第4章习题一表1给出了1965~1970年美国制造业利润和销售额的季度数据。

假定利润不仅与销售额有关，而且和季度因素有关。

要求对下列二种情况分别估计利润模型：（1）如果认为季度影响使利润平均值发生变异，应如何引入虚拟变量（2）如果认为季度影响使利润对销售额的变化率发生变异，如何引入虚拟变量表1Quarterly 65-70Quick- Equation EstimationY c x @seas(1) @seas(2) @seas(3)Dependent Variable: YMethod: Least SquaresDate: 11/26/14 Time: 18:38Sample: 1965Q1 1970Q4Included observations: 24Variable Coefficient Std. Error t-Statistic Prob.??CX@SEAS(1) @SEAS(2) @SEAS(3)R-squared????Mean dependent var Adjusted R-squared????. dependent var. of regression????Akaike info criterion Sum squared resid????Schwarz criterion Log likelihood????F-statisticDurbin-Watson stat????Prob(F-statistic)T和P在5%情况下都不通过，第二季度相对还好一点假设第二季度显着，结果的经济含义是什么Y c x @seas(2) @seas(3) @seas(4)Dependent Variable: YMethod: Least SquaresDate: 11/26/14 Time: 18:47Sample: 1965Q1 1970Q4Included observations: 24Variable Coefficient Std. Error t-Statistic Prob.??CX@SEAS(2)@SEAS(3)@SEAS(4)R-squared????Mean dependent var Adjusted R-squared????. dependent var. of regression????Akaike info criterion Sum squared resid????Schwarz criterion Log likelihood????F-statisticDurbin-Watson stat????Prob(F-statistic)第二季度依旧显着影响四种都试一下（去掉一个季节），选一个最显着的124Dependent Variable: YMethod: Least SquaresDate: 11/26/14 Time: 18:51Sample: 1965Q1 1970Q4Included observations: 24Variable Coefficient Std. Error t-Statistic Prob.??CX@SEAS(1)@SEAS(2)@SEAS(4)R-squared????Mean dependent var Adjusted R-squared????. dependent var. of regression????Akaike info criterion Sum squared resid????Schwarz criterion Log likelihood????F-statisticDurbin-Watson stat????Prob(F-statistic)134Dependent Variable: YMethod: Least SquaresDate: 11/26/14 Time: 18:52Sample: 1965Q1 1970Q4Included observations: 24Variable Coefficient Std. Error t-Statistic Prob.??CX@SEAS(1)@SEAS(3)@SEAS(4)R-squared????Mean dependent var Adjusted R-squared????. dependent var. of regression????Akaike info criterion Sum squared resid????Schwarz criterion Log likelihood????F-statisticDurbin-Watson stat????Prob(F-statistic)（2）Y=c+βx+α1D1X+α2D2X+α3D3XD1=1（第一季度）0（其他）Y c x @seas(1)*x @seas(2)*x @seas(3)*xDependent Variable: Y Method: Least SquaresDate: 11/26/14 Time: 19:00 Sample: 1965Q1 1970Q4 Included observations: 24Variable Coefficient Std. Error t-Statistic Prob.??CX@SEAS(1)*X@SEAS(2)*X@SEAS(3)*XR-squared????Mean dependent var Adjusted R-squared????. dependent var. of regression????Akaike info criterion Sum squared resid????Schwarz criterion Log likelihood????F-statisticDurbin-Watson stat????Prob(F-statistic)Dependent Variable: YMethod: Least SquaresDate: 11/26/14 Time: 19:10Sample: 1965Q1 1970Q4Included observations: 24Variable Coefficient Std. Error t-Statistic Prob.??CX@SEAS(1)@SEAS(3)@SEAS(4)R-squared????Mean dependent var Adjusted R-squared????. dependent var. of regression????Akaike info criterion Sum squared resid????Schwarz criterion Log likelihood????F-statisticDurbin-Watson stat????Prob(F-statistic)Dependent Variable: Y Method: Least SquaresDate: 11/26/14 Time: 19:11 Sample: 1965Q1 1970Q4 Included observations: 24Variable Coefficient Std. Error t-Statistic Prob.??CX@SEAS(1)*X@SEAS(2)*X@SEAS(4)*XR-squared????Mean dependent var Adjusted R-squared????. dependent var. of regression????Akaike info criterion Sum squared resid????Schwarz criterion Log likelihood????F-statisticDurbin-Watson stat????Prob(F-statistic)Dependent Variable: YMethod: Least SquaresDate: 11/26/14 Time: 19:11Sample: 1965Q1 1970Q4Included observations: 24Variable Coefficient Std. Error t-Statistic Prob.??CX@SEAS(2)*X@SEAS(3)*X@SEAS(4)*XR-squared????Mean dependent var Adjusted R-squared????. dependent var. of regression????Akaike info criterion Sum squared resid????Schwarz criterion Log likelihood????F-statisticDurbin-Watson stat????Prob(F-statistic)习题二表2给出了某地区某行业的库存Y 和销售X 的统计资料。

假设库存额依赖于本年销售额与前三年的销售额，试用Almon 变换估计以下有限分布滞后模型：t t t t t t X X X X Y μββββα+++++=---3322110表2Y=α+α0ΣXt-i+α1ΣXt-i+α2ΣXt-i+μt↑3，i=0笔记11,26）在最上面输入genr z0=x+x(-1)+x(-1)+x(-3) genr z1=x(-1)+2*x(-2)+3*x(-3) genr z2=x(-1)+4*x(-2)+9*x(-3)y c z0 z1 z2Dependent Variable: Y Method: Least Squares Date: 11/26/14 Time: 19:38 Sample (adjusted): 1983 1999Included observations: 17 after adjustmentsVariableCoefficient Std. Error t-StatisticProb.??CZ0Z1Z2R-squared????Mean dependent var Adjusted R-squared????. dependent var. of regression????Akaike info criterion Sum squared resid2692398.????Schwarz criterion Log likelihood????F-statisticDurbin-Watson stat????Prob(F-statistic)Y c PDL(x,3,2)重新回归Dependent Variable: YMethod: Least SquaresDate: 11/26/14 Time: 19:46Sample (adjusted): 1983 1999Included observations: 17 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.??CPDL01PDL02PDL03R-squared Mean dependent var Adjusted R-squared. dependent var. of regression Akaike info criterion Sum squared resid2511848.Schwarz criterionLog likelihood F-statisticDurbin-Watson stat Prob(F-statistic)??????LagDistribution of X i Coefficient Std. Errort-Statistic??????. * |0??? ??????. *|1??? ??????. * |2??? ?* . |3?Sum of ???Lags习题三表3给出了印度1949~1965年实际货币存量、实际总国民收入和长期利率数据。