第7章练习5解：根据Eview 软件得如下表：Dependent Variable: YMethod: ML - Binary Logit (Quadratic hill climbing) Date: 05/22/11 Time: 22:19Sample: 1 16Included observations: 16Convergence achieved after 5 iterationsCovariance matrix computed using second derivativesVariable Coefficient Std. Error z-Statistic Prob. C -11.10741 6.124290 -1.813665 0.0697 Q 0.003968 0.008008 0.495515 0.6202 V0.0176960.0087522.0219140.0432 McFadden R-squared 0.468521 Mean dependent var 0.562500 S.D. dependent var 0.512348 S.E. of regression 0.382391 Akaike info criterion 1.103460 Sum squared resid 1.900896 Schwarz criterion 1.248321 Log likelihood -5.827681 Hannan-Quinn criter. 1.110878 Restr. log likelihood -10.96503 LR statistic 10.27469 Avg. log likelihood -0.364230Prob(LR statistic) 0.005873Obs with Dep=0 7 Total obs 16Obs with Dep=19于是，我们可得到Logit 模型为：V Q i0177.0004.0107.11Y ˆ++-= （-1.81） （0.49） （2.02）685.40R 2MCF = ， LR(2)=10.27如果在Binary estination 这一栏中选择Probit 估计方法，可得到如下表：Dependent Variable: YMethod: ML - Binary Probit (Quadratic hill climbing) Date: 05/22/11 Time: 22:25 Sample: 1 16Included observations: 16Convergence achieved after 5 iterationsCovariance matrix computed using second derivativesVariable Coefficient Std. Error z-Statistic Prob. C -6.634542 3.396882 -1.953127 0.0508 Q 0.002403 0.004585 0.524121 0.6002 V0.0105320.004693 2.2442990.0248 McFadden R-squared 0.476272 Mean dependent var 0.562500 S.D. dependent var 0.512348 S.E. of regression 0.381655 Akaike info criterion 1.092836 Sum squared resid 1.893588 Schwarz criterion 1.237696 Log likelihood -5.742687 Hannan-Quinn criter. 1.100254 Restr. log likelihood -10.96503 LR statistic 10.44468 Avg. log likelihood -0.358918Prob(LR statistic) 0.005395Obs with Dep=0 7 Total obs 16Obs with Dep=19于是，我们可得到Probit 模型为：V Q i0105.00024.035.66Y ˆ++-= （-1.95） （0.52） （2.24）763.40R 2MCF = ， LR(2)=10.44第7章练习6下表列出了美国、加拿大、英国在1980~1999年的失业率Y 以及对制造业的补偿X 的相关数据资料。

解：（1）根据Eview 软件操作得如下表： 美国（US ）： Dependent Variable: Y Method: Least Squares Date: 05/22/11 Time: 22:38 Sample: 1980 1999 Included observations: 20Variable Coefficient Std. Error t-Statistic Prob. C 10.56858 1.138982 9.278972 0.0000 X-0.0454030.012538-3.6211890.0020R-squared 0.421464 Mean dependent var 6.545000 Adjusted R-squared 0.389323 S.D. dependent var 1.432875 S.E. of regression 1.119732 Akaike info criterion 3.158696 Sum squared resid 22.56840 Schwarz criterion 3.258269 Log likelihood -29.58696 Hannan-Quinn criter. 3.178133 F-statistic 13.11301 Durbin-Watson stat 0.797022Prob(F-statistic)0.001953根据上表可得对美国的OLS 估计结果为：tt X 0454.05686.10Y ˆ-= （9.28） （-3.62） 4215.02=R ， 3893.02=R ， D.W.=0.797， RSS=22.57加拿大(CA)：Dependent Variable: Y Method: Least Squares Date: 05/22/11 Time: 22:43 Sample: 1980 1999 Included observations: 20Variable Coefficient Std. Error t-Statistic Prob.C 9.342452 1.810701 5.159579 0.0001 X-0.0065800.022333-0.2946480.7716R-squared 0.004800 Mean dependent var 8.820000 Adjusted R-squared -0.050489 S.D. dependent var 1.600855 S.E. of regression 1.640770 Akaike info criterion 3.922848 Sum squared resid 48.45828 Schwarz criterion 4.022421 Log likelihood -37.22848 Hannan-Quinn criter. 3.942286 F-statistic 0.086817 Durbin-Watson stat 0.578517 Prob(F-statistic)0.771634同样，根据上表可得对加拿大（CA ）的OLS 估计结果为：tt X 0066.0425.39Y ˆ-= （5.16） （-0.29）0048.02=R ， 05.02-=R ， D.W.=0.579， RSS=48.46英国（UK ）： Dependent Variable: Y Method: Least Squares Date: 05/22/11 Time: 22:48 Sample: 1980 1999 Included observations: 20Variable Coefficient Std. Error t-Statistic Prob. C 12.55426 0.990234 12.67808 0.0000 X-0.0465910.012777-3.6463530.0018R-squared 0.424845 Mean dependent var 9.155000 Adjusted R-squared 0.392891 S.D. dependent var 1.916542 S.E. of regression 1.493315 Akaike info criterion 3.734513 Sum squared resid 40.13981 Schwarz criterion 3.834087 Log likelihood -35.34513 Hannan-Quinn criter. 3.753951 F-statistic 13.29589 Durbin-Watson stat 0.698064Prob(F-statistic)0.001847同样，根据上表可得对英国（UK ）的OLS 估计结果为：tt X 0466.0543.512Y ˆ-= （12.68） （-3.65）3036.02=R ， 29.932=R ， D.W.=0.6981， RSS=40.14(2)将三个国家的数据合并成一个样本（共60个样本点），根据Eview 软件得：OLS 估计结果如下：Dependent Variable: Y Method: Least Squares Date: 05/22/11 Time: 22:58 Sample: 1980 2039 Included observations: 60Variable Coefficient Std. Error t-Statistic Prob. C 12.14946 0.820266 14.81161 0.0000 X-0.0495000.009844-5.0287290.0000R-squared 0.303622 Mean dependent var 8.173333 Adjusted R-squared 0.291616 S.D. dependent var 2.009120 S.E. of regression 1.690988 Akaike info criterion 3.921268 Sum squared resid 165.8475 Schwarz criterion 3.991079 Log likelihood -115.6380 Hannan-Quinn criter. 3.948575 F-statistic 25.28811 Durbin-Watson stat 0.492398 Prob(F-statistic)0.000005根据上表得估计方程为：tt X 0495.049.112Y ˆ-= （14.81） （-5.03）3036.02=R ， 2916.02=R ， D.W.=0.49， RSS=165.85（3）在Eviews 软件下，估计变截距固定影响模型得到如下结果：固定影响模型可按最小二乘虚拟变量（LSDV ）模型估计，记D 2为加拿大（CA ）的虚拟变量；即观测值属于CA 时取值为1，其他取值为0；记D 3为英国的虚拟变量，取值规律同D 2，所以，LSDV 模型的OLS 估计结果如下： X D D it 0383.0011.29221.19348.9Y 32-++=（11.73） （4.12） （4.20） （-4.33）5048.02=R ， 4783.02=R ， D.W.=0.664， RSS=117.94美国（US ）没有设定虚拟变量，成为比较的基准。