(完整版)EViews面板数据模型估计教程.docx

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1、EViews6.0beta在面板数据模型估计中的应用来自免费的minixi1、进入工作目录cdd:nklx3,在指定的路径下工作是一个良好的习惯Panel SPeCifiCatjOn Frequency Annual 2、建立面板数据工作文件workfile(1)最好不要选择EViews默认的blanacedpanel类型WorkfileCreateWorkfiiestructuretypebalancedPanelIrregularDatedandPanelWorkfitesmaybemadefromUnstructiredworkfilesbylaterspecifyingdateand/

2、orotheridentifierseries.IOKCancelMoren_panel(2)按照要求建立简单的满足时期周期和长度要求的时期型工作文件3、建立POOl对象（1）新建对象2）选择新建对象类型并命名（3）为新建POOI对象设置截面单元的表示名称，在此提示下(CrossSectionIdentifiers:(Enteridentifiersbelowthisline)输入截面单元名称。，建议采用汉语拼音，例如29个省市区的汉语拼音，建议在拼音名前加一个下划线“，如图关闭建立的pool对象，它就出现在当前工作文件中。4、在PoOl对象中建立面板数据序列双击PooI对象，打开POOI对象

3、窗口，在菜单VieW的下拉项中选择SPreedSheet（展开表）在打开的序列列表窗口中输入你要建立的序列名称，如果是面板数据序列必须在序列名后添加“？”例如，输入GDP?,在GDP后的?的作用是各个截面单元的占位符，生成了29个省市区的GDP的序列名，即GDP后接截面单元名，再在接时期，就表示出面板数据的3维数据结构（1变量2截面单元3时期）了。请看工作文件窗口中的序列名。展开表（类似excel）中等待你输入、贴入数据。5、贴入数据（1）打开编辑（edit）窗2）贴入数据EViewsEiIeEditObjectWeWErOCQuickOtiosWndOWtelpcdd:nklx3Fool:P

4、OOL_02LWorkfile:DOCTOR_0l:Untitled-IllVieWlPrOi:IobjectIPrintINamelFreezelEdit+/-Order+/-ISrnPi-FormatITitleESUmateDeflnePoOIGefr归obsGDP?K?_BEIJING-19865.6519985.000676BEIJING-19875.7830025.281423BEIJING-19885.9815075.435021_BEIJING-19896.1646065.684639BEIJING-19906.2489145.703889_BEIJING-19916.3896

5、005.714875_BEIJING-19926.5395055.967988_BEIJING-19936.7320796.352460_BEIJING-1994勺必g叩IdngSU心gprUjlanXljaoh115gdpjiangikanhuikneimenggdpjilink_beijingk_ningxia,UntitIedkNeWPage/hl2dJPath=d:nklx3DB=noneWF=doctor_01/（3）关闭POOl窗口，赶快存盘见好就收6、在POoI窗口对各个序列进行单位根检验选择单位根检验Pool:POOL_01Workfile:DOCTOR_01:Untitled

6、-I11llplewlProcObjectPrintNameFreezeEdit+/-1Order+/-1Smpl+/-1FormatTitleEstimateDefinePooIGenrECrossSectionIdentifiersSpreadsheet(stackeddata).DescriptiveStatistics.K?5.000676325.281423LhitRootTest.375.435021CointegrationTest.J65.684639Label145.703889BEIJING-19916.3896JO5.714875BEIJING-19926.5395055

7、.967988_BEIJING-19936.7320796.352460_BEIJING-1994IJ一Ldl设置单位根检验单位根检验结果PooIUnitRootTestonK?Poolunitroottest:SummarySeries:K_BEIJING,K_TIANJIN,K_HEBEI,K_SHANXI_D,K_NEIMENG,K_LiA0NING,KjjiLIN1K-HLJIANG,K_SHANGHAI,K.JiANGSU,K_ZHEJIANG,K_ANHUI,KFUJIAN,K_JIANGXI,K_SHANDONG,K_HENAN,K_HUBEI,K_HUNAN,K_GUANGDO

8、NG,K-GANGXI,K-HAINAN,fCsiCHUArTK_GUIZHOU,K_YUNNANJCsHANXAX,KAGANSU,KAQlNGHAI,KJNINGXIA,K_XINJIANG-Date:05/24/07Time:19:57-SampIeJ9862005ExogenousvariablesjndividualeffectsAutomaticselectionofmaximumlagsAutomaticseIectionofIagsbasedonSIC:0to4Newey-WestbandwidthselectionusingBartlettkemelCross-MethodS

9、tatisticProb.*sectionsObsNlkUnitroot(assumescommonunitrootprocess)Levin1LinSChu忙-2.660530.003929526NllII:Unitroot(assumesindividualunitrootprocess)Im1PesaranandShinW-Stat4.267011.000029526ADF-FisherChi-Square19.30851.000029526PP-FisherChi-Square14.51641.000029551wwProbabilitiesforFishertestsarecompu

10、tedusinganasymptoticChi-Squaredistribution.AllothertestsassumeasymptoticnormaIity.注意检验方法和两种检验的零假设：NUlI:UnitroOt(assumescommonunitrootprocess)各截面有相同的单位根NUlI:Unitroot(assumesindividualunitrootprocess)允许各截面有不同单位根Pool:F4ZHANM(aWorkfile:SHSH02： 2yongxufazh.其中，LeVin,Lin&Chut*检验拒绝含有单位根的零假设，即拒绝非平稳7、在POOI窗口对

11、面板数据组合进行协整检验选择进行协整检验CrossSectionlctentifiefsRepresentationsEstimationOutputResidualsCOeICOVananCoMaiuxLNK?5.0006765.2814235.4350215.64639LNDH?8.1583398.3201558.3886588.457649LNXH?2.00568H2.02725!a2.04838CoefficientTests5.7038898.5389732.06907lFixed/RandomEffectsTesting5.7148755.9679888.6090242.08933

12、l2.109208.642618Spreadsheet(Stackeddata).6.3524608.647367DescriptiveStatistics.6.7073698.700082CSoQOUnitRootTest.7.0477068.7005222JW32.20300,6.9501428.7032897.0506948.718590Label7.1768528.6765072.220751BEIJlNG987.598307.2620738.6882852.238191BEIJlNGT99?7G72087BEIJING200077964137.2490708.7030532.2553

13、3,2.27248-!x0.融IPreCiCtieZelEdilCjToflfemTsmoblTFefmailTifelEBtimatelDefinePfldGenfiSBEIJING-2001协整检验设置对话框，注意有3种检验方法(testtype)协整检验结果，同样要注意两种假定(含有AR,即含有单位根，非协整)，两种零假设都是非协整，小概率事件发生拒绝非协整。本例题检验的4个序列时协整的，特别提示还要看各个序列的单位根检验是否是同阶单整的，否则单凭协整检验的结果根据不足。PedroniResiduaICointegrationTestSeries:LNY?LNK?LNDH?LNXH?Date:05/24/07Time:20:14SampIeJ9862005lncludedobservations:20Cross-Sectionsineluded:29NullHypothesis:NocointegrationTrendassumption:Nodeterministictrend1.agselec