoutledgeNew York1998P.457
a
b
c
a 2-7
2-7
b 2000
QQ:1487366230
c
a
2000
16 2-3 19722007 SAT
2006
2-3 19722007 SAT
19721986 19871995
19961999 20002007
College Board2007
a SAT
b
c
d
a 2-8
2-8
2-9
2-9
b 20 90
20 90
c
d 2-10
2-10
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2-7
2-4 SAT
College Board2007College-Bound SeniorsTable 11

a 2-7 2-7
b
c
a 2-11
2-11
2-7
2-12
2-11
c SAT
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1 Yi 1 i
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3-2
3-3
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d
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19 19852005
Yt 0
912 2.250 X t
se
0
096
r 2 0.440
Y CD$
X CPI CPI X
a r 2
b X t
c X CPI CPI X
a 2.250 19852005 CPI
2.250
-0.912 01 -0.912
r 2 0.440
b
purchasing power parityPPP

c CPI CPI
PPP
20 3-4 19602005 X Y
1992 100
3-4 19602005
GDP
2
Economic Report of the President,2007,Table 49
a Y X
b
c Y X OLS 5
a 3-2
QQ:1487366230
3-21
3-22
b 3-2
c 3-2
Compensation 102.366 1.992 Output
se
4.5035 0.0506
r 2 0.9724
Compensation 111.6407 2.075 7Output

se
4.8662 0.0543
r 2 0.9708
r 2
21 10
1110 X i 1700 X iYi 205500 X i2 322000 Yi 2 132100
r 0.9758
r r
90 140 80 150 Yi 120 220 110 210 20 X i 20 X iYi
90120 140 220 80110 150 210 1300 X i2 Yi 2 3-5
3-5
X Y
1700
205500
322000
132100
1680
204200
315400
133300
1110
1110
X Y
X Y
i i
2
i
i i
204200
315400 133300
2
i
0.9688
22 3-6 19742006 CPI
NYSE Index
NYSE NYSE 1500
3-6 19742006 NYSE
QQ:1487366230
aCPI NYSE
b
a
Gold pricet 1 2 CPIt ut
NYSE Index 1 2 CPIt ut
2
a 3-3
3-3
NYSE CPI
b 2 1
t 215.286 1.038CPIt
se 54.469
0.404
r 2 0.1758
NYSEt 3444.992 50.297CPIt

se 533.966
3.958
r 2 0.8389
23 3-7 19592005 GDP
3-7
19592005 GDP
RGDP 2000
Economic Report of the President,2007,Tables B-1 and B-2
a 2000
b Y GDP X 1 1959 2 1960 47 2005
GDP Yt 1 2 X t ut
c 2
d GDP 2 GDP 2
e
a 3-4 NGDP RGDP GDP GDP
3-4
b
QQ:1487366230
NGDPt 496268 252.58Year

se 21089
10.64
r 2 0.926
RGDPt 351335 180.263Year

se 9070
4.576
r 2 0.972
Yt 1 2 X t ut GDP
c 2 GDP
d
e 3-4 GDP GDP
24-1 3.7.1
25 2.16 SAT
a
b
c
a
b
Y 31.76 1.0485 X t
se 47.80
0.0937
r 2 0.786
Y X
c
26 3.25
3-5
3-5
Yt 257.02 1.416 X t
se 29.35
0.0559
r 0.950
2
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28 3-3
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3-6
QQ:1487366230
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ui u j
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ui
2
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2 2
Z
6 n 2 2 / 2 / n 2 2
7
1 2 2
8 1 2
uiN 0 2 Yi ui
E Yi 1 2 X i
var Yi 2
YiN 1 2 X i 2
1 OLS ML
2 ui ML 0LS
3 2 ML ui2 / n 2 OLS ui2 / n 2

2 n 2 ML n
QQ:1487366230
4.2
Y1 Y2 bivariate normal probability density

function
f Y1Y2
1
2 1 2
Y 2
Y1 1 Y2 2 Y2 2
1
1
1
exp

1 2
2 1 2 1
1 2
2
ul Yl
u2 Y2
1 Y1
2 Y2
Y1 Y2
Y1 Y2 0 PDF
f Y1Y2
1 Y 2 1 Y 2
1
2
2
exp 1

2 1 2
2
2

1
1
1 Y 2 1
1 Y 2
1
2
exp 1
exp 2

2
1
2
2

f Y1 f Y2
f Y1 f Y2 PDF 0 f Y1Y2 f Y1Y2
2
9
1011 12 2
ML 4
4A 5 0
RSS
2 ln LF
n
2 0
2
1
2 ln LF
Xi 0
2
2
2
2
2 ln LF
2
n
2 2
Y
i
2 3
2
i
2 X i
1 n
1
2
u
i
2 2 2 2 2
1 ui
1
2
2 2 2 2 2
2 3
2
i
Yi 1 2 X i
11
1
1 0
2
ML
3 X exponential distribution
1 X
e
f X
0
X 0
X
0 ML ML X i / n n
ML X
1
X PDF f X f X i e

Xi
1
LF X i exp

Xi
ln LF n ln i
0
X
d ln LF
1 Xi
n
0
d
2

Xi
4 X 1 X 0 X
p X 0 1 p
p X 1 p 0 p 1
p
p f p p 1 p
X
1 X
n Xi
n X i
p 1 p
X
i
LF X ip
n
X i ln p n X i ln 1 p
Xi
ln LF ln
X n Xi
d ln LF
i
0
dp
p 1 p
Xi
p
n
QQ:1487366230
5
5.1
2 2
Pr 2 2 2 1 2 1
1 2
2
2
1 2 1 2 1
2
3 1 1
4 2 2
1 2
1 2
ui OLS 1 2 Z
2 2
se 2
2
i
1 2
u 68% u 2 95% u 3 99.7%
2
2
t
2 2
se 2
2
i
t n 2
Pr 2 t / 2se 2 2 2 t / 2se 2
2 2 t / 2se 2
2 1 2
1 2 1 2 1
2
2 n 2
2
2 2
n 2
2

2
2
Pr n 2 2 2 n 2 2 1
/ 2
1 / 2
2 100 1 %
H 0
H1
1
2 100 1 H 0 2 H 0
H 0 5-1
5-1
1 t
1
2 t
1 1
Pr 2 t / 2se 2 2 2 t / 2se 2
3 t
5-1 t
QQ:1487366230
2 2 2
2 n 2
2 2
n 2 5-2
2
5-2
2.2-t
H0 : 2 0
20 0.05 t t
se 2
2 0
20 t
3
1%5% 10%
5 p
p
t p
p
6
yi2 yi2 ui2 22 xi2 ui2 TSS ESS RSS TSS

ESS RSS
TSS
Y 1
TSS n 1 RSS n 2 ESS 1
X0 X
2 1
var Y0
Y0 l 2 X 0
n
xi2
2 2 t
Y0 1 2 X 0
t n 2
se Y
Pr 1 2 X 0 t / 2se Y2 1 2 X 0 1 2 X 0 t / 2 se Y2 1
2
Y0
var Y0 Y0 E Y0 Y0
X0 X
1
2
1
n
xi2
2
Y0 2 t t
Y0 Y0
se Y Y
t Y0
X 0 X X 0 X
X 0 X
1
1
PDF
0
3
2
- A2
3-JB
-JB OLS 0LS
skewnesskurtosis
S 2 K 3 2
JB n
24
6
QQ:1487366230
n S K S 0 K 3
JB S 0 K 3
2
5.2
1
a t 1 2
b CLRM OLS
c ui ui
d p
e
f
g 2 3.3.1 2
h
i PRF 2 1 Y
j X Y var Yi X i
Y var Y Y2
a t 1 2 ui CLRM
b E ui 0 OLS
c
ui2
2 Yi 1 2 X i 2 ui ui 0
d p
e
ui2
2 Yi 1 2 X i 2 ui
f
g 2 xi2
h
i 1 Y 2 X 2 1 Y
2
j yi2 22 xi2 i2 X Y 2 0 yi2 ui
23.7.2 5-4 ANOVA
5-3
5-3
F 139023/ 4470 31.1013 1 53
F P 0
33.7.3
a 5%
b 5%
c 95%
d 9000 95%
a 6.1523 H01 0 t 14.4773/ 6.1523 2.3532
32 5% 2.042 30 32
b 0.00032 H01 0 t 0.0022 / 0.00032 6.8750 5%

2.042
c 95% 0.002 2.042 0.00032 0.0015 0.0029
d 9000
14.4773 0.0022 9000 34.2773 /
X0 X
2 1
var Y0
n
xi2
1 9000 15819.868 2
var Y0 422.526
13.9785
12668291885
34
Pr Y0 ta / 2 se Y0 Y0 Y0 ta / 2 se Y0 1
Pr 34.2773 2.042 3.7388 Y0 34.2773 2.042 3.7388

0.95 26.6427 469119
4 2 2 0
3.5.11
5.7
0 0
5characteristic line
rit i i rmt ut
rit i t rmt t ut
i i beta coefficient
FoglerGanapathy 19561976 240 IBM
QQ:1487366230
rit 0.7264 1.0598rmt
se 0.3001
0.0728
r 0.4710df 238F1 238 211.896

2
a 1 IBM
b
a t 1
t
2 1
se 2
1.0598 1
0.821
0.0728
238 10% t
IBM
b t 0.72640.3001 2.4205 2% t
0.73 0 0.73%
65.3.5
Pr 2 t / 2se 2 2 2 t / 2se 2

2
0
73.5.13 X Y
4A 4.1 P
t r n 2 / 1 r 2 n 2 t t 2 0 5.3.2
t F t 2
5.9
2 0 RSS y 1 r
2
i
2
i
n2
y 1 r
2
i
n2
se 2
2
i
2
i
y 1 r
2
i
n 2
2
i
y 1 r
2
i
n2
r 2 22
x
y
2
i
2
i
n 2
1 r
x
y
2
i
2
i
r 2 n 2 2
22 xi2
x 2
2
t
2 i F
1 r2
2
i
2
8
Yi 0.2033 0.656 X i
se
0.0976 0.1961
r 0.397RSS 0.0544ESS 0.0358

2
y 1972 LFPR
X 1968 19

a
b H12 1 H02 1
c 1968 LFPR 0.58 58%

1972 LFPR
95%
d
aLFPR1972 1968
b
t t
0.656 1
17 5% t 1.740
1.7542
0.1961
t 1
cLFPR 0.203 0.656 0.58 0.5838
95% 0
2.11
5838 2
11
X0 X
2 1
17 5% t var Y0
n
xi2
1968
d
-
9 5-4 1985 50
Payi 1 2Spendi ui Pay Spend

5-4
1985
QQ:1487366230
National Education Associationas reported by Albuquerque TribuneNov

71986
a
ba r 2 RSS ESS
c
d 2 95% 3.0
e 5000 Pay 95%
f
a 5-2
5-2
b
Payi 12129.37 3.3076Spendi
se 1197.351 0.3117
r 2 0.6968 RSS 2.65 ESS 0.803
c 1 3.31
d 2 95% 3.3076 0.3117 2 2.684 3.991 3

3
e 12129.37 3.3076 5000 28667
X0 X
1
var Y0 2
n
xi2
var Y0 Y0 E Y0 Y0
520.5117
X0 X
1
2
1
n
xi2
2382.337
28667 2 2382.337 23902

28667 2 520.5117 27626 29708
33432
f 5-3
5-3
- 2.1927 P 0.33 51
10 3.20 ANOVA
1 5-5
5-5
F 91915.253759.3391 1548.9657 F
1 44 F F 0.0000 0
2 5-6
5-6
0 F
F 90303.3157 / 61.691 14636071
F 0
11 1.7
a
b
QQ:1487366230
a 5-4
5-4
Yi 1 2 X 2 3 X 22i ui
Y X
c
Yi 22.163 0.3631X i
se 7.089
0.0971
r 0.424
2
12 1.1
a CPI CPI
b CPI CPI
c CPI a 5% CPI
CPI
a 5-5
5-5

b EViews3
Samp1e1980 2005
Inc1uded observations26
c t
33.9563 t 0
13 3.22
a
b
c 2 1 CPI 11
P
d NYSE c
P
e
a
Goldpricet 215.2856 1.0384CPIt
se 54.4685
t 3.952
0.4038
2.5718
r 2 0.1758
NYSEIndex t 3444.9920 50.2982CPIt

se 533.9663
t 6.4517
309584
12.7066
r 2 0.839
b- 5.439 P 0.066-
3.084 P 0.214 5%
0384 1
0 4038 0
0951
c t t 1
t t 2.042 1
d t t 50.297 13.958 12.455 t t 2.042
1
e
14 5-7 19701983 GNP 4 GNP

57
QQ:1487366230
5-7
GNP
M1 +++OCDS
M2 M1 +MMMF++
M3 M2 ++ MMMF
L M3
Economic Report of the President,1985,GNP data from Table B-1,P.232;money stock data from TableB-61,P.303
GNP
5-8 GNP 19701983
a GNP
b r 2
c
a 99%
b r 2
t
c M 2
15indifference curve
X iYi 1 2 X i
5-9
5-9
1
Yi 1
Xi
2 ui
1 2
1
Yi 3.827
1.1009
Xi
se 1.2599 0.6817
r 2 0.6935
92%
Y X MRS
1
Y
3.287 2
X
Xi
16
Economist 1986
purchasing power parityPPP
PPP PPP
PPP
5-10
QQ:1487366230
5-10
The hamburger standard

Yi 1 2 X i ui Y X PPP
a PPP 1 2
b
c
a Yi 1 2 X 2i ui Y X PPP PPP
0 1
b
Yi 33.0917 1.8147 X i
se 26.9878
t 1.2262
0.0274
66.1237
r 2 0.9912
t 2 1 t 1.8147 1 / 0.0274 29.7336 t

1 0 0 t -1.2262
0 1
c
PPP
QQ:1487366230
17 216 SAT X
Y
Yi 1 2 X i ui
a
b
c 2 1 1:1
d ANOVA
a Y X
Yi 192.737 0.6704 X i
se 12.875
0.0265
t 15.435
25.332
b- 1.1641 P 0.5588
c t 0.6704 1 / 0.0265 12.4377 99% 2 1
d 5-11
5-11
2 0 F 641.734 F P 0
18 Y X
a
Yi 132.778 0.750 X i
se 33.724 0.067
t 3.937 11.187
r 2 0.786
b- 1.122 P 0.571
c t 0.750 1 / 0.067 3.7313 5% t 2.042
-2.042
1
d ESS RSS TSS 1005.75 1
273.222 34 1278.972 35
F 125.156 F P 0
19 5-12 19802006 CPIWPI

PPI
5-12
19802006 CPI PPI
Economic Report of the President2007Tables B-62 and B-65
a PPI CPI
b
cb 1:1
dc
a 5-6
5-6
b CPI WPI CPI WPI
c EViews 6
Dependent Variab1eCPI
MethodLeast Squares
Sample19802006
Inc1uded observations27
CPI C 1 C 2 PPI
QQ:1487366230
t 1.8176 t 0
d- 5-7
5-7
- 0.3927 P 0.8217
20 5-13 25 100=100=
5-13
http//lib.stat.cmu.edu/ DASL/ data files /Smoking and Cancer.html.
a
b y X
c 5%
d
e
a 5-8
5-8
b
Yi 2.8853 1.0875 X i
se 23.0337
0.2209
t 0.1253 4.9222
r 2 0.5130
c t 4.9222 P 0 5%
QQ:1487366230
6
6.1
1
PRF Yi 2 X i ui
Yi 2 X i ui
OLS 2
X iYi
2
X i2
2
var 2
X i2
2
2
2
i
n 1
xi yi
2
xi2
2
var 2
xi2
2
i
n2
2 2 n 1 n 2
3
1 ui 0 ui 0
2 r 2
4 r 2
X Y
X Y
raw r
i i
2
i
1 raw r 2 0 r 2 1 r 2
2
YiX i Yi X i
w1
X w2 1 Y w1
w1
Y w1 1
X w2 1/ w2
YX Y X OLS r 2 r 2
2
1
Yi
X X
Yi Y
X i i
SX
SY
Y Y SY Y X X S X X Yi X i
0 1
2
Yi 1 2 X i ui 2 X i ui
4
1 r 2
2
2 =2
Sx
Sy
QQ:1487366230
1
2
3
4
1
Yi 1 X12 eui
ln Yi ln 1 2 ln X1 ui
ln Yi 2 ln X i ui
2 Yi X i OLS
-
2
1 Y X X Y
2 Y X 2
3 2 2 1 1
1
1 Yt Y0 1 r
t
ln Yt ln Y0 t ln 1 r
1 lnY0 2 ln 1 r
ln Yt 1 2t
ln Yt 1 2t t
1 2
2 Y
Y 100 X Y
100 2 Y 100 2 Y X
3
2
2 1 100
4
Yt 1 2t ut
lnY Y t
Y Y
r 2
2
Yi 1 2 ln X i ui
Y
Y
X X / X
Y 2 X / X Y Y 2 X 100 X
1% Y
1
1
1 Yi 1 2 ui
X1
X
2
X 2 1/ X 2
Y 1
X
3
6-1
N
U
1
6-1
2
1
ln Yi 1 2 ui 6-2 Y
X1
6-2
QQ:1487366230
1
2
3
4 r 2
5 r 2 r 2
6-
6.2
1
yi 1 2 xi ui
yi Yi Y xi X i X
OLS
1 2
Y X 0 0
2 1978 1 1987 12
Yt 0.00681 0.75815 X t
se 0.02596
0.27009
t 0.26229 2.80700
p 0.7984 0.0186
r 2 0.4406
Yt 0.76214 X t
se 0.265799
t 2.95408
p 0.0131
r 2 0.43684
Y Texaco% X %
a
b
c
d
e r 2
f- 1.1167 1.1170
g t 2.95 2.81
ab 5%
c
0.76
d
X Y
X Y
e r r r raw r
2
i i
2
i
f--
1.12- p 0.57
g
3
1
1
1 2 ui
Yi
Xi
Y X
a
b
c X Y
d
a
b Y *
1
1
X * Y * X * OLS
X
Y
c X Y
d
4
ln Yi 1 2 ln X i ui
Y X 2 1 2 1 2 1 Y X
6-3
QQ:1487366230
6-3
5
Yi 1 2 X i ui
Yi 1 2 X i ui
Y X 6.7 2 2 S x / S y
I 2
x y
x
i i
*2
i
x y
x
Y X II
i
*2
i
x / S y / S x y / S S
x / S
x / S
i
i
2
x
2
S x xi yi
S y xi
Sx
2
Sy
6
ln Yi 1 2 ln X i ui
ln Yi 1 2 ln X i ui
Yi =1Yi X i =2 X i
a
b r 2
a ln 1Yi 1 2 ln 2 X i ui*
ln 1 ln Yi 1 2 ln 2 2 ln X i ui*

ln Yi 1 2 ln 2 ln 1 2 X i ui* A 2 ln X i ui*
A 1 2 ln 2 ln 1
b r 2
76.6.86.6.10
6.6.86.6.10
86.6.8 0.005
0.005
0.00705 t
t
0.00705 0.005
11.3889
0.00018
t
96.7.3
t te 2 UN t U N ut t te 1 2UNt
^
2 U N 1
2
18.5508
5.7055%
3.2514
10 Y
X
Yi 1 2 X i ui
Yi 1 2 1/ X i ui
ln Yi ln 1 2 ln X i ui
ln Yi ln 1 2 1/ X i ui
Yi 1 2 ln X i ui
Yi 1 2 ln X i ui
11
Yi
e1 2 X i
1 e1 2 X i
Y 1 Y
ln
Yi
1 2 X i
1 Yi
logit
12 i
a Y 1 X 2 1 2 1 0 2 1
2
b Y 1e X 2 0 2 0
2
QQ:1487366230
a 6-4
6-4
b 6-5
6-5
13
SPIi 17.8 33.2Ginii
se
4.9 11.8
r 2 0.16
SPI 19601985 Gini 1975 19701980

40
0 1 0 1
a
b 0.25 0.55SPI
c 5%
d
a 0.10 3.32
b 0.3 3.32 0.3 9.96 SPI 9.96

c t 0 t
33.2
2.8136 38 D
11.8
2.021 2.024
5%
14 6-1
1
100
1 2
100 Yi
Xi
6-1
100
1
2.0675 16.2662
100 Yi
Xi
se 0.1596
1.3232
r 0.9497
2
100
X
2.0675 Y 51.6
100 Y
15 GDP GDP
Martin FeldsteinCharles Horioka 21 6-2
19601974
INVRATE
SAVRATE
6-2
SAVRATE= GDP INVRATE= GDP

a
b
INVRATEi 1 2SAVRATEi ui
ln INVRATEi 1 2 lnSAVRATEi ui
c
d
QQ:1487366230
f r 2
g
1%
h
a 6-6
6-6
b
c
INVARATE 0.0435 0.8468SAVRATE
se 0.0176
t
0.0693
2.4685 12.222
r 2 0.8872
ln INVRATE i 0.02159 0.8288ln SAVRATE i

se 0.0986
t
0.0699
2.1901 11.865
r 2 0.8811
d 0.1 GDP
GDP 0.0847
1 0.829
e 0
0
f r 2
g
INVARATE SAVRATE
SAVRATE
0.8468
SAVRATE INVARATE
INVARATE
0.8288
h
16 6-3 19801982
1519 12
6-3
a 6-6
ba
a 6-4
6-4
se
r2
0.173
0.0058
29.666
0.3671
0.579
0.0187
30.958
0.3872
0.005
0.00002
26.808
0.3215
32.508
0.2586
125.720
0.9124
-1652.22
56.8536
-29.061
0.3576
-50.498
1.6320
-30.942
0.3869
b r 2
17 6-3
-
ln EXPDUR t 6.8950 0.0140t
se 0.0082 0.0009
r 2 0.9492
1.5% P
ln EXPDUR t 1 2 ln TIME ut
2
18 6-3 6.17
QQ:1487366230
ln EXPNONDUR t 7.6257 0.0098t
se 0.0021 0.00023
r 2 0.9931
0.98%
20032006
19 6-5 29 CONEXP ADEXP

a 6-5
b
c RATIO
6-5 29
a6-7
6-7
b6-6
r 2 r 2
6-6
r2
1057.361
1.774
0.0446
6.283
0.5938
-12585.01
-2.872
1626.643
3.516
0.3140
3077.256
3.344
-1642108
-1.143
0.0461
0.9864
0.628
0.6038
3.642
0.3294
6.262
21.354
0.00001
3.008
0.2510
6.852
20.951
-797.845
1.563
0.0829
t
20 2 t 5% t 2
r 2
r 2
c 0.0342 0.0396 0.0946
0.10510.09720.1512 0.0924
20 3 3.3
a
b
c
d
e
f 5%
g3.7.3
QQ:1487366230
h
a6-8
6-8
b6-9
6-9
c
dc
e
ln Cellphonei 0.9374 0.4864ln PCIncomei
t 0.830
4.018
r 0.3353
2
ln PCIncome 10.486
f p 0.000
g
Cellphone PCIncome
PCIncome
0.0022
PCIncome Cellphone
Cellphone
=15819.865 =49.574
elasticity 0.0022
15819.865
0.7021
49.574
0.4864
h
213.7.4 6.20
a6-10
6-10
b6-11
6-11
c
dc
e
ln PCi 5.2712 0.8269ln PCIncomei
t 4.181 6.116
r 2 0.5390
ln PCIncome 1 0.827
f p 0.0000
g
PCsPCIncome
PCIncome
0.0018
PCIncomePCs
PCs
15819.865
21.429
QQ:1487366230
elasticity 0.0018
15819.865
1.329
21.429
0.8269
d
22 3-3
CellPhonei 1 2 PCsi ui
a
b
c
PCsi 1 2CellPhonei ui
d
e
a
Cellphonei 29.2342 0.9492PCsi
t 4.851
4.782
r 0.4168
2
b p 0.000
c
d r 2 t
7
7.1
1
PRF
Yi 1 2 X 2i 3 X 3i ui
1 X 2 X 3 Y Y 2
3
2
1
2 X ui X 0
cov uiX 2i cov uiX 3i 0
3 ui i E ui | X 2iX 3i 0
4 ui var ui 2
5 cov uiu j 0i j
6 n
7 X
8 X X 2 X 3
9
3
1
2 3 2 X 2i 3 X 3i 0
2
X 3i 2 X 2i
Yi 1 2 X 2i 3 2 X 2i ui 1 2 23 X 2i ui 1 X 2i ui
X 2 X 3 Y X 2 2 X 3
3
3
PRF
Y
E Yi | X 2iX 3i 1 2 X 2i 3i X 3i
X 2 X 3 Y
Y
QQ:1487366230
2 X 3 X 2 1 Y E Y 3
X 2 X 3 1 Y
OLS ML
1OLS
PRF
Yi 1 2 X 2i 3 X 3i ui
ui
OLS RSS ui2
min ui2 Yi 1 2 X 2i 3 X 3i
Y 1 2 X 2 3 X 3
Y X
2i
1 X 2i 2 X 22i 3 X 2i X 3i
Y X
3i
1 X 3i 2 X 2i X 3i 3 X 32i
1 OLS
1 Y 2 X 2 3 X 3
2 =
3 =
y x x y x x
x x x x
i
2
3i
2i
2
2i
i 3i
2
3i
2
2i
2
2i
2 i 3i
y x x y x x
x x x x
i 3i
2 i 3i
2i
2 i 3i
2
3i
2 i 3i
2 3 OLS
2OLS
1 X 2 x2 X 2 x2 2 X X
2 3i
3 2i
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2
2
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n
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se 1 var 1
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2
3i
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2 i 3i
se 2 var 2
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x
x x x
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2
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cov 23 =
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6 X 2 X 3 r23 1 2 x2i2 x3i2 2 3
7 r23 x2i2 x3i2 OLS 2 2

2 r23 2 x2i2 X 2 2
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8 OLS
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QQ:1487366230
ESS yi 2 yi x2i 3 yi x3i

R2
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1
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1
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QQ:1487366230
r123 X 3 Y X 2
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1 r232
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7.2
1 7-1
7-1
Yi 1 2 X 2i u1i
Yi 1 3 X 3i u2i
Yi 1 2 X 2i 3 X 3i ui
a 2 2
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1 3.00 2 3.50
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1
2
3
a3 2 2
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2 R 2
Y 367.693 X 2 402.760 X 3 8.0
Y Y
66042.269
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84855.096
280.000
Y Y X
2i
X 2 74778.346
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2i
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n 15
2
3 =
y x x y x x
x x x x
i
2
3i
2i
i 3i
2
2i
2
2i
2
2i
2i
2 i 3i
84855.096 280 4796 4796
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84855.096 280 4796 4796
2
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2 i 3i
y x x y x x
x x x x
i 3i
2 i 3i
2
3i
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1 Y 2 X 2 3 X 3 367.693 0.727 402.760 2.736 8 53.1612
ui2
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i
2 yi x2i 3 yi x3i
12
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3i
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2
2i
2
3i
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2
3i
2 yi x2i 3 yi x3i
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2 0.849
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2 0.049
2
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R 1 1 R2
2
66402.269 0.727 74778.346 2.736 4250.9

33.996
12
se 2
0.727 74778.346 2.736 4250.9

0.9988
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14
1 1 0.9988 0.9986
nk
13
37.4.7
2
y x b x yx x
x x
x b x
i
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23 3i
2
23 3i
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QQ:1487366230
yx x yx x x
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x x x / x
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23
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2
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23
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4 ui uiN 04
4
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2
25 S
X i ui 25
24
99 100 S 2 2 4
100
5 r12,2 3 R 2 r132 / 1 r132
R 2 r132 1 r132 r12,2 3
2
r12,
3
R 2 r132
1 r132
Y X 3 X 2
6 a1 X1 a2 X 2 a3 X 3 0 X 1 X 2 X 3
a
a
X1 2 X 2 3 X 3
a1
a1
a
a
X 2 1 X1 3 X 3
a
2
a2
a
a
X 3 1 X1 2 X 2
a3
a3
a
a
123 2 132 3
a1
a1
213
a1
a
231 3
a2
a2
312
a1
a
231 2
a3
a3
r123
123 213
a2 a1
a1 a2
1 1
7
a r23 0.9 r13 0.2 r12 0.8
b r12 0.6 r23 0.9 r31 0.5
c r21 0.01 r23 0.66 r31 0.7
a r 1 r1322
r13 r12 r23
1 r122 1 r232
r123 2.295
b r123 0.397
c r123 0.880
8
Yi 1 2 X 2i 3 X 3i ui
X 2 X 3
X 3 X 2 X 2
X 3 R 2
97.9.2 2 3
ln Y
Y / Y
2
ln X 2 X 2 / X 2
ln Y
Y / Y
3
ln X 3 X 3 / X 3
10
a
X 2 2
ba Y 2
a X 2 2
b Y 2 2
11 R 2 r122 r132 r23 0

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r122 r132 2r12 r13 r23

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1 r232
X 2 Y X 3
12
A Yt 1 2 X 2t 3 X 3t u1t
B Yt X 2t 1 2 X 2t 3 X 3t u2t
a 1 1 OLS
b 3 3 OLS
QQ:1487366230
c 2 2
d R 2
a B
Yt 1 1 2 X 2t 3 X 3t u2t
Yt 1 2* X 2t 3 X 3t u2t
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c 2* 1 2 2
d R 2
13
Yi 1 2 X i u1i
Zi 1 2 X i u2i
Y Z X X Y Z
a 2 2
b RSS
c R 2
a OLS
y x x z x
x
x
i i
2
i
2
i
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x
i i
2
i
1 2
1
1 1 1
b RSS RSS Yi 1 2 X i X i Yi Z i
2
1 1 2 1 2 RSS
c
147.9.1-
Yi 1 X 2i2 X 3i3 ui
ln ui
a ln ui 7-3
b ui
a
ln ui ~ N 0 2
--
b ln ui ~ N 0 2 ui
2
2
2
ui ~ log normal e /2e e 1
15
Yi 2 X 2i 3 X 3i ui
a
b ui
c ui X 2i ui X 3i 0
d
e k
6
a
Y X
2i
2 X 22i 3 X 2i X 3i
Y X
3i
2 X 2i X 3i 3 X 32i
b ui
ui2
2 Yi 1 2 X i 2 ui 0
ui X 2i ui X 3i 0 OLS
vi2
2 Yi 2 X 2i v3 X 3i ui X 2i 2 ui X 2i 0 ui X 3i 0
e
k Yi 2 X 2i 3 X 3i
Y X
i
k X ki ui
2i
Y X
i
ki
2 X 22i 3 X 2i X 3i
k X 2i X ki
2 X 2i X ki 3 X ki X 3i
k X ki2
16 7-2
Y
X 2 /
X 3 /
X 4 /
X 5 1971 1975 12
QQ:1487366230
7-2
1971 1975
Yt 1 2 X 2t 3 X 3t 4 X 4t 5 X 5t ui
ln Yt 1 2 ln X 2t 3 ln X 3t 4 ln X 4t 5 ln X 5t ui
a
b
c 2 3 4
d
e
a
Yt 10816.04 2227.704 X 2i 1251.141X 3i 6.283 X 4i 197.399 X 5i
se 5988.348 920.538
1157.021
29.919 101.156
R 0.835
2
b
ln Yt 0.627 1.274 ln X 2i 0.937 ln X 3i 1.713ln X 4i 0.182 ln X 5i
se
6.148
0.527
0.659
1.201
0.128
R 0.788
2
Y 1%
Y X i
X i Y
X i
Yt 10816.04 2227.704 X 2i 1251.141X 3i 6.283 X 4i 197.399 X 5i
X
Y X 2
X
X
2227.704 2 6.283 4 1251.141 3

X 2 Y
Y
Y
Y
e
R 2
17wild-cat activity
7-3
7-3
X 2 1972=100
X 3
1972=100
X 4 GNP
QQ:1487366230
X 5 1948=11949=21978=31
Yt 1 2 X 2t 3 X 3t 4 X 4t 5 X 5t ui
a
2
b R 2 R
c
d
a
b
Yt 37.186 2.775 X 2i 24.152 X 3i 0.011X 4i 0.213X 5i
se 12.877
0.57
5.587
0.008 3.024
R 2 0.656 R 0.603
c 5%
0
d
1819621981
Yt 1 2 X 2t 3 X 3t 4 X 4t 5 X 5t ui
Yt = t
X 2t = t GNP
X 3t = t /
X 4t =
X 5t = 1OO000 1OO000 1
100000
7-4
7-4 19621981
a R 2 R 2 R
b Y X
c
a
Yt 19.443 0.018 X 2i 0.284 X 3i 1.343 X 4i 6.332 X 5i
se 3.406
0.006 0.457
0.259
0.259
R2 0.656 R 0.972 R2 0.734
b
5%
c
1919601982 7-5
7-5 19601982
QQ:1487366230
Y Citibase X 2 X 6 JRobert
JFisher
Y =
X 2 =
X 3 =
X 4 =
X 5 =
X 6 =
ln Yt 1 2 ln X 2t 3 ln X 3t ut
ln Yt 1 2 ln X 2t 3 ln X 3t 4 ln X 4t ut
ln Yt 1 2 ln X 2t 3 ln X 3t 4 ln X 4t 5 ln X 5t ut
1
2
3
4
5
a
b ln X 2 ln X 3
c24
d4
e554
f
2
g5 R 2 R R 2
h2 2 3 2 3
7.7
a5
41
23
b ln X 2 ln X 3
c24
d
e5
f
g5
ln Yt 2.030 0.481ln X 2t 0.651ln X 3t 0.061ln X 4t
se
0.119 0.068
0.0977
0.130
R2 0.980 R 0.977 R2 0.810
h2
20FJames FRagan 1950 1979
ln Yt 4.47 0.34ln X 2t 1.22ln X 3t 1.22ln X 4t 0.80ln X 5t 0.0055 X 6t
4.28 5.31
3.64
3.10
1.10
3.09
R 0.5370
2
t
Y 100
X 2
X 3 25
X 4 Nt 1/ Nt 4 t 1 t 4
X 5
X 6 1950 I 1
a
b Y X 2
c ln X 3
d
2
e R
f
a 1% 0.34% 25
1% 1.22% 1% 1.22%
1% 0.8% 0.54%
b
c 25
d 0.54%
2
e R
f t i 0
t
se i i
t
se i
21 19801998
M t 1Yt 2 ri 3 eut
M M2
Y GDP
r
7-6
QQ:1487366230
7-6 19801998
GDP=
M2=M2
CPI=1982-1984=100
LTRATE=30
TBRATE=3
Economic Report of the President2000Tables B-113-58B-67B-71
M GDP CPI CPI

3 30
a
b M / Y t 1rt eu
2
c 8
a
ln M2 1.2394 0.5243ln GDPt 0.0255ln LRATE t

se 0.6244
0.1445
0.0513
R 0.7292
2
30
ln M2 1.4145 0.4946ln GDPt 0.0516ln LRATE t

se 1.3174
0.2686
0.1501
R 2 0.7270
0.5243 0.4946-0.0255 -0.0516

TBRATE
b MGDP k Cambridge k
M2
ln
3.4785 0.1719ln TBRATEt
GDP t
se 0.0780 0.0409
R 2 0.5095
M2
ln
3.8318 0.3123ln LTRATE t
GDP t
se 0.1157 0.0532
R 2 0.6692
k
R 2
c 8 29
22 7-7 19611987
7-7
1970
George KZestos
a-
b
/ A K / L eu
-
Dependent VariableLOGOUTPUT
Sample1961 1987
Included observations27
QQ:1487366230
a//
b
Dependent VariableLOGPRODUCTIVITY
Date07/29/00
Time18:11
Sample1961 1987
Included observations27
0.68 1%
0.68%
23
Yi 1 2 X 2i 3 X 3i ui
1 262 2 0.006 3 2.4 2 42 uiN 0 42 64 ui 10

6-4 64 Y CM X 2 PGNP X 3 FLR 10
24 7-8 19472000
8.35
7-8 19472000
C 1996
Yd 1996
Wealth= 1996
Interest Rate=3 -
CYd 1996=100
Bureau of Economic AnalysisUSDepartment
of Commercehttp//www.Bea.doc.gov/bea/dn1.htm
3 Economic Report of the President2002

=http//www.federal reserve.gov
a
b
a
Ct 20.6327 0.7340Yd 0.0360Wealth 5.5212 Interest
t 1.6085
53.3762 14.4882
2.3067
R 0.9994
2
b t 5% Yd
25 19952000 Qualcomm
QQ:1487366230
7-13 20 90
7-1
S
E
7-1
a
ba
c
Yi 0 +1 X i 2 X i2 3 X i3 ui
Y X
a t 1 1995 1 3 t 260 1999 12
20
Closet 4.6941 0.5805t

t 0.6822
12.7005
R 2 0.3847
5% 1% R 2 7-1
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Closet 72.6825 1.1915t 0.0068t 2
t 8.9214
8.2661 12.6937
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2
a R 2
c
Closet 10.5843 2.6128t 0.0296t 2 0.00009t 3
t 1.415
10.2865 13.093816.3256
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2
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8
8.1
ui
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2
3
4
5
6
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t t /2 df P P
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2 t / 2se 2
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1
1
H02 3 0 2 3
Y X 2 X 3
2
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QQ:1487366230
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2 F
ui 2 3 0
F
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8-2
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Yi 1 2 X 2i 3 X 3i
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k 1 RSS k 1 TSS ESS k 1 1 ESS / TSS 1 R 2 / n k
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5 R 2
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Yi 1 2 X 2i 3 X 3i
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6
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F
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2
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F F R 2 F
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2
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QQ:1487366230
Yi 1 2 X 2i 3 X 3i 4 X 4i ui
H 03 4 H13 4 3

se
3
t n 4
-
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t
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2 F
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-
ln Yi 0 1 3 ln X 2i 3 ln X 3i ui 0 ln X 2i 3 ln X 3i ln X 2i ui
ln Yi ln X 2i 0 3 ln X 3i ln X 2i ui
ln Yi / X 2i 0 3 ln X 3i / ln X 2i ui
Yi / X 2i / X 3i / X 2i
RLS
2
UR
2
R
= RSS
= RSS
m = 1
k =
n =
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3 df n2 k RSS2
4 RSSUR
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5
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6 F P F
3
1
2
3
2
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1 2 12 22
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12 22 F F
12 / 12
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12
22
QQ:1487366230
8.2
1
Yt 0 1t
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a
b
c
d 20
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RSSnew / n k
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ESSnew ESSold / NR 8.4.18

RSSnew / n k
38.4.188.6.10 F
48.6.118.6.12
OLS RSS RSS

RSS RSSUR RSS
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2
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2
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6 R2 0 R 2 8.4.11 R2 0 F R 2
F F R 2
R2
k 1 F
k 1 F n k
k F F R 2
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a 5% 8.1.4 R 2
F
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2
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k 1 1 R 2
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R2
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R2
F k 1
F k 1 n k
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R2
2 3.15
6.30
0.0936
2 3.15 61 67.3
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8.1.4 R 2 0.7077 R 2 0
7 19681987
Yt 859.92 0.6470 X 2t 23.195 X 3t
R 2 0.9776
Yt 261.09 0.2452 X 2t R 2 0.9388
1
2
QQ:1487366230
Y 1982 X 1982
X 3
1 X 3 4.2750
R2F t
218.5.18 F
F
2
new
2
Rold
/1
1 R / n k
2
new
0.9776 0.9388
27.03
1 0.9776 /17
F1 17 t172 27.033 t 27.033 5.1993

0
t
se 3
23.195
se 3 3
4.461
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5.1993
4.2750
8
ln Yi / X 2i 1 2 ln X 2i 3 ln X 3i ui
ln Yi 1 2 ln X 2i 3 ln X 3i ui
ln Yi ln X 2i a1 a2 ln X 2i a3 ln X 3i ui
ln Yi a1 1 a2 ln X 2i a3 ln X 3i ui

2 1 a2 3 3 1 1

9
Yi 1 2 X 2i 3 X 3i 4 X 4i ui
Y X 2 X 3 X 2i X 3i
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Y X 2 X 3
Y
2 4 X 3
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Y
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4 0
10
Yt 16899 2978.5 X 2t
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R 2 0.6149
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2
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2
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11 t F
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c F t
d F t
e F t t
f F t
a
b
c
d
e
f
12 7.21
a
b
c
d 1
e
7.21
a 0.5243 -0.0255
0.4946 -0.0516
b
c8.4.11 R 2 F F 21.5429 21.3078
F p 0
d 1 t
QQ:1487366230
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t
3.2920
0.1445
0.4946 1
1.8816
0.2686
19 2 16
16 5% t 1.746 1
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13 1992 46 Baltagi
ln C 4.3 1.34 log P 0.17 log Y

se 0.91
0.32
0.20
R 0.27
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b
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a-1.34 0
t
1.43
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1 t
b 0 t 1 0
c R2 0.27 n 46 k 3 R 2 1 1 R 2
n 1
R2 0.3026
nk
14 209
log Yt C 0.519 log X 2t 4.933log X 3t
0.231
0.477
R 0.793
2
salary=CE0
sales=
roe=
ros=
log
a
b 5%
c
d roe ros
a 0.280
CEO 0.28% 0.0174
1 1%
CEO 1.07%
1 CEO 0.024%
b
0 t
t 13.584.25 0.44 2- t
c 08.4.11 F
F
R 2 / k 1
1 R / n k
2
0.283 / 3
27.02
0.717 / 205
F 3 205 F F P
d roe ros
15 Y XX
X k
RAFisher
t
r12 34
nk 2
1 r
2
12 34 k
n k 2 t k k n r12 3
r12 , 34 7.2 Y X 2 X 3
r12 3 r13 2 r23 1
3.5.8
r12 0.9989 r13 0.9885 23 0.9839 7.11
r12 3 0.9705 r13 2 0.678 r23 1 0.4930
t12 3.
r12 3 15 1 2
1 r122 3
13.590
t13 2 3.20 t23 1 1.963 t 5%

16 19211941 19481957 Griliches
log Yt C 0.519 log X 2t 4.933log X 3t
0.231
0.477
R 0.793
2
Yt 1 1 19351939 X 2 t 1
X 3 t 1 C log
a
b 1
c ANOVA R 2
d
e R 2
a 79%
b 5% 1
c F
R 2 / k 1
1 R / n 3
2
R 2 / k 1
1 R / n 3
2
0.793 / 2
53.63
0.207 / 28
QQ:1487366230
n 31 k 3 F
d a -4.933
e c F
17 19501969
Wt 8.582 0.364 PFt 0.004 PFt 1 2.560U t
1.129 0.080
0.072
0.658
R 0.873 df 15
2
W
PF
U
t
a
b
c PF t1
d PF t1
e
a 1 0.34 34
1 0.004
1 2.56
87%
b 0 t
t 4.550.055 3.89
c
d t
e
W U
U
2.56
U W
W
18 8.17
Wt 1.073 5.288Vt 0.116 X t 0.054 M t 0.046 M t 1
0.797 0.812 0.111 0.022
0.019
R 2 0.934 df 14
W
V
X
M
M t 1
a
b
c X X
d M t M t 1
e
f
a 1 5.288
GDP 1 12 1
5
b t 6.511.042.45 2.42
t
c t -1
0
d
e X t X
f F
F
R 2 / k 1
1 R / n k
2
0.934 / 4
49.53
0.66 / 14
F 4 14 1% F
5.04
198.6.24 1 -1
t 0.4515 1 / 0.0247 22.2065

t 1
t 0.3772 1 / 0.0635 9.808

t -1
208.6.24
[ cov 23 = 0.00142 ]
2 3 2 3 0
8.6.4 t
t
0.4515 0.3772
0.0247 0.0635
2
2 0.0014
0.859
t 5%
21 7.16
a
b
c 1
d X 3 X 4
e X 3 X 4
a-1.274
b t t
1.274 0
2.4174 t P 0.034
0.527
QQ:1487366230
c t
1.274 1
0.527
0.5199 t
1
d
e
22 7.17
a 5%
b R2 0
c19481978
a X 2 X 3 X 4 X 5
b F F
0.656 / 4
12.392
1 0.656 / 26
4 26 5% F 2.74 H 0
c
log 2.53203 0.0127
t 38.3766
3.3514
R 0.2792
2
-1.27%-1.27%-0.0127 0.9873 1
100
R ln 1 R R
23 7.18
a
b ANOVA
a 7.18
R 2
b 8-4 R 2
F F 0.978 / 4 0.022 /15 166.33

F 0
24transcendental production functionTPF-
Yi =1 L2 K 3 e 4 L 5 K
Y L K
TPF
ln Yi 0 2 ln Li 3 ln Ki 4 Li 5 Ki ui
0 ln 1
a
b TPF - 4 5
c TPF -
dTPF 8-8
a-
-
b 4 5 0 e0 1
c F
d
2519481978
John A Tatom 1948 1978
ln y / k 1.5492 0.7135ln h / k 0.1081ln Pe / P 0.0045t
16.33 21.69
6.42
15.86
R 2 0.98
y
k
h
Pe
P
t
t
a
b 19721977 Pe / P 60%
c h / k Pe / P
d 0.7135
e
R2 0
a 1%
b 6.486% 0.1081 60%
c 0.45%
d 1% 0.71%
e 8.11 R2 0
QQ:1487366230
0.98 / 3
F
1928.37
1 0.98 / 118
26 8-10 19681983
8-4
Y million paired feetMPF
X GNP
X
X %
X 6
X 6 %
Yi 1 2 X 2t 3 X 3t 4 X 4t 5 X 5t 6 X 6t ut
a
b
c
d 5%
e Y XX X X X 6 X X 6
aEViews3
b 23 6 4 5
c 23 4
dX 3X 4 X 6 5%X 2 10% X 5
e y X 2 X 3 X 4 RR2 0.6012
2
a RUR
0.8227 8.7.4
0.8227 0.6012 / 2
6.25
1 0.8227 /10
2 10 5% F 4.10 X 5 X 6
27MNerlove
Y AX P11 P22 P33 u
Y
X
P
P
P
u
1 1 2 3 1
Y / P3 AX P1 / P3
P2 / P3
12
29
ln Yi 4.93 0.94ln X i 0.31ln P1 0.26ln P2 0.44ln P3

se 1.96
0.11
0.23
0.29
0.07
RSS 0.336
QQ:1487366230
ln Y / P3 6.55 0.91ln X 0.31ln P1 / P3 0.26ln P2 / P3

se 1.96
0.11
0.19
0.16
RSS 0.364
a34
b 1 2 3 1
a
3 0.94 1% 0.94%
4 1% 0.51%
b F F
R R / NR 0.364 0.336 /1 1.012

1 R / n k 1 0.336 / 24
2
new
2
old
2
new
NR F 1 24 5% F 4.26
1
34 R 2 F
28CAPM
6.1
CAPM
N
Rit i i Rmt eit
Rit Rmt t i S&P 500 i

i eit N i N
N
Ri 1 2 i ui
R i i i
ui
2 CAPM 6.1.2
ERi rf i ERm rf
rf 1 rf 2 ERm rf
CAPM R i i ERi i CAPM
1 rf
2 Rm rf ERm rf
R i i 2 i 3 se2i ui
s e2 i CAPM 3
i
CAPMLevy 19481968 101 24
R i 0.109 0.037 i
t
0.009 0.008
12 5.1
R 2 0.21
Ri 0.106 0.0024i 0.201se2i
0.008 0.007 0.038

t 13.2
3.3
5.3
R 2 0.39
a CAPM
b s e2
i
c CAPM 2
rf 10.9%
19481968
d CAPM 2
Rm rf 3.7% rf 10.9%
Rm 14.6%
e CAPM
a 3 0 t 5.3
b a
c
d
e CAPM
29 7.21c
7.21a
b 8.6.9 F
RSS 0.0772 0.0463 Y 1
F
0.0772 0.0463 /1
10.69
0.0463 / 19 3
1 16 5% F 4.49
1
30 8.38.6.4 t
2 3 2 3
2 3 1
t t
se 2 3
var 2 var 3 2cov 23
cov 23 0.3319
t t
0.3397 0.8460 1
0.0345 0.0087 2 0.0173
1.94 t 5%
t 2.12 1
QQ:1487366230
317.6.2CM GNP
PGNPFLRTFR 6-4
7.6.2
CMi 263.6416 0.0056PGNPi 2.2316FLR i
1 se 11.5932
0.0019
0.2099
R 0.7077
2
CMi 168.3067 0.0055PGNPi 1.7680FLR i 12.8686TFR i
se 32.8916
0.0018
0.2480
R 0.7474
2
a TFR CM TFR
b PGNP FLR
c 1 2
d TFR t F
a CM TFR
b GNP FLR t
1 GNP -1.7680 t
t
2.2316 1.7680
0.2099
0.4636
2.2086
0.2099
20 2- t t 2-1.7680
c128.6.10
R 2 F
F F
0.7474 0.7077 / 1
9.4523
1 0.7474 / 64 4
1 60 F F 1%
7.08 F 1 TFR
d F1k tk2 c F t 9.4523 3.0744 2 TFR

0 t TFR
se 12.8686 / 3.07474 4.1857
32 1.7 21 5.11
Y X
Yi 22.163 0.3631X i
se 7.809
0.0971
r 2 0.424
Yi 7.059 1.0847 X i 0.0040 X i2
se 9.986
0.3699 0.0019
R 0.53
2
a
b
c
d
a 0.363
Y X
dY
1.0847 0.008 X
dX
b&c
8.6.10 R 2 F
0.53 0.424 /1 0.106
4.0613
1 0.53 /18 0.0261
F F 1 18 F 4.41
5% 3.0110%
P 0.0591 6% 5% X 2
d b X 2
b 0 1.0847 0.008X X 135.58
Y X 0 X 1.36
337.9.4- 2005 50
a8.6.4 t -0.03843
b8.6.9 F
c 50
a7.9.48.6.4
t
0.4683 0.5213 1
0.0989 0.0969 2 0.03843

2
50 47 t 5%
b
RSS F
ln Y / X 2 3.8876 0.5123ln X 3 / X 2
7.9.4 RSS RSSUR 0.0672

b RSS RSSR 0.0915 8.6.9 F
F
0.0915 0.0672 /1
0.0672 /12
4.3393
F F 1 12 F
4.34 F P 0.0593 6% 5%
t F
R 2 F
34 8.7 - 19701982 19831995
- 8.7
QQ:1487366230
8.7
RSS1 1953.639 1970 1982
RSS2 9616.213 1983 1995
RSS 23248.30 1970 1995
RSS
RSSUR 1953.639 9616.213 11569.852
F
F
RSSR RSSUR / k 11678.448 / 2 11.1032

RSSUR / n1 n2 2k 11569.852 / 22
11 F P 0.0005 8.7
- F
35 7.24 7.12 19472000
a 5%
b a
c
d a
ed d
f d
g b d
h a d
i d
a
Ct 20.6327 0.7340Yd 0.0360Wealth 50.521Interest
t 1.6085
53.376 14.4882
2.3067
R 0.9994
2
5% Yd
Y
C Yd
0.0734 d
Yd C
C
c t
Y Wealth
t
n 4
var var
2 cov

Yd
Wealth
Yd
d EViews
Wealth

e 0.8049 1 0.8049 0.2013
1 0.2013
1 0.0027
f
g d
h
i 8.4 F
8-6
36 8.8 8-9 19701995
8-5 19702005
National Bureau of Economic Research
2001
119701981 219822001 320022005
QQ:1487366230
8-5 19702005
a19702005 2002
b 8-5 19701981
c19822001
a
Savt 184.8291 0.0037 Incomet
t 6.625
0.627
R2 0.0114 RSS full 265277.871 df 34
2002
Savt 1430.9917 0.1550 Incomet
t 1.9296
1.7640
R2 0.6087 RSSthird 13310.9571 df 2
2002
Savt 145.2147 0.01857 Incomet
t 5.6613
2.8914
R2 0.2179 RSSmin us _ third 163505.179 df 30
RSSUR RSSmin us _ third RSSmin us _ third 13310.9571 163505.179 176816.136
RSSR RSSUR / k 265277.871 176816.136 / 2 44230.868 8.005

RSSUR / n1 n2 k
176816.136 / 32
5525.504
2 32 1% F 5.39 30

b
Savt 184.8291 0.0037 Incomet
t 6.625
0.627
R2 0.0114 RSS full 265277.871 df 34
1981
Savt 5.7075 0.1018Incomet

t 0.5170
13.0669
R2 0.9447 RSSthird 1613.756 df 10
1981
Savt 394.341 0.0301Incomet
t 11.8558 5.1242
R2 0.5441 RSSmin us _ third 69568.439 df 22
RSSUR RSS first RSSmin us _ third 1613.756 69568.439 71182.195
RSSR RSSUR / k 265277.871 71182.195 / 2 97047.838 46.3547

RSSUR / n1 n2 k
71182.195 / 32
2093.594
2 32 1% F 5.39 30
QQ:1487366230
9
9.1
1 0 1
0
0 1
ANOVA
ANOVA
1
Yi 1 2 D2i 3 D3i ui
1
0 D
2
1 m m 1
3 1
4 1
5
6
Yi 1 D1i 2 D2i 3 D3i ui
0 t
F
ANOVA
ANCOVA
ANCOVAANCOVA ANOVA
9-1 -
1 9-1a
2 9-1b
3 9-1c
4 9-1d
3
Yt 1 2 Dt 1 X t 2 Dt X t ut
Y X t
1 19821995
D
0
E ui 0 19701981
E Yt Dt 0 X t 1 1 X t
19821995
E Yt Dt 1 X t 1 2 1 2 X t
2 2
1
4
QQ:1487366230
1
2
3
Yt 1 2 D2i 3 D3i X i ut
D2 D3 Y
Yt 1 2 D2i 3 D3i 4 D2i D3i X i ut
2
Yt 1 D1i 2 D2i 3 D3i 4 D4i ut
D 1 0
t
Y
Y
Yi 1 1 X i 2 X i X Di ui
1X i X *
Di
*
0X i X
E ui 0
E Yi Di 0 X i , X 1 1 X i
X Yi
E Yi Di 1 X i , X 1 2 X 1 2 X i
X * Yi
2
9-2
9-2
1 1 2
X * 2
ln Yi 1 2 Di ui
E ui 0
E ln Yt Dt 0 1
E ln Yt Dt 1 1 2
1 D 0 Y D 0 D 1 Y
1 Y median
1 2 D 1 Y
2
var u1i var u2i 2
3
4
OLS
logit probit
QQ:1487366230
3
9.2
1
a 12
b 24681012
a 11
12
b 5 6
2 t
Y 1286 104.97 X 2i 0.026 X 3i 1.20 X 4i 0.69 X 5i 19.47 X 6i 266.06 X 7 i 118.64 X 8i 110.61X 9i

t
4.67 3.70 3.80 0.24
0.08
0.40 6.94 3.04
6.14
R 0.383 n 1543
2
Y
X 2
X 3
X 4
X 5
X 6 1 0
X 7 1 0
X 8 6
X 9 613
a
b X 6 X 7 2 t
a X 2 X 5 X 3 X 8 X 9 X 4
6 613
b 1286 X 6
5% t 2 X 7
5% t 2
c
3
98
UNt 2.7491 1.1507 Dt 1.5294Vt 0.8511 DtVt

t 26.896
R 0.9128
2
UN %
V %
3.6288 12.5552 1.9819
D 11966
01966
t
1966
9-1 3
a
b 1966 1966
c1966
d
a
b 3.89982.7491+1.1507
1966
1966
c 5%
d
4william Nordhaus 19721979 OPEC
yt 0.3 X 1t 5.22 X 2t
se 0.03
y /
x1 OPEC
0.50
QQ:1487366230
x2 1974 1 0 OPEC
1974 5.22 0.30

9-3b1974 5.22 0.3
0.3
5
Yi 1 2 Di X i i
Y
X
D
a D 1 0
b D 1 2
c D 1-1
a E Yi 1 2 X i
E Yi 1 X i
X 2
b E Yi 1 2 2 X i
E Yi 1 2 X i
X 2
c E Yi 1 2 X i
E Yi 1 2 X i
X 2 2
69.7.3
D2 D3 D2 D4
D3 D2 D4 D2 D3 D4
var A B var A var B 2cov AB
8 t
t
3 2 3
se 2 3
2 3 0
se 2 3 var 2 var 3 2cov 2 , 3
se 2 3 84.8392
t t
245.3750 347.6250
1.2055 t D2 D3
84.8392
D2 D3
D2 D4 t
t
245.3750 62.1250
84.8392
t D2 D4
3.6245
D3 D2 D4 D2 D3 D4
A B A C B C
7 9.5 -
a9.5.49.5.59.5.6
b
a&b9.5.69.5.49.5.7
2 3 1 2
var A B var A var B 2cov A B
var 1 406.6205 var 2 1094.443 var 1 0.00021
var 2 0.000255 cov 1 2 406.6205
cov 1 2 0.00021
se 1 2 406.6205 1094.443 2 406.6205 26.2263
se 1 2 0.00021 0.000255 2 0.00021 0.0067
8.6.4
8R.J.MillerFederal Deposit Insurance CorporationFDIC
91
ln Y 2.41 0.3674ln X1 0.2217 ln X 2 0.0803ln X 3 0.1755D1 0.2799D2 0.5634D3 0.2572D4
0.0477
0.0628
0.0287
0.2905 0.1044
0.1657
0.0787
R 0.766
2
Y FDIC
X1
X 2
X 3
D1 1
D2 1
D3 1
D4 1
a
b Y
c
a X 2
1% FDIC 0.22%
QQ:1487366230
X X
bc Halvorsen Palmquist
1 100 0 1
D4 0.2572 0.7732 1 100 -22.68%
FDIC 23%
9 1979 7 Sidney
Langer 1975 1983
Yt 8.5871 0.132 Pt 0.7102Un t 0.238M t 0.6592Yt 1 2.5831Dum t
se 1.9563 0.0992
0.1909
0.0727 0.1036
0.7549
R 0.9156
2
Y 3
P
Un
M
Dum 1979 7 1 1
a
b
c Pt Unt M t
a&c 1 Y 0.13
Y t -1.34
1 Y 0.71 t -4.24
Y
Y
Y
b 1979 Paul Volker
10 X
9-3 9.8.1
X
9-3
Yi 1 2 D 1 X i 2 X i X D ui
X i X D 1 X i X D 0
E ui 0
E Yi | D 0, X i X 1 1 X i
E Yi | D 1, X i X 1 2 1 2 X i X
X i X 2 2
11Cathy Schaefer 77
Pi 0 1 D1i 2 D2i 3 D3i i

Pi
D1i 001
010
100
D2i 10
01
D3i 0001 67.6 2
0010 2833.8
0100 16
1000 12
Pi 0.0143 0.000004 D1i 0.0090 D2i 0.00001D3i
0.00001
0.3837
se
t
0.00011 0.00000
8.3927 5.8125
R 2 0.6033
5
a
b
cD
a 10
10 100
b
60%
c
12 20 70 101 X Y Sen
Srivastava
Yi 2.40 9.39 ln X i 3.36 Di ln X i 7
se 4.37
0.859
2.42
R 0.752
2
Di ln X i 7 1 0 ln X i 7 X 1097
a
b ln X i 9.397
c Di ln X i 7 -3.367
d 1097 1097
1097
QQ:1487366230
e
a 1%
b 10.4 0.0939
c 1097
P 0.1618
d 1097 Y 2.40 9.39ln X i

1097
Y 2.40 9.39 3.36 ln X i 3.36 7 21.12 6.03ln X i
0
1097
13
Yi 1 2 Di ui
Di 20 0 30 1 var ui2 300

a 1 2
b
C 1 2 cov 1 2 15
a&b 1 20 Y 2 30 Y 30
Y 1 2
c A
var 1 2 var 1 var 2 2cov 1 2
D
n D D
2
i
var 1
var 2
D D
i
1 30
300 15
50 12
300
25
12
cov 1 2 15 var 1 2 10
14 1982
50
PVTi 19.8066 9.3917RTWi

t
17.0352 5.1086
r 0.3522
2
PVT=1982 RTW RTW 1

01982 20
a PVT RTW
b
c
d
a
b
c&d 19.8%
9.39 10.42%
15
Yi 1 2 Di ui
Y D 1 0 3
OLS Yhg 2 Ycg Yhg hg cg n1

n2 n n1 n2
3 0LS
D DY
D D
i
Di
n2
n
n
D 1 Di D 1 D 0 Di D 2 1
n
n
n
D D
i
n1
n2
2
2
nn
n
n
Di D Di D n1 2 n2 1 1 2
n
n
n
i 1
i 1
2
1
n1
n2
D D D D D D
2
i 1
i 1
n2
n
n1
n1
n2
Y n Y
i 1
i 1
n1n2
Ycg Yhg
n
2 Ycg Yhg 1 Y 2 D Yhg
16Belize 19701992 Mukherjee
ln Pop t 4.73 0.024t

t
781.25 54.71
ln Pop t 4.77 0.015t 0.075Dt 0.011 Dt t

t
2477.92 34.01 17.03 25.54
Pop t D1 1978 1 0ln
a
b1978 19721977 19781992
a2.4%
b1978
1.5% 1978 2.6% 1.5% 1.1%
17 9-8 1958 1966 1966 1971
12 0.00768 30 2 0.03638
17 8.7.8 F
F 22 / 12
F( n1 k ) ( n2 k )
k 2 n1 32 n2 19 F 4.7369 4.7369
F P 0.00001
QQ:1487366230
18 8 9.7.39.7.4
9.7.39.7.48.6.10 R 2
2
9.7.3 R 2 RR2 0.53189.7.4 R 2 RUR
0.7298.
n 2 k 5 m 1 8.6.10
F
0.7298 0.5318 / 1
19.8
1 0.07298 / 32 5
1 27 F 19.8 F P
1 27 09.7.3 X
X
19-9.5.4 1 0
Zi a bDi Di 1 0 a 2 b 3
Z D 0 2 D 1 5
9.5.4
9.5.69.5.7 2 2 D 0
5 D 1
9.5.6- 0 Z
2
19701981
Savings 100.6363 2 50.826180] [0.12398 2 0.02182 Income
1.0161 0.0803Income
9.5.6
19821995 -
Savings 100.6363 5 50.8262] [0.12398 5 0.021820 Income
153.1947 0.0148Income
9.5.7
20-9.5.4
Di 0 1
9.5.4
9.5.4-152.4786 Dt X t 153.4973
0.0148
21 9-2
lnSavingsi 1 2 ln Incomei 3 ln Di ui
ln Di 19701981 1 19821995 10
a
b
c
a 0 1 10
b&c t
ln Savingst 0.1589 0.6695ln Incomet 0.00029ln Dt

t
0.2074 6.2362
0.00505
R 0.8780
2
-0.1589
0 0.853110
ln Savingst 2.0048 0.9288ln comet 2.3278ln Dt 0.2985(ln Dt Incomet )

t
0.6528 8.7596
3.9696
3.9820
R 0.9291
2
19821995 MPS
0.6303 MPS 0.9288
22 9-3
Salesi 1 2 D2i 3 D3i 4 D4i ui
D 1 0
a
b
c
a 9-2
9-2
2
D2
D3
D4
748.250
13.824
8.25
0.10
42.875
0.56
49.875
0.65
0.0219
887.00
-77.50
t 18.8066 -1.16
-55.50
-0.83
11.12
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24 18991922 Dougherty
log Y 2.81 0.53log K 0.91log L 0.047t
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27 10-3 19752005 Imports
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31 10-7 1960 47 14
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1
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Ct t GNPt t Dt t
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19461975
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QQ:1487366230
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2
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15 11-2 81 MPGHPVOL
SP WT
QQ:1487366230
11-2
a
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b
c
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a
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se
t
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b
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QQ:1487366230
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11-2
b R1 11-3
11-3
ui ui
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0.134082 55 7.3745 2
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18 n
11.5.22
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16
Ri2
QQ:1487366230
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19 11.7 10 R&D
20 11-3 2007
11-3 2007
a
45 124578 4.5
3133
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1
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d
1 X
21
30 RSS1 55 df 25
30 RSS2 140 df 25
5%-

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2.5454
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55 / 25
25 5% F 1.97 2.5454
22 11-4 20 Y X
QQ:1487366230
11-4 1969
a
b Y X
c
b
d b c
a 11-5
11-5
b
X 11-6
11-6
c
a
X 11-7
11-7
d b c Y X
23 11-10 500 447 salary=1999

totcomp= 1999 CE0 tenure= CE0 6 0
age=CE0
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a--
salaryi 1 2 tenurei 3agei 4salesi 5profitst 6assetsi ui
b ln salary
c
aEViews
QQ:1487366230
P 0.0253
salaryi 998.7095 31.67tenurei 5.492agei 0.014salesi 0.141profitst 0.008assetsi

RSS 1501.390
2 ui2 / n 1501.390 / 447 3.359

pi pi ui2 / 2
1
2
pi Z ESS ESS ui
n
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11-81
11-82
QQ:1487366230
11-83
11-84
11-85
12
12.1
cov ui u j xi x j E xi x j 0
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2
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4
5
6
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QQ:1487366230
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cov ut ut s s co r ut ut s s
cov ut ut s cov ut ut s cor ut ut s cor ut ut s
3
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QQ:1487366230
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H 0 0 H1 0 4 d dU H 0
H 0 0 H1 0 d dU 4 d dU 2 H 0
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QQ:1487366230
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Yt 1 1 2 X t 1 ut 1
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Y X Y1 1 2 X 1 1 2 -
2
1
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1
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2
3
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ut t
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4
-
--
QQ:1487366230
5
OLS - d
-

GLS
GLSFGLS
GLSEGLS
FGLS EGLS
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OLS
---
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1 D D 11 1
1
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3 Dt X t 0 Dt X t X t
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Dt 1
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ARCH
GARCH
3
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12.2
1
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b- d ut
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e- d
f
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a
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ut
c
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1
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g e
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2 50 4
a d 1.05
b d 1.40
c d 2.50
d d 3.97
n 50 k 4 5 d
4 d L 2.62
dL 1.38
4 dU 2.28
dU 1.72
a
b
c
d
3value added
Gujarati
A Yt 0 1t ui
B Yt 0 1t 2t 2 ut
Y t 19491964
A
Yt 0.4529 0.0041t
3.9608
R 0.5284
2
d 0.8252
B
Yt 0.4786 0.0127t
3.2724 2.7777
R 2 0.6629
d 1.82
QQ:1487366230
t
a A B
b
c
a A B
b A
c
4 ut n
2
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3
s
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n
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d
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n
n
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4
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2.02 3 0.04 1.4203 2.6197 99.7% 2.88
5 17 11 6 3
14
3 14
6 d - 1 d2
n2 1 d / 2 k 2
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2
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0.01 -0.99-0.980.900.91
a-
b ut2
a
b GLS
ut2
8 p -
Yt 1 2 X t ut
AR1
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1 1

1 OLS ut X
2 1
ut ut 1 1
3 12.9.6
4 3 1* 2*
ut
ut* Yt v1* 2* X t
Yt X t 1* 2*
5
ut* *ut*1 wt

-
0.01 0.005
- 3
a--12.5.2
b a -
c
a Minitab 4 0.88710.9932
QQ:1487366230
0.99670.9968 0.005
b
Yt 0.4165 0.5411X t
se
t
0.284 0.111
1.46 4.89
R 2 0.358
Yt 0.3619 0.5881X t
se 0.297
t
0.114
1.22 5.17
R 2 0.378
c
9 --
[]
-12.5.1-
C-0 0.887112.9.16
10 0.8689 12.9.17 0.8964 G0
10 12.9.5
Yt 1 1 2 X t 2 X t 1 Yt 1 t
1 Yt X tX t 1 Yt 1
Yt 1 12.9.5
12.9.6
a---
b1
X t 1 X t 2 Yt 1 -1
Yt 1 0.8795 C-0 C-0

-
b
11Nerlove 1955 145
- d
12-2
a 12-2
b
12-2
a
b log output
2
12 12-3
outlier
34
12-3
a
b
c- d
a
c RSS
13- d
3
14
Yt 1 2 X t ut
ut ut ut 1 t
QQ:1487366230
Yt Yt 1 1 1 2 X t 2 X t 1 t
t

E t E ui ut 1 0 var t E ui ut 1 ui ut 1 1 2 2 cov t t 1 2

15 19511969
PFt 2.033 0.273Wt 0.521X t 0.256M t 0.028M t 1 0.121PFt 1

se 0.992 1.127
R 0.984
2
0.099 0.024
0.039
0.119
d 2.54
PF W X M
M t 1 PFt 1
18 5 d 5% 0.71 2.O6 d 2.54
- d
36 h
16
a
b
c-
d-
e-
f
AR1
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b -1
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e 7
f Y X X
17
Yt 1 2 X t ut
ut 1ut 1 2ut 2 t
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ut 1ut 1 t
t
18 C 12.3.1 2GLS
1 2 x1 y1 t 2 xt xt 1 yt yt 1
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1 2 x12 tn2 xt xt 1 2
n
12.3.1
C
x
C
2
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2
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12.9.6 yt* 2* xt* t
OLS
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yt xt
xt2
y y x x
x x
t 1
t 1
t 1
2012.9.9
22 11 14
18.83 0.4955 95%18.831.960.703917.4520.21
14
21
12.2.1 AR1 AR4
ut 4ut 4 t
4 0 Wallis- d
d4
t 5
ut 4
n
2
t 1 t
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-
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d12
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13
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22
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QQ:1487366230
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d 1
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1
2
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c 0
2512.5.2- 6 [ AR6]
a-
b AR1
a 5
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26 12-7
12-2
19511980
a
ln Ct 1 2 ln It 3 ln Lt 4 ln Ht 5 ln At ut
b
c- d
d c
e AR p AR1
28
a
ln Ct 1.500 0.468ln I t 0.279ln I t 0.005ln H t 0.441ln At
se
t
1.003 0.166 0.115

1.496 2.817 2.436
0.143 0.107
0.036 4.415
R2 0.936
R 2 0.926 F 91.543 d 0.955
IL A C
QQ:1487366230
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c a d 0.955 n 30 k 4 5% d 1.138
d d
dn 30 n1 17 n2 13 R 9 D SwedEisenhart
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27 12-3
12-3
a- d 0.4148
b
c
i-
ii
iii-
d-
e d
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se 5.849
0.643
t 42.104 23.603
R2
0.977 d
0.4148
a d 0.4148
b n 15 k 1 0.05 d L 1.077 d d L
c
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ii
iiiC-O 0.6691 0.005
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Yt 32.052 19.404 X t
se 4.925
t
2.038
6.508 9.522
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-
e 1.923 - d
AR2
n 14 n1 8 n2 6 R 10 - 3 12
10
28 26 12-2
a- GLS
b a - d
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Yt 1.214 0.398ln I t 0.336ln Lt 0.055ln H t 0.456ln At
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0.247
0.121
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0.378
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QQ:1487366230
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10
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c
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QQ:1487366230
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RSS
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f-
---
(White) MWD
H 0 Y X
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Y Y H1
35 12-6 19541981 t RR t t 1
OGt1 t Inft
a RR t Inft
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cEugene Fama
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12-6 19541981
QQ:1487366230
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h h-statistic
h
1 n var 3
n var 3 Yt 1
0 hN 0 1 h
96 5% h 1
96
h 1
0
0LS
var 3 d d 1 d / 2
d h
h 1.96
h 12.5.1

b h
h
n
1 n[var( 3 )]
0.3118
45
2.2727
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45 h 5%
1.96 h 1.96 1%
2.575
37 9 - 9-2 AR1
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ISTAR NDUM PR0D

9.5.4
38 12-4 -12.9.8
12.9.9
12.9.8
QQ:1487366230
DEL_Y Yt Yt Yt 1 DEL_X X t X t X t 1
12.9.9DEL_X p 0.0000
13
13.1
1
1
2
3
4
5
6
7
2
Yi 1 2 X 2i 3 X 3i Ui
Yi 1 2 X 2i vi
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1 X 3 X 2 r23 1 2
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4 2 2 / x22i 2
QQ:1487366230
5
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2
Yi 1 2 X 2i ui
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3
4
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k
Yi 1 2 X 2i 3 X 3i +
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QQ:1487366230
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QQ:1487366230
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4
1
1
1
QQ:1487366230
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13.2
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x y x Y x X
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3 ARPaganandADHallDiagnosticTestsas Residual
AnalysisEconometric ReviewsV01.21983PP159218
11
Yi 1 2 X i* Ui
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13Leamer
meta statistics[]
[]
14
95%
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15 20 50 60 MBlaug
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[ Popper ]
16
t t
17 F 13.8.4
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95%
0
M1 M2
18
Yi 1 2 X i 3 X i2 4 X i3 ui
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E 1 4 43
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19 X i 2 Yi 1 2 X i ui RESET
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QQ:1487366230
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y
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b1 6 2
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b ln X 6
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c a 100 100 b 1
a
b CES
c
ln
V
1
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E
t 0.534 1.229
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ln
V
0.472 1.340W
L
t 0.352 3.022
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25 8 26 Y
A Yt 1 2 X 3t 3 X 4t 4 X 6t ut
B Yt 1 2 X 2t 3 X 5t 4 X 6t ut
F
F F
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B
26 25 J
A B B A J
1 B Y Yi B
21 A
Yt 1 2 X 3t 3 X 4t 4 X 6t 5Yi B ut
Yi B 1
3 t 5 0
4 5 0 A A
A B B
1
Y 6042.059 1.226 X 3 820.010 X 4 1115.888 X 6 1.213Y B
t 1.848
0.831 3.658
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Y B P 5.15% 5% A
2
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t
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27 7 19 5
a 1 2 2 1
b 1 5
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2 1
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F
2
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b 51
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28 8-11 19702005 Y X
A Yt 1 2 X t 3 X t 1 ut
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3
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QQ:1487366230
Yt 1 2 X t 3 X t 1 4Yi B ut
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t 4 0
4 0 A A
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Yt 39.2316 0.3616 X t 0.3801X t 1 1.1188Yi B

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29 28 19701981 19701985 19701990

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13-1
13-1
R2
19701981
1.0161
0.0803
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9.6015
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0.7561
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-
30 29 8-10
a 19701981 19822000

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a13.10.1
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F
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n1 12 n2 19
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-
b a
31 k 13.3.3 Yi 1 2 X 2i 3 X 3i ui
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k Yi 1 2 X 2i k X ki ui X k
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E 2 2 6b62
1 2 6 0.4813 -0.0610
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-0.0297 ln X 6 2 -0.03
ln X 3
QQ:1487366230
14
14.1
NLRM
2
1-
2CES
Yi A Ki 1 Li
1/
1 Yi 1 2 X i ui
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OLS RSS
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2
i
Yi 1 2 X i
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Y e
X
2 i
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2 i
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2
3
1
0LS
0LS
--
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1
Yi 1 X 2i X 3i eu
3
Yi 1 X 2i X 3i ui
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2-multiplicativelyadditively
Yi 1 X 2i X 3i eu Yi 1 X 2i X 3i ui
2
30LS
OLS NLLS
1 Yi 1 2 X i ui
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2
OLS RSS
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Y e
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i
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ui
QQ:1487366230
Y t
2t
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2t / t
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t F 2
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14A 14A.3 2
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a Yt 1 2 X t ut
b ln Yt 1 2 X t ut
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1
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0
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8 14-1 19702007 7
14-1
Y t
Yt 5042627 2661.83t
t
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r 0.993
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7350.19 143.06
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0.9995
1 2 3 t 2.79215.4893 5.0197
Logistic
2661.83 0.0106
Logistic
1432.739
QQ:1487366230
5%
9 14-2 19551974 GDP14.1.2a
-14.1.4
-
14-2
-
GDP 0.5292 Labort
0.1810
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0.8827
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-
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/
15
15.1
1LPM
2logit
3probit
4tobit
Yi 1 2 X i ui
X Y 1 Y 0
2
Pi Yi 1
1 Pi Yi 0 Yi
Yi
E Yi 0 1 Pi 1Pi Pi
E Yi X i 1 2 X i Pi
Yi
0 E Yi X i 1
0 1
3LPM
1 ui
ui Yi 1 2 X i
ui
ui
0LS 0LS
QQ:1487366230
LPM 0LS
2
E ui 0 cov ui u j 0 i j
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P P 1 P P
var ui Pi 1 Pi
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i X i
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Yi
wi
1
wi
Xi
wi
ui
wi
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i X i wi
wi
1 OLS
Yi E Y
i X i wi
w i Yi 1 Yi
2 wi 0LS
3 0 E Yi | X i 1
E Yi | X i X Y 0 1
E Yi | X i Yi OLS LPM
OLS 0 E Yi | X i 1
Yi 0 1
OLS LPM Yi 0 1 Yi 0
Yi 1 1
Yi 0 1 logit probit
0 1
4 R 2
R 2 R 2 1
R 2 0.2 0.6
LPM Pi E Y 1 X X X
Logit
1
LPM Pi 1 2 X i
Pi
1
1 e
1 2 X i
1
e Zi
1 e Z i 1 e Zi
Zi 1 2 X i logistic
Pi
1 Pi
1
1 e Zi
Pi
1 e Zi
e Zi
1 Pi 1 e Zi
P
Li ln i Z i 1 2 X i
1 Pi
Li X i L logit
logit
2logit
1 P 0 1 Z -+
L -+ 0 1
logit
2 L X X LPM
3 X
4 L logit 1
L X 1
5 logit 2 X L
6 X * 1 2 Pi
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P
Li ln i
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OLS ML
QQ:1487366230
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Pi i
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i
1 2 X i
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logit WLS
OLS
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2
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3logit
1 X i Pi ni / Ni
2 X i logit
Li ln Pi / 1 Pi
3
wi Li 1 wi 2 wi X i wi ui
Li 1 wi 2 X i i
wi Ni Pi 1 Pi Li* Li X i* X i vi
vi
4 0LS
5 0LS
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Logit Li ln Pi / 1 Pi
logit Pi / 1 Pi i
1 100 1
Logit
logit
1
2 Z t
t
3 R 2
R 2
R 2 =/
logit 1 0 0.5 1 0.5
0 R 2
4 F LR
LR 2
probit
CDF probit normit
1
I i 1 2 X i
Ii
I i* I i CDF
Pi P Y 1 X P I i* I i P Z i 1 2 X i F 1 2 X i
P Y 1 X X Z N 0 2 Z F
CDF
F Ii
Ii
e z / 2 dz
2
1 2 X i
e z / 2 dz
2
Ii 1 2
I i F 1 I i 1 2 X i
2 probit gprobit
probit Ii normit
1
Probit dPi / dX i f 1 2 X i 2 f 1 2 X i 1 2 X i
2 gprobit
3 probit
LPM Probit Logit
4
1
2 LPM
3 logit
logit i Pi 1 Pi j
j Pi
4 probit j f Z i f Z i
Zi 1 2 X 2i k X ki
QQ:1487366230
Logit probit
1Logit probit
logistic probit
logit 0 1 15-1
15-1
logit probit
2logit probit
LPM logit probit
tobit
tobit
1tobit
tobit
1 2 X i ui
Yi
0
RHS 0

RHS X
2tobit
1 n1 tobit n2 n1 OLS
ML
probit
probit tobit
1
1
PDF
f Yi
Y e
Y!
Y 0
1
2
f Y Y
2
E Y var Y
2
Yi E Yi ui i ui
Y i i
i E Yi 1 2 X 2i 3 X 3i
k X ki
Yi
Y e
Y!
ui
1 logit probit
logit probit
logit
probit
2 logit probit
probit logit
logit probit
3
15.2
1 15-2 Yt 0.01 Yt 1 0.99 wi
WLS LPM15.2.11
12
X
1
Yt 1.246
0.120 i
wi
wi
t
10.332
17.454
12
X
1
Yt 0.635
0.0820 i
wi
wi
t
12.576 26.305
40 28
t
2 15-1 logit
P
Li ln i 493.54 32.96income
1 P
t 0.000008 0.000008
16 Y 1 16 Y 0
QQ:1487366230
16 X Y 1 16 X
Y 0
ML
3JanetAFisher 762 Y Y 1 Y 0
a
b-0.0051
c
d 20000
e X1 15000 X 3 3000 X 4 5000 X 6 0 X 7 1 X 8 500 X 3 300
X10 0 X11 35 X13 1 X14 2 X16 0
X 1
a X 1 X13 X16 5% R 2
b
c
d E Yi X i 1 2 X i 0.1411 0.0251 20 0.6431
e 0.6936
0.1411 0.0251 15 0.0051 3 0.0013 5 1 0.0136 0.7540 0.5 0.9809 0.3
0.0046 35 0.1760 1 0.0398 2 0.6936
4 15-3 R 2 0.175
R 2
R 2 8 F
15.13
515.7.1
0.24580.27610.30860.36110.39810.49500.59230.6828
0.7614 0.8254
15-2
15-2
6 15-11 probit x x 1 x x x X
Ii 1 2 X i I i
x x 1 x 1
X i x
x 1
X i probit
x x
1
x
2
x
x
7 54 SMSADemaris logit
ln O i 1.1387 0.0014 Pi 0.0561Ci 0.4050 Ri

se
0.0009
0.0227
0.1568
O P 1980
C 19701980 R
se
a
b
c
d
a Pi
0.0014 1.0014 1 0.0014 100 0.14%
1000
0.14%
b C R 5%
c a 49.93%
d 5.77%
a
815.7.3 0LS 15.7.1 WLS
OLS WLS 15.7.1
QQ:1487366230
15.7.3
9 1980 J.S.Cramer 2820 logit
logit
Y 1 Y 0
Li 2.77231 0.347582ln income
3.35 4.05
2 1df 16.681 p=0.0000
t
Li Logic lnincome 2
a logit
b logit
c 20000 25000 20000
d logit
a 1%
34.8%
b
Pi
0.0625 X 0.3475 X
1 Pi
Pi
c Pi
0.0625 20000
0.0625 X 0.3475
1+0.0625 X 0.3475
0.3475
1 0.0625 20000
0.3475
0.66 66% 25000
68%
20000
1 P P 0.3475 1 66% 66% 0.078

d 2
1015.2.8
A P P 1 P
11Bowen Bok logit

15-1
15-1 Logit 1989
a
b SAT 1299 SAT
1000
1.393 39%
c
alogit
b
c
2 2
13
12 15-11 logit i
u2
Pi 1 Pi
Ni fi 2
fi F 1 Pi
QQ:1487366230
a i 15-10
b 15-10
c probit
a ui wi
Ni fi
Pi 1 Pi
b 15-2
15-2
I I i
X i X ii
0.20
0.075
-11.157
79.690
0.24
0.086
-8.113
92.717
0.30
0.114
-4.571
87.896
0.35
0.140
-2.708
92.636
0.45
0.415
-0.289
36.181
0.51
1.991
0.015
10.044
0.60
0.243
1.029
102.856
0.66
0.168
2.388
179.124
0.75
0.102
6.557
342.509
0.80
0.095
8.820
420.000
c
I i 1.086 0.049X i
se 0.031
0.001
13 R 2 x
i 1
N i Pi Pi *
Pi* 1 Pi*
Ni
Pi ni Ni
Pi *
G X i 15-4 10
2 G k 2 k k G
2 15.7.1
R 2
R 2 2.3449 P 0.97
14 15-3 50
X 13
2
15-3
Logit
Li 4.837 7.0581ln X i
se 0.434
0.599
t 11.141 11.782
2 1.4069
2 P 0.7039
15 13 15-4 GRE 6
15-4 GRE
a GRE LPM
b
aLPM
Yi 2.867 0.003Qi 0.002Vi
t 3.442 2.976
3.441
Y 1 0
b LPM
QQ:1487366230
16 6 DMontgomeryEPeck
15-5 5500 11
500
a logit
b probit logit
c 17
d 70%
15-5
a logit
Yi 2.085 0.136 X i
t 143.597 151.621
b logit
Ii 3.722 0.083 X i
t 316.543 115.254
c 17 logit 1.2548 56% probit
d
0.70
ln
2.085 0.136 X i
1 0.70
X 21.56
17
JCaskeyAPeterson
1977 1989 probit 15-6
a1977 1989
b 1977 1989
c
d 2 13
15-6
probit
d 2 1977
91% 1989 90%
18 probit WBeckerDWaldman E Y X 1 3 X Yi 1 3X i i i
0 1
15-7 35
QQ:1487366230
15-7
Yi 1 3X i i Y 0 Y 1
a Y X LPM E Y X 1 3 X
b X 0.48 E Y X 0.48 E Y X 0.48
X 0.48
c 15-7 Y X probit
probit
Yi* 0.969 2.764 X i
48 P Yi 0 X 0
P Y * 1| X 0
48 0.64
d 15-7 X 0.31 X X
79 0.25
P Y * 1| X 0
a LPM
Yi 0.184 0.874 X i
t 1.373
5.042
b X 0.48 E Y | X 0.48 0.440 E Y | X 0.603

c
P Y | X 0.48 0.969 2.764 0.48 0.36
0.64
d P Y | X 0.79 0.969 2.764 0.79 1.2145
0.8878 0.2480
19 15-27 2000 1=0=
1=0=

2000 657
a
b logit
c probit b
d
aworkEViews LPM
bLogit EViews
1 1.06
e0.05793 1.06
cProbit EViews
QQ:1487366230
d logit probit logit

logit
20 15.10
15-28
Education Income logistic
15-16 INCOME PCIGS79 5%

INCOME P 0.0000
21 15-29 Benign cancer 1 0

age
HIGDCHK
0 1
AGPI
miscarriages weight
logistic
logistic EViews
CHK WEIGHT 5% AGPI
QQ:1487366230
16
16.1
2
1
2
3
3
1
2
1
2
3
4
5
6
1 OLS
2LSDV
OLS
4REM
0LS
1
Cit 1 2Qit 3 PFit 4 LFit uit
i i t
2
1
2
u it
3 0
uit iid 0 u2
4
3
Cit 1 2Qit 3 PFit 4 LFit 5 M it uit
M M
Cit 1 2Qit 3 PFit 4 LFit i uit

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4
i u it it i uit
Cit 1 2Qit 3 PFit 4 LFit it
it i
0LS
1 LSDV
1
LSDV
Cit 1i 2Qit 3 PFit 4 LFit uit

FEM
2
Cit 1 2 D2i 3 D3i 4 D4i 5 D5i 6 D6i 1 2Qit 3 PFit 4 LFit uit
OLS
4
2 LSDV
1
2
3LSDV
QQ:1487366230
1WG
1i
WG
WG
WG
2WG
1
3WG
WG
C
Cit 2 Qit 3PFit 4 LFit uit ui t 1
WG
ECMREM
1
1i 1
1i 1 i
i 2
i
1 2Qit 3 PFit 4 LFit wit
wit i uit it i u it
ECM
2ECM
iN 0 2
uiN 0 u2
E i uit 0 E i j 0
i j
E uit uis E uij uij E uit u js 0
j t s
wit i wit
3FEM ECM
FEM N N
ECM i
i
4
E wit 0 Var wit 2 u2
wit wit wis
corr wit wis
2
t s
u2
2
2
OLS
GLS
5FEM ECM
1
2
-BP u2 0
BP 1 2
QQ:1487366230
FEM ECM i X
i X ECM i X FEM
1 T N
FEM ECM FEM
2 N T
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ECM
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FEM
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4 N T ECM ECM FEM
5ECM FEM
1ECM FEM
FEM
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16.2
1
2 FEM
FEM
3 FEM ECM FEM
1
1i 1
1i 1 i
i 2
i
1 2Qit 3 PFit 4 LFit wit
wit i uit wit i u it
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2 FEM N N ECM
i
i ECM
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3 ECM FEM
4LSDV
1LSDV
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2
OLS
3 C
Cit 2 Qit 3 PFit 4 LFit uit ui , t 1
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5
616.4.2
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QQ:1487366230
E i j 0 i j
E ts t s
E uit uis E uit u jt E it js 0 i jt s
var wit 2 2 2 u2
wit wit w jt i j
cov wit w jt
var wit var w jt
2
i j
2 2 u2
wit wis t s
cov wit wis

var wit var wis
2
t s
2 u2
2
7 1-1 FEM ECM

FEM
N T
ECM 1i 1 i i
ECM
FEM 1i
FEM
N 50 T 2 50
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8 1-2 FEM REM
REM
X
N T REM 1i 1 i i
REM
9 629
6 3774
South=1 0
Rural=1 0
FEM ECM 16-1
16-1
a
b
c
a
b
c 3774
1016.4.2
16-2
-
16-2 -
R 2 98.83%
11 1-1
a Y X
1990 1991
b
c
d 50
e
f EViews
QQ:1487366230
a1990 1991 16-2

16-2
R2
1990
3118.484
3.5718
-22.4984
-2.0894
0.0834
1.98
1991
3149.356
3.8837
-23.3485
-2.2742
0.0972
1.9
t
b
Eggs 3132.258 22.8952 price
t 5.3281
3.1173
R 0.0902 d 2.0037
2
c 1990 D 0 1991 D 1
Eggs 3153.082 34.6977 D 22.9403 price
t 5.0767
0.1087 3.1027
R 2 0.0903 d 2.0047
1991
d LSDV 50 49
e d
f ECM ECM
12 11 8
16-3
16-3
df
RSS
1990
1.24E+08
48
1991
1.22E+08
48
2.46E+08
98
1.24E+08=1240000001.22E+08=1220000002.46E+08=246000000
F
F
RSSR RSSUR / k 0
RSSUR / n n 2k
F F
13 1-6
aGrunfeld investment function
b OLS
c LSDV b
d LSDV
a&b t 16-4
16-4
F1
C1
RSS
R2
-9.9563
0.0265
0.1516
-0.3173 1.7057 5.9015
0.7053
13217
1.07
-149.4667
0.1192
0.3715
-1.4137 4.6192 10.0270
0.9214
143118
0.93
-50.0780
0.1714
0.4087
-0.3413 2.3254 2,8208
0.4810
154988
0.92
-0.5804
0.05,30
0.0916
-0.0724 -3.3776 1.6334
0.7450
1769
1.42
0.7565
1560690
0.22
-63.3041
0.1101
0.3034
cLSDV
Yit 245.7924 161.5722 D2i 339.6328D3i 186.5666 D4i 0.1079 X 2it 0.3461X 3it
se 3508112
t 6.8635
46.4563
3.4779
23.9863
14.1594
31.5068 0.0175
5.9214 6.1653
0.0266
12.9821
R 0.9345 d 1.1076 df 74
2
d D2 D3 D4 LSDV
0.9345 0.7565
0.0593
3
F
66.998
2 0.9345
0.0008851
8016
F D2 D3 D4 LSDV
14 16-5 19802006 Y 1992

=100 X
1
Yit 1 2 X it uit
a Y X
b1
c 81
d
e
fFEM ECM
16-5 19802006
QQ:1487366230
bc 16-6 t
16-6
R2
RSS
155.9507
7.52
-7.8523
-3.20
0.2908
11878
212.0609
12.28
-14.5380
-7.05
0.6651
15676
202.1487
9.16
-15.5595
-4.45
0.4415
16895
184.441
17.87
-11.603
-8.74
0.4915
49486
d Stata
e Stata
f
15BaltagiGriffin
ln Yit 1 2 ln X 2it 3 ln X 3it 4 ln X 4it uit
Y X 2 X 3 X 4 i 18
0ECD t 19601978
a 18 342
b
c
QQ:1487366230
d 18 OECD
a Stata
bStata
cStata
16 Subhayu Bandyopadhyay and Howard J.WallThe Determinants of Aid in the Post-Cold War
EraReviewFederal Reserve Bank of StLouisNovemberDecember 2007v0189number 6pp533
547
135 3 http
//research.Stlouisfed.org/publications/review/past/2007November/December V01.89N0.10 section
16-18 534
2
Stata
QQ:1487366230
17
15
16-7 t
16-7
ln_ Q ln_ PF ln_ LF
R2
1
8.5592
30.282
1.1664
11.651
0.3917
20.502
-1.4614
-5.776
0.998
9.5408
29.389
1.4649
17.842
0.3104
11.080
-1.5216
-11.104
0.9988
8.0011
15.735
0.7196
4.660
0.4534
12.012
-0.4241
-1.187
0.9940
8.5738
11.717
0.9371
11.924
0.4590
10.206
-0.3765
-1.452
0.9951
10.6531
14.657
1.0618
13.894
0.2959
6.745
-0.6132
-3.565
0.9981
10.9130
19.898
0.9675
30.187
0.3002
9.801
0.0867
0.357
0.9986
R 2 ln_ LF 6 ln_ LF
15 6
4
QQ:1487366230
17
17.1
Yt 0 X t 1 X t 1 2 X t 2 ut
Yt X t Yt 1 ut
1
2
3
1
Yt 0 X t 1 X t 1 2 X t 2
ut
Yt 0 X t 1 X t 1 2 X t 2 k X t k ut
k

1
2
2
1
Yt X t Yt X t X t 1 Yt X t X t 1 X t 2
k 0 k k 0
1
0 1 1
k 0 1 k
k
2
1
2 1
1
3 k 0
1
k 0
Yt 0 X t 1 X t 1 2 2 X t 2
ut
Yt 1 0 X t 1 0 X t 2 0 2 X t 3
ut 1
Yt 1 0 X t 1 0 2 X t 2 0 3 X t 3
ut 1
Yt Yt 1 1 0 X t 1 ut ut 1
Yt 1 0 X t 1 Yt 1 t
t ut ut 1 ut ut 1
4
1 Yt 1
2 Yt 1 Yt 1 Yt
Yt 1
3 t ut ut 1 ut
ut t
4 Y - d Y
h
5
X Y 50%
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log

6
k
1
1
2
Yt 0 1 X t ut
X *
QQ:1487366230
X t X t1 X t X t1
0 1 AE
X t X t 1 X t1
Yt 0 1 X t 1 Yt 1 t
t ut 1 r ut 1
1 Y X
Y Y X t 1
1
Yt X
Yt 0 1 X t ut
Yt Yt 1 Yt Yt 1
0 1 Yt Yt 1 Yt Yt 1
Yt Yt 1
I t Yt Yt 1
It t
0 1
Yt Yt 1 Yt 1
Yt 0 1 X t ut 1 Yt 1
0 1 X t 1 Yt 1 ut
Yt 0 0 X t 1 1 Yt 1 1 1 Yt 2 ut 1 ut 1
0 1 X t 2Yt 1 3Yt 2 t
2
1 Yt 2 Yt 1
2
3
Yt 0 1 X t 2 X t 1 t
1
0LS OLS
2
OLS
Yt 1 ut 1 ut ut Yt 1
ut 0LS
OLS
1
OLS Yt 1 vt
Yt 1 vt Yt 1 vt
IV
2
X t 1 Yt 1 Yt 0 1 X t 2 X t 1 t
Y X
t
Y X
t
t 1
n 0 1 X t 2 Yt 1
0 X t 1 X t2 2 Yt 1 X t
0 X t 1 1 X t X t 1 2 Yt 1 X t 1
0LS 0LS
Y X
t
Y X
t
t 1
n 0 1 X t 2 Yt 1
0 X t 1 X t2 2 Yt 1 X t
0 Yt 1 1 X t Yt 1 2 Yt 21
OLS
QQ:1487366230
h
1 h
h
h
n
1 n var 2
0 h
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d
2
2 h
1 X Y h Yt 1
2 nVar 2 1
3
1
Yi i 0 i X t i ut
k
i a0 a1i a2i 2
Yi a0 a1i a2i 2 X t i ut a0 X t i a1 iX t i a2 i 2 X t i ut
k
i 0
i 0
i 0
i 0
i 0
i 0
i 0
Z0t X t i Z1t iX t i Z 2t i 2 X t i
Yi a0 Z0t a1Z1t a2 Z2t ut
OLS

0 0
1 0 1 2
2 0 21 4 2
2 0 31 9 2
k 0 k1 k 2 2
2
1 k
2 k m
3 m k Z Z X Z
3
1
3
4
1
2Z
5
1 0LS
2
0 k k
3
1 Yt i X t i j Yt j u1t
i 1
j 1
i 1
j 1
2 X t i X t i jYt j u2t
1 1 X 2 Y
X Y
2 1 X 2 Y
Y X
3 X Y
4 X Y
X Y X Y
Y X Y
X Y
3
1 Y Y X
RSSR
2 X RSSUR
3 H 0ai 0 i 1 2 n X
4 F
F
RSSR RSSUR / m
F m
RSSUR / n k
n k
5 F F X
X Y
6 Y X 1 5
4
QQ:1487366230
1
2
3
4 F
5
5
1
Yt X t Yt X t X t
Yt X t X t
X Y X X
X
2
17.2
1
a
b
c 0LS
d0LS
e
f- d
g h
h
a
b
c
0LS OLS
d OLS
Yt 1 ut 1 ut
e
f d h
g
h
X Y X Y
217.7.2
17.7.1
17.6.217.5.2
Yt* 0 1 X t* ut
Yt Yt 1 Yt* Yt 1
X t* X t*1 X t X t*1
2
Yt Yt* 1 Yt 1
3
X t*
1 1 L
Xt
L LX t X t 1 14
Yt 0 1 X t* ut + 1 Yt 1
Yt 0 1
X t + 1 Yt 1 ut
1 1 L
56
7
Yt 1 2 X t 3Yt 1 4Yt 2
7
317.8.3
E ut 0 Yt 1 E Yt 1 ut 1
cov Yt 1 ut ut 1 E Yt 1 E Yt 1 ut ut 1
E ut 1 ut ut 1
2
E ut 1
4
Pt* Pt 1 1 Pt*1
P* P 0.5 17-1
17-1
t 2 Pt* Pt 1 1 Pt*1 0.5 110 0.5 100 105

t 1 Pt* Pt 1 1 Pt*1 0.5 105 0.5 125 115
t Pt* Pt 1 1 Pt*1 0.5 115 0.5 155 135
t 1 Pt* Pt 1 1 Pt*1 0.5 135 0.5 185 160
5
Yt 1 X1t 2 X 2t 3Yt 1 t
Yt 1 t Yt X 1t X 2t
Yt
QQ:1487366230
Yt 1 X 1t 2 X 2t 3Yt 1 t
Yt 1
a Yt 1 t
bLiviatan
a Y X
b
6a17.4.8
b 0.2 0.4 0.6 0.8

c
a 1/2
0 1 t / 1 1
t
0 / 1
2
t
t
1
1
t ln ln ln 2
2
2
2ln 2
ln
b 17-2
17-2
ln
0.2
-1.6094
ln 2
0.6932
0.4
-0.9163
0.6932
0.7565
0.6
-0.5108
0.6932
1.3569
0.8
-0.2231
0.6932
3.1063
0.4307
7a17.4.10
b
a k 0 k 0 1 k 0
1 2
k
0
k
k
0
0 k k
0 k
/ 1
1/ 1
1
2
b
817.4.9 17-1 10.959
k
k
17-1
11.316 /1.03 10.986 10.959
9 M t 1Yt* 2 Rt* ut M Y * R*
Yt * 1Yt 1 1 Yt*1
Rt* 2 Rt 1 2 Rt*1
1 2 0 1
a M t
b
a 2 M t
Mt
1 1 1
1 2
Y1 2
Rt ut
1 1L
1 2L
M t 0 1 1 1 Yt 1 2 1 1 Yt 1 2 1 2 Rt 2 1 1 2 Rt 1
1 2 M t 1 1 2 M t 2 ut 1 2 ut 1 1 2 ut 2
0 1 2 1 2
b
10 0LS 17.7.2
17.7.2
11 Yt X t ut ut 12
ut ut 1 t P t 0LS 12
Yt 1 X t X t 1 Yt 1 t
0LS serial correlation model
PAM
1217.4.7
Yt 1 0 X t Yt 1 ut ut 1
ut ut ut 1 t t OLS
a OLS
b
c
a OLS
b Henri TheilPrinciples
of EconometricsJohn WileySonsNew York1971pp408411
c 01
13
17-1
QQ:1487366230
2 X t X t 1
Yt
3 X 2 X t 1 X t 2
Yt t
4 X t 3 X t 1 2 X t 2 X t 3
Yt
10
R 2
17-1
14 19501960 F.P.R.Brechling
E t 14.22 0.172Qt 0.028t 0.0007t 2 0.297 Et 1
2.61 0.014
0.015 0.0002
0.033
R 0.76
d 1.37
Et Et Et 1
Q
t
Et*
Et*
Et Et 1 Et* Et 1
0 1
a
b
c
d
a
5%
b 0.297
c
47.879 0.579Qt 0.094t 0.002t 2
d h n 44 d 1.37
n
44
d
1
h 1
1 d
2.414
2 1 n var Et 1 2 1 44 0.001089
h 5% 1.96 44
15
2
1
Tt* X1
t 1 X 2 t 1
T *
X1
X 2
19211957
log Tc C 0.218log X 1,t 1 0.855log X 2,t 1 0.864log Tt 1
0.051
0.170
0.035
R 0.987
2
C 109
a
b
c
d
a1-0.864=0.136
b-0.218 0.218 / 0.136 1.602
c-0.855 0.855 / 0.136 6.287
d0.136
16 R 2
17 17-2
17-2
QQ:1487366230
4 2 6
2
1817.13.4
i a0 a1i a2i 2
ami m
a1 i
var i var a0 a1i a2i 2
ami m
i 2 j var a j 2 i j p cov a j a p
m
j 0
j p
a i
i a0 a1i a2 i 2
i a0 a1i a2 i 2 a3i 3
b ai i
j 0
j p
a var i i 2 j var a j 2 i j p cov a j a p

b a i a
19
Yt 0 X t 1 X t 1 2 X t 2 3 X t 3 4 X t 4 ut
i
i a0 a1i a2i 2
0 4 0
i a0 a1i a2i 2 0 0 a0 0 4 0
a0 4a1 16a2 0 a1 4a2
Yt 1 X i ut
i 0
a0 a1i a2i 2 X t 1 ut
a2 4iX t 1 i 2 X t 1 ut
20 V k
Yt 0 X t 1 X t 1 2 X t 2
k X t k ut
F.DeLeeuw 17-3 i V k
0 k
i
k i
0i
k
2
k
ik
2
17-3
k /2
Yt i X t i ut
i 0
1 X t i
i 0
k i X
t i
ut
k
i 1
2
iX t i k i X t i ut
Z t ut
21 15 d
n 19 d 2.54 h
n
d
h 1
2 1 n var PFt 1
19
2.54
= 1
1.3773
2 1 19 0.0142
h 5%
22
Yt* 0 X t ut
Y * x t 17-3
17-3 19701991 Y X
Economic Report ofthe President1993. Y B-52 407 X B53 408
PAM
17.6.5
QQ:1487366230
Yt 0 1 X t 1 X t 1 ut
Y X
Yt 15.104 0.629 X t 0.272Yt 1

t
3.194 6.433 2.365
R 0.987 F 690.057 d 1.519

2
Y 0.728
Yt* 20.738 0.864 X t
2 0.728 y
h h h 1.364
5%
23 22
Yt * 0 X t1 eut
22
22
ln Yt ln 0 1 ln X t 1 Yt 1 ut
ln Yt 1.078 0.905ln X t 0.260 ln Yt 1

t 5.854 8.131
2.962
R 0.944 F 1425.219 d 1.479

2
0.740
ln Yt* 0.376 1.222 ln X t
h 1.34
24 22
Yt 0 X t* ut
X t* 22
h
22
25
Yt* 0 X t* ut
Y * X * 22
PAM
Yt 0 1 X t 1 1 Yt 1 1 1 Yt 2 vt
vt ut 1 ut 1
Yt 0 1 X t 2Yt 1 3Yt 2 vt
Yt 19.7704 0.715 X t 0.565Yt 1 0.409Yt 2

t
4.467 8.323 4.250 3.460
R 0.992 F 5653.234 d 1.367

2
2223
24
26 22
6
H 0
17.394
0.0001
H 0
5.687
0.0117
H 0
3.309
0.0628
H 0
2.379
0.1606
H 0
0.4463
H 0
6
1.307
H 0
22.865
0.0001
H 0
13.009
0.0004
H 0
7.346
0.0065
H 0
5.867
0.0262
H 0
3.053
0.1939
H 0
45 6
27 22
17.13.15 4 Y X
Yt 35.4923 0.8910 X t 0.3255 X t 1 0.0312 X t 2 0.1792 X t 3 0.1183 X t 4

t 4.3321 5.1042
3.6176
0.2530 2.1109 0.6562
2817.13.161
23
17.13.16
QQ:1487366230
EViews
NER
FER
BER
-23.3844
-2.3578
-36.0936
-4.6740
-5.9303
-0.8799
Xt
0.3188
3.5791
0.8712
5.5205
0.1215
19.9423
X t1
0.4414
3.9542
0.3515
10.4464
0.1945
19.9423
X t2
0.3677
5.4213
0.0045
0.0993
0.2188
19.9423
X t3
0.0976
2.1948
-0.1697
-2.2065
0.1945
19.9423
X t4
-0.3686
-1.6678
-0.1712
-2.7730
0.1215
19.9423
NERFER BIER t
t
29 17-4 Y
X 2 X 3 Aaa %
Y X 2
a Y X 2
b Y X 3
c
17-4 19601999
=
=
= Aaa %
Economic Report of the President2001Tables B-18B-57and B-73
a Y X 2
YX2
0.0695
0.9329
X2Y
2.8771
0.0705*
YX2
0.1338
0.9392
X2Y
2.4892
0.0793*
YX2
0.1407
0.9655
X2Y
1.8239
0.1533
* 10%
b 5 6
7 8
c 4
ln Yt 15.1508 0.2008ln X 2t 0.3288ln X 2t 1 0.3841ln X 2t 2

t
73.2185 3.8962
5.0794
9.6896
0.3665ln X 2t 3 0.2762ln X 2t 4
15.0782
2.1921
ln X 2 U
30 17-5 19601999 Y X 2
1992=100 X 3
17-5
19601999
1992=1001992=100%
Economic Report of the President2001Table t3-49P332
a
b a
c
a&b 4 4
3
F 3.84 p =0.0314
F 3.97 p =0.0284
4
F 2.27 p =0.0888
F 3.26 p =0.0265
QQ:1487366230
c
Yt 26.7834 0.6907 X 2t 0.6680 X 3t
t 12.8468
33.2341 2.7053
R 0.9694 d 0.2427
2
Y X 2 X 3
d
31Christopher Sims
Y X
n
i 1
i 1
i 1
Yt 1 i X t i iYt i i X t i u1t
n
i 1
i 1
i 1
X t 2 i X t i iYt i i X t i u2t
1
2
lead X t 1 X t 2
lead terms
Y X Y X i 0
1 i 0
Y X X Y
2
8.7.9 F F
5%
Y X 2
12 34
Y X 4 1
8.7.9 F
RSSR RSSUR / m
RSSUR / n k
385.734 76.666 / 4 309.068
48.3763
76.666 / 20 8
6.389
2
X Y 4 2
QQ:1487366230
8.7.9 F
RSSR RSSUR / m
RSSUR / n k
621.978 40.0313 / 4 145.487
43.612
40.0313 / 20 8
3.336
F
-
32 17-6 19601995
ln PC*t 1 2 ln PDIl 3LTIt ut PC*t t PDIt t
LTIt t ln
a 17-6
b
l7-6 19601995
1970
H.R.SeddighiK.ALawlerand A.V.KatosEcormmvtrics:A Practical ApproachRout-ledgeLondon2000
P.158
a ln PC*t 1 2 ln PDIl 3LTIt ut

EViews
QQ:1487366230
33 17-6 Gross- inv 19601995
I t I 0 V Ct Ct 1
I 0 I t V Ct Ct 1
Grossinv t 0 1PCt 2 PCt 1 t

1
4
18
18.1
Y X
1
Y1i 10 12Y2i 11 X1i u1i
2
Y2i 20 21Y1i 21 X1i u2i
Y1 Y2 X 1 u1 u 2 Y1 Y2
1 Y2 u1 2 Y1 u 2
0LS
OLS
Ct 0 1Yt ut
Yt Ct It
Yi ut 1 1
1 Yi ut
Yt
0
1 1
1
1
It
ut
1 1
1 1
E Yt
0
1
It
1 1 1 1
Y E Yt
ut
1 1
ut E ut ut
cov Yt ut E Y E Yt ut E ut
E ut2
1 1
2
1 1
cov Yt , ut Yi ut
2OLS
1
0 1Yt ut yt
2
t
yu
y
t t
2
t
yt ut
E 1 1 E
y2
t
QQ:1487366230
yu
y
t t
2
t
1 1 Yi ut
1
3
plim
1 1
yt ut
2
t
yt ut
plim 1 plim 1 plim
y2
t
plim yt ut / n
1
plim yt2 / n
1 1 Y u Y
n plim
2
1 1
1 2
plim 1 1
1
1
2
1 1 Y2
Y
18.2
1
M td a bYt crt
M td M
M td M ts
Yt 0 1 M 2 rt
3a 18.1
b 1
a
qtd 1 pt u1t u1 1 pt u1*t
qts 1 pt u2t u2 1 pt u2*t
1
a1
*
qt pt 1 pt u1t
pt u1*t
1
pt2
pt2
pt2
qtd qts
pt
u2*t u1*t
1 1
pt u1*t
pt2
u2*t u1*t u1*t
1 1
u2*t u1*t u1*t

1 1
u2*t 2 u1*t 2 2u2*t u1*t
1 1
1 1
u2*t u1*t u1*t 2

1 1
u2*t 2 u1*t 2 2u2*t u1*t
u1 u 2
plima1 1 1 1
u21*
u21* u22*
8 0 a1 1
b 1 1
4 IS LM
18.2.1318.2.18
0 1r 0 1M 2 r
rt
0 0
1
M
1 2 1 2
2 IS
Yt
0 1 2 1 0 0 11
M
1 2
0 0
5Bruno Oudet
Rbt 1 2 Rst 3 Rbt 1 4 Lt 5Yt 6 NISt 7 I t u1t
Rst 1 2 Rbt 3 Rbt 1 4 Lt 5Yt 6 NISt 7 Et u2t
L
Y
I
NIS
QQ:1487366230
E
Rbt
Rst
a
b
c Rbt
a Y L I
NIS E
Rbt 1
b&c Rbt Rst Rbt 1 Rst
6John UFarleyHarold JLevitt

A Model of the Distribution of Branded Personal Products in Jamaica
Y1i 1 1Y2i 2Y3i 3Y4i u1i

Y2i 2 4Y1i 5Y5i 1 X 1i 2 X 2i u2i
Y3i 3 6Y2i 3 X 3i u3i
Y4i 4 7Y2i 4 X 4i u4i
Y5i 5 8Y2i 9Y3i 10Y4i u5i
Y1
Y2
Y3
Y4
Ys
X1
X 2
X 3
X 4
a
b
a Y X
b OLS OLS
7Frank Bass
Y1t 1 1Y3t 2Y4t 1 X 1t 2 X 2t u1t
Y2t 2 3Y3t 4Y4t 3 X 1t 4 X 2t u2t
Y3t 3 5Y1t 6Y2t u3t
Y4t 4 7Y1t 8Y2t u4t
Y1 20
Y2 20
Y3 20
Y4 20
X1 20
X 2
a Y X X 2
b X 2
a
b X 2 X 2
8G.Menges
Yt o 1Yt 1 2 I t u1t
I t 3 4Yt 5Qt u2t
Ct 6 7Yt 8Ct 1 9 Pt u3t
Qt 10 11Qt 1 12 Rt u4t
Y
I
C
Q
P
R
t
a
b
c P
a Y C Q I P R Yt 1 Ct 1 Qt 1
b OLS
c P
9L E GallawayP.E Smith
Yt Ct I t Gt
Ct 1 2YDt 1 3 M t u1t
I t 4 5 Yt 1 Yt 2 6 Z t 1 u2t
Gt 7 8Gt 1 u3t
Y
C
I
G
YD
M
Z
t
u1 u 2 u3
19481957
Ct 0.09 0.43YDt 1 0.23M t
I 0.08 0.43 Y Y 0.48Z
t
t 1
t 2
G t 0.13 0.67Gt 1
a
b R 2
R 2 0.23
t
R 2 0.40
R 2 0.42
QQ:1487366230
a
b R 2
10 18-1 19702006 Y
C I
1996 18.2 C Y
OLS 20
18-1 19702006 GDP

1996
C I Y
Economic Report of the President,2008,Table 13-2
PCEt 359.4989 0.7304GDPt

t
8.2423 122.2999
r 0.9977 d 0.305
2
11 10 I GDP
I t 351.8932 0.1951GDP
t
7.27
29.42
r 0.9611 d 0.4123
2
12 C I Y GDP Ct 0 1Yt ut
accelerator model
I t 0 1 Yt Yt 1 vt u v 10
I t 605.1943 1.9788 Yt Yt 1
t 4.95
3.95
r 0.3140 d 0.3942
2
13 18-3 1978 1 2002

8 pricegas
quantgas
persincome
a
ba
c OLS
d 0LS 20
a
QuantGastd 0 1PriceGast 2 PersInct 3CarSalest ut
QuantGasts 0 1PriceGast vt
b
c OLS
dOLS
QuantGas d 5856.121 5.435PriceGast 0.331PersInct 60.301CarSalest

t 20.38
4.39
29.13
2.98
R 0.7662 d 0.8099
2
QuantGast 6531.825 7.825PriceGast

t 27.04
3.78
R 0.0462 d 0.1914
2
14 18-4 1951 2000

Year Qr Realgdp GDP
Realcons Realinvs
Realgovt Realdpi CPI M1
Tbilrate 90 Pop
Inft Realint Tbilrate Inft
20
Realgdp Realcons Realinvs Realgovt

Realconst 1 2 Realdpit 1 3M1t 4CPIt u1t
Realinvst 5 6 Realgdpt 1 Realgdpt 2 7 Realint u2t
Realgovt t 8 9 Realgovt t 1 u3t
QQ:1487366230
19
19.1
()(
)
2
1
Ct 0 1Yt ut 0 1 1
Yt Ct It
C () Y () I ()
Yt 0 1It wt
1 1
1
1 1
wt
ut
1 1
Y I t 0 1
Ct 2 3 It wt
2
3
wt
1 1
1 1
ut
1 1
1 3
2
0LS i
( i )(ILS)
ILS

0 1 Pt u1t 0 1 Pt u2t
Pt 0 t
t =
0 0
1 1
u2t u1t
1 1
Pt
Qt 1 wt
1 0 0 1
1 1
u 1u1t
wt 1 2t
1 1
4 0 1 0 1 4
4 k k
() P Q
2
P Q
1
Qt 0 1 Pt 2 I t u1t
Qt 0 1 Pt u2t
1 0 2 0
1 0
I
=
0 1 Pt 2 It u1t 0 1 Pt u2t
Pt
Pt 0 1 It t
0 0
1 1
2
1
1 1
u2t u1t
1 1
Pt
Qt 2 3 It wt
1 0 0 1
1 1

3 2 1
1 1
wt
1u2t 1u1t
1 1
QQ:1487366230
OLS 5 a0a1a20 1 4
(
)
0 2 1 0
1
3
1
1
1
2
Qt 0 1Pt 2 It u1t 1 0 2 0
Qt 0 1Pt 2 Pt 1 u2t 1 0 2 0
0 1 Pt 2 It u1t 0 1 Pt 2 Pt 1 u2t
Pt 0 1 It 2 Pt 1 t
0 0
1 1
2
1
1 1
2
2
1 1
u2t u1t
1 1
Qt 3 4 It 5 Pt 1 wt
1 0 0 1
1 1

4 2 1
1 1
5 1 2
1 1
wt
1u2t 1u1t
1 1
6 0 1 2 0 1 2 6 0 1 2 3
4 5
Qt 0 1Pt 2 It 3 Rt u1t
Qt 0 1Pt 2 Pt 1 u2t
=
Pt 0 1 I t 2 Rt 3 Pt 1 t
Qt 4 5 I t 6 Rt 7 Pt 1 wt
0 0
1 1
3
2
1 1
0 1
4 1 0
1 1
6 3 1
1 1
u 1u1t
wt 1 2t
1 1
1 1
2
3
1 1
5 2 1
1 1
7 1 2
1 1
t
u2t u1t
1 1
7 8
6
1 5
2
1
M
m
K ()
k
1
1 1 M M 1
() M 1 M 1
2 2 M
1 K k m 1 K k m 1
K k m 1
()
2
M M ()
() M 1 M 1
Y X
Y1t 10
12Y2t 13Y3t 11 X1t
Y2t 20
23Y3t 21 X1t 22 X 2t
Y3t 30 31Y1t
31 X1t 32 X 2t
Y4t 40 41Y1t 42Y2t
43 X 3t
u1t
u2t
u3t
u4t
19.3.1
19.3.2
19.3.3
19.3.4
19-1
QQ:1487366230
19-1
Y1
Y2
Y3
Y4
X1
X2
X3
19.3.1
10
12
13
11
19.3.2
20
23
21
22
19.3.3
30
31
31
32
19.3.4
40
41
42
43
A
0 22
A 0 32
1
0
0
0
43
0
0 22
det A 0 32
1
0
0
0
43
0 A 3(19.3.1)
19-2
K k
m1
19.3.1
19.3.2
19.3.3
19.3.4
M
1 K k m 1 A M 1
2 K k m 1 A M 1
3 K k m 1 A M 1
4 K k m 1 A M 1
1
OLS (2SLS)
(IV)
()
2
Q d 0 1 Pt 2 I t 3 Rt u1t
t
Q s 0 1 Pt u2t
t
I R P Q
1
Pt 0 1 I t 2 Rt t
Qt 3 4 I t 5 Rt wt
w 0LS

I
R
Pt
0
1 t
2 t
Pt Pt t
Pt Pt t
Qt 0 1 Pt 1t u2t
Pt t u2t
t
2
1 Pt I t Rt t
2 Qt Pt t t t
Y1 Y2 Y3 X 1 X 2 X 3
Y1i 0 2Y2i 3Y3i 1 X1i u1i
Y2 Y3 OLS Y2 Y3 Y2i
Y3i Y2 i Y3 i
OLS
Y1i 0 2Y2i 3Y3i 1 X1i 2Y2i 3Y3i u1i
F 2 3 0 Y2 Y3
19.2
1
M m K k R
19.1
R M m K k M 1
M m
K k m 1
19.2
219.2.2519.2.27
QQ:1487366230
0 3 1 0
4
1
2 5
0 3 1 0
1
2 4
1
5
2
2 4
1 5
2
3
a 18 18.2
b 18 18.3
c 18 18.6
a
1
Yt 0 1It wt
2
Ct 2 3 It wt
M 2 CY K 1 I
2
b
Wt 0 1UNt 2 M t wt
Wt 4 5UNt 6 Rt 7 M t
1
2
M 2 Wp K 3 UNRM 12
c
4 3
3
519.2.22
I R
19.2.22
2 0 3 0
6
Y1t 10 12Y2t 11 X 1t u1t
Y2t 20 21Y1t 22 X 2t u2t
Y1t 10 11 X1t 12 X 2t wt
Y2t 20 21 X1t 22 X 2t t
a
b 11 0
a M 2 Y1Y2 K 2 X 1X 2 Y1 Y2
b 11 0 Y2 Y1 Y2
7 6
Y1t 4 3 X 1t 8 X 2t
Y2t 2 6 X 1t 10 X 2t
a
b 11 0
a19.2.1219.2.22
10 20 22 10 3 12 22 1.25
12
12
20 20 21 10 6 21 21 2
11
11
11 21
11 21
12 21
2.25 12 22 6
11
11
b 11 a 11
8
Y1t 10 12Y2t 11 X1t u1t
Y2t 20 21Y1t u2t
Y1t 4 8 X 1t
Y2t 2 12 X 1t
a
b1 12 0 2 10 0 a
a Y1 Y2 19.2.1219.2.13
21 3 1.5 20 2 210 4
1
b 12 0 10 0
Y1t 11 X1t u1t
Y2t 20 21Y1t u2t
Y1 Y2
9 18 8
M 4 K 5
10 18 7
M 4 K 2 Y1 Y2 Y3 Y4
11 19-1 5 Y 4 X 5
19-1
QQ:1487366230
M 5 K 4 Y1 Y2 Y5 Y3 Y4
Y3 Y4 X 2 X 3
44
0
23
22
35
52
23
33
43
53
12
Ct 1 2Yt 3Tt u1t
It 0 1Yt 1 u2t
Tt 0 1Yt u3t
Yt Ct It Gt
C
Y
I
T
u C I T Y G Yt 1
r
M 4 K 2 C I T
r M 4 K 3 C T I
13 18 18-1 19.1.219.1.4 0
1
19.1.2
Yt 0 1 It ut
OLS
Yt 10.0000 5.0000 I t
t 8.458
12.503
R 0.897
2
19.1.4
Ct 2 3 It wt
OLS
Ct 10.0000 4.0000 I t
t 8.458
10.002
R 2 0.848
M 2 K 1
0 0 2 1 3 0.8
1
2
14
K m k 1
119.3.1 19.2
K k m 1
k
K m k 1
15Suits
t N t 3 Ft u1t
Pi 1 1 Qt / Nt 2 Y
Q1 0 1 Pt Wt 2 Pt 1 3Ct 1 4Tt 1 u2t

P =
Q / N =
YN =
Ft =
P / W =
C =
T =
N =
P Q
a
b
a
Y
Pt 1 2 t
Nt
3 Ft 4Wt 5Ct 1 6Tt 1 7 Pt 1 vt
Y
Qt 8 9 t
Nt
10 Ft 11Wt 1 12 Ct 1 13Tt 1 14 Pt 1 wt
b M 2 K 7
16
d
M t 0 1Yt 2 Rt 3 Pt u1t
M t 0 1Yt u2t
M Y R P u R P M Y
19-2 19702006 M M 2
Y GDP
R 3 P
a
b
c M Y
d
e Y
QQ:1487366230
19-2
19702006 GDP
M2 GDP=TBRATE=3 %
CPI=1982-1984=100
Economic Report of the President2007Tables B-213-60B-6913-73
ab M 2 K 2
c
Yt 0 1 Rt 2 Pt vt
M t 3 4 Rt 5 Pt wt
d
Yt vt
M t Yt vt
vt Stata

e
M t 1 2Yt 3Yt ut
Yt c Y 3 0 Yt
Yt Y
1719.4.7
Qt 0 1 Pt 1vt u2t
a Pt vt
b Pt u2t
Pt vt u2t
[19.4.6 Pt 19.4.7
]
a 8.6 F
Qt 0 1 Pt u2t RSS Qt 0 1 Pt 1vt u2t RSSR
F
RSSR RSS / 1 F
F
RSS / n 2
QQ:1487366230
b vt u2t vt Qt 19.4.7
F a
20
20.1
2
FIML
1
2 FIML
3
OLS
Y1t 10
11 X 1t 12 X 2t u1t
Y2t 20 21Y1t
21 X 1t 22 X 2t u2t
Y3t 30 31Y1t 32Y2t 31 X 1t 32 X 2t u3t
cov u1t u2t cov u1t u3t cov u2t u3t 0
0LS
OLS
1
0LS
ILS
2ILS
1
2 0LS
3 2
ILS
3ILS
ILS
QQ:1487366230
Y1t 10 11Y2t 11 X1t 12 X 2t u1t
Y2t 20 21Y1t u2t
21 ILS ILS
0LS
22SLS
1 1 Y1 u 2
Y1

X
X u
Y1t
0
1
1t
2
2t
t
ut 0LS

X
X
Y1t
0
1
1t
2
2t
Y1t Y1t ut
0LS Y1t ut
2 2
Y2t 20 21 Y1t ut u2t 20 21Y1t u2t 21ut 20 21Y1t ut
ut u2t 21ut
Y1 u 2 Y1t u t
0LS
32SLS
Y1 u 2 Y1
1
Y1t Y1t Y1t OLS 2
42SLS
1
2SLS
2 ILS 2SLS
3
4 ILS 2SLS
5 R 2 0.8 OLS 2SLS

6 ILS 2SLS
7 2SLS
2SLS
2SLS
2SLS
2SLS
20.2
1
aOLS
b 2SLS
c
d
e 2SLS
f R 2
g 2SLS
h ILS 2SLS
aOLS
b
c cov u1t u2t cov u1t u3t cov u2t u3t 0
0LS
e ILS 20A.1 725 2SLS

f R 2
g2SLS
h 2SLS ILS
ILS
2SLS
2
2SLS ILS
2SLS ILS
3
Ct 10 11Yt u1t
I t 20 21Yt 22Yt 1 u2t
Yt Ct I t Gt
C
I
Y
G
Gt Yt 1
QQ:1487366230
b
a
Yt 0 1Yt 1 2 Gt v1t
Ct 3 4Yt 1 5Gt v2t
I t 6 7Yt 1 8Gt v3
M 3 K 2 C I
b 2SLS ILS
4
OLS : Wt 0.276 0.258 Pt 0.046 Pt 1 4.959Vt
OLS : Pt 2.693 0.232Wt 0.544 X t 0.247 M t 0.064 M t 1
2SLS : W 0.272 0.257 P 0.046 P 4.966V
tt
t 1
2SLS : Pt 2.686 0.233Wt 0.544 X t 0.246M t 0.046 M t 1
R 2 0.924
R 2 0.982
R 2 0.920
R 2 0.981
Wt Pt M t X t
Vt
OLS 2SLS 2SLS

2SLS R 2
R 2 2SLS
Y Y
Y Y
2SLS
5-
Qi AKi Li
Q
K
L
A
i i P W R
1
ln Qi ln A ln Ki ln Li ln u1i
ln Qi ln ln Li ln W / P ln u2i
ln Qi ln ln Ki ln R / P ln u3i
u1 u 2 u3
Q L K P R W
a 1
b 1
c
23 Q W / P R / P
1
1
ln A
- ln Q
W
0 ln L ln ln
P
-1 ln K
R
ln ln
P
-
-1
0
Ay X
1 A A 0 A
b 1 WP RP ln A
231
c23
1
6
M td 0 1Y1 2 Rt 3 Pt u1t
M ts 0 1Yt u2t
M
Y
R
P R P
a
b
c
d Yt 1 M t 1 c
a
b
c 2SLS
d 2SLS
7 18 10
OLS
1
Yt 0 1It vt
2
Ct 2 3 It wt
OLS
Yt 1831.8580 4.6722 I t
t
7.6427 17.5784
1a
R 0.9169 d 0.3287
2
Ct 1130.843 3.2059 I t
t 6.5225
16.6792
2a
R 0.9085 d 0.3751
2
ILS
QQ:1487366230
3 3.2059
0.6862
1 4.6722
0 0 1 1 574.8370
C Y OLS
C t 142.1826 0.6889Yt
t
5.3883 156.2434
R 0.9988 d 1.2019
2
MPC ILS 0.6862 OLS 0.6889
M 11 MPC 3.1565 M 3.2144 OLS
8
Rt 0 1 M t 2Yt u1t
Yt 0 1 Rt u2t
M t Rt Yt GDP
a
b
c 20-2
a IS LM
b
c M 20-2 ILS
Yt 2834.488 1.2392 M t
t 32.0163
37.3812
R 0.9803 d 0.3074
2
9 8
Rt 0 1 M t 2Yt 3Yt 1 u1t
Yt 0 1 Rt u2t
a
b 20-2
a
b 2SLS M Yt1 EViews4
Yt 16977.06 1627.870 Rt
t
3.0842 2.0350
R
10
Rt 0 1 M t 2Yt u1t
Yt 0 1 Rt 2 I t u2t
8 I M 20-2
ILS 2SLS 2SLS
OLS I M
Rt 8.7056 0.00049M t 0.00084 I t 1
t 6.0589
0.5192 0.2281
R 0.1172
2
Yt 2421.074 0.8944M t 1.4585I t 1

t 32.7247
18.3144 7.6607
R 0.9938
2
11 10
Rt 0 1 M t 2Yt u1t
Yt 0 1 Rt 2 I t u2t
I t 0 1 Rt u3t
M
a
b 20-2
a R Y
b M I M
It 283.4482 0.2364M t
t 5.6424
12.5681
R 0.8494
2
R Y
1220.5.3
20A.2 20.5.3 EViews4
1320.3.120.3.2
Qt 0 1 Pt 1 u2t
Pt 1
a X Pt 1
b 20-1
c
a
b OLS
0 1 Pt 2 X t u2t 0 1 Pt 1 u2t
Pt 0 1 X t 2 Pt 1 t
Qt 3 4 X t 5 Pt 1 wt
u u
0 0
1 2 2 1 t 2t 1t
1
1
1
1
0
2
2 1
3 0 1 0
5 1
4
1
1
1
QQ:1487366230
Q td 69.512 0.201Pt 0.001X t

t 7.393
1.782 1.586
R 0.501
2
Q ts 66.287 0.330 Pt 1
t 8.288
4.579
R 0.525
2
c 1 4 / 1 1 5 / 2
14 19601999
Ct 0 1Yt 2Ct i u1t
1 0 0 2 1
I t 0 1Yt 2 Rt 3 I t 1 u2t
1 0 2 0 0 3 1
Rt 0 1Yt 2 M t 1 3 Pt 4 Rt 1 u3t
1 0 2 0 3 0 0 4 1
Yt Ct I t Gt
C I G Y GDP M
M2 R %
P C I R Y Ct 1 I t 1
M t 1 Pt Rt 1 Gt u
a
b
c
a 4 6 2 1
6 1 2 1
3 1 6 1 3 1
2 3 6 3 2 1
3 1 6 1 3 1
b 2SLS
c
15 1985 CPS 534 20-10
W = occup sector 1 =2 =O union 1

=0 educ exper age sex 1
=1 race 2 =3 =1 region 1
ln W 1 2 ln Educ 3Exper 4 Exper 2 ui
a1

b a
ab
lnW Exper Exper 2
Stata
ln W 1.7292 0.0393Exper 0.0008Exper 2

t 30.04
6.32
5.82
R 2 0.0709
lnW
educ 12.3918 0.3044ln W 2.0058v

t 8.07
0.41
9.77
r 0.1525
2
v t
16
d
Qt 1 2 Rt 3RDt 4 IPIt u1t
Qt 1 2 Rt 3RSt 4TBDt u2t
Q
R RS 3 RD AAA
IPI TBD
a www.economagic.com 19802007
b
c
d R RS IPI
a
b 1 Q 5 R RD IPI RS TBD
1 3 5 3 0
d 3 IPI
IPI
QQ:1487366230
21
21.1
Y
Y t Yt
1
1
2
E Yt
Var Yt 2
k E Yi Yt k
k k [] Yt Yt 1 k Y
k 0 0 Y 2
k 1 1 Y
3
0 2
2
RWM
1
ut 0 2
Yt Yt 1 ut
Yt Y t t 1
AR1
Y1 Y0 u1
Y2 Y1 u2 Y0 u1 u2
Y3 Y2 u3 Y0 u1 u2 u3
0 Y0
Yt Y0 ut
E Yt E Y0 ut Y0
Var Yt t 2
Y t
Y0 0 E Yt 0
Yt Y0
Yt Yt 1 Yt ut
Yt
2
Yt Yt 1 ut
Yt Yt 1 Yt ut
Yt AR1
E Yt Yt 1 t
Var Yt t 2
Yt Yt 1 ut 1 1
1 1
1 Yt
Yt 1 2t 3Yt 1 ut
ut t
1
1 0, 2 0 3 1
Yt Yt 1 ut
Yt Yt Yt 1 ut
QQ:1487366230
2
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15.1 ................................................................................................................................................ 261

1-1 19802005 7 CPI19821984=100

Economic Report of the President2007Table l08P.354

Economic Report of the President2007Table 13-110P.356

Board of GovernorsFederal Reserve BankUSA

1conditional expected values

1conditional expectation functionCEF

2-2 1985 126

World BankWorld Development Report 1995P.59

13 I-3 PRF SRF GDP

75.4% 57.3% 1.17%

17 2-4 SAT 2.2

College Board2007College-Bound SeniorsTable 11

TSS ESS RSS

2 3-1 1 1 1.572 2 1.357 0LS

53.5.5 r 2 0 1 -Cauchy- Schwarz

RSS TSS ESS yi2 yi2 yi2 22 xi2

purchasing power parityPPP

Economic Report of the President,2007,Table 49

Compensation 102.366 1.992 Output

Compensation 111.6407 2.075 7Output

1110 X i 1700 X iYi 205500 X i2 322000 Yi 2 132100

22 3-6 19742006 CPI

NYSEt 3444.992 50.297CPIt

23 3-7 19592005 GDP

Economic Report of the President,2007,Tables B-1 and B-2

NGDPt 496268 252.58Year

RGDPt 351335 180.263Year

cov (uiu j ) E ui E ui u j E u j E uiu j 0 i j

3 2 ML ui2 / n 2 OLS ui2 / n 2

Y1 Y2 bivariate normal probability density

f Y1 f Y2 PDF 0 f Y1Y2 f Y1Y2

yi2 yi2 ui2 22 xi2 ui2 TSS ESS RSS TSS

23.7.2 5-4 ANOVA

F 139023/ 4470 31.1013 1 53

b 0.00032 H01 0 t 0.0022 / 0.00032 6.8750 5%

Pr 34.2773 2.042 3.7388 Y0 34.2773 2.042 3.7388

FoglerGanapathy 19561976 240 IBM

rit 0.7264 1.0598rmt

r 0.4710df 238F1 238 211.896

r 0.397RSS 0.0544ESS 0.0358

c 1968 LFPR 0.58 58%

Payi 1 2Spendi ui Pay Spend

National Education Associationas reported by Albuquerque TribuneNov

r 2 0.6968 RSS 2.65 ESS 0.803

d 2 95% 3.3076 0.3117 2 2.684 3.991 3

28667 2 2382.337 23902

NYSEIndex t 3444.9920 50.2982CPIt

14 5-7 19701983 GNP 4 GNP

5-8 GNP 19701983

The hamburger standard

t 2 1 t 1.8147 1 / 0.0274 29.7336 t

19 5-12 19802006 CPIWPI

19802006 CPI PPI

Economic Report of the President2007Tables B-62 and B-65

http//lib.stat.cmu.edu/ DASL/ data files /Smoking and Cancer.html.

SPI 19601985 Gini 1975 19701980

b 0.3 3.32 0.3 9.96 SPI 9.96

SAVRATE= GDP INVRATE= GDP

ln INVRATE i 0.02159 0.8288ln SAVRATE i

ln EXPNONDUR t 7.6257 0.0098t

19 6-5 29 CONEXP ADEXP

x2i x3i x2i x3i