一、模型参数的线性约束 二、对回归模型增加或减少解释变量 三、参数的稳定性 *四、非线性约束

一、E(Y)的置信区间 二、Y的置信区间

1 An Excursion into Non-linearity land Motivation: the linear structural (and time series) models cannot explain a number of important features common to much financial data

1 Motivations All the models we have looked at thus far have been single equations models of the form y=XB+u All of the variables con

1 Goodness of Fit Statistics We would like some measure of how well our regression model actually fits the data.* We have goodness of fit statistics to test this: i.e. how well the sample regression function (srf) fits the data. The most common goodness of fit statistic is known as R2. One

常用的经济计量软件 EViews (Econometric Views) RATS (Regression Analysis of Time Series) SAS (Statistical Analysis System) SPSS (Statistical Package for Social Science) TSP

一、异方差性 对多元线性回归模型:

一、多重共线性 对于模型 在求最小二乘估计时,要求XX的逆存在。当XX的逆不 存在时,即,x之间存在高相关的情况,我们称之为多重 共线性

一、单方程计量经济学模型理论与方法 二、扩展的单方程计量经济学模型理论与方法 三、联立方程计量经济学模型理论与方法

一、计量经济学及其发展 挪威经济学家弗( Frish)定义为:经济理、统计学和数学三者结合