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# 计量经济学论文

2014 级

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3.1 3.2 3.3 3.4 3.5 3.6 3.7 4 5

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1 引言

2 外商直接投资（FDI）概念

3 外商直接投资(FDI)对浙江省经济影响的实证分析
3.1 数据的收集和处理

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1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

0.03 0.16 0.19 0.23 0.30 0.52 0.48 0.92 2.94 10.33 11.44 12.58 15.20 15.03 13.18 15.33 16.13 22.12 31.60 54.49 66.81 77.23 88.89 103.66 100.73 99.40 110.02 116.66 130.69 141.59 157.97

2.32 2.94 3.45 3.72 3.72 3.76 4.78 5.32 5.51 5.76 8.61 8.35 8.31 8.29 8.28 8.28 8.28 8.28 8.28 8.28 8.28 8.19 7.97 7.6 6.95 6.83 6.77 6.46 6.3 6.19 6.14

139.33 145.97 145.64 163.17 207.06 225.91 189.27 204.76 249.67 334.36 312.34 426.05 504.03 565.27 610.22 657.48 741.67 833.13 966.63 1172.10 1406.85 1638.30 1972.20 2467.60 3088.16 3367.24 4098.62 5009.81 5514.15 6099.61 6542.84

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3.2 建立模型

8000

x-FDI y-GDP

6000

Y

4000

2000

0 0 50 100 X

150

200

Dependent Variable: Y Method: Least Squares Date:30/12/16 Time: 20:05 Sample: 1984 2014 Included observations: 31 Variable C X R-squared Adjusted R-squared Coefficient -47.40215 36.32629 0.913730 0.910755
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Std. Error 140.7207 2.072731

t-Statistic -0.336853 17.52581

Prob. 0.7387 0.0000 1612.885 1939.367

Mean dependent var S.D. dependent var

S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

579.3638 9734211. -240.1732 0.191118 表 2

Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

15.62408 15.71659 307.1541 0.000000

R2=0.913730

3.3 序列相关性检验
1500 1000 500 0 -500 -1000 -1500 85 90 95 00 RESID 05 10

3.4 消除序列相关性

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Dependent Variable: Y Method: Least Squares Date: 30/12/16 Time: 20:21 Sample(adjusted): 1984 2014 Included observations: 30 after adjusting endpoints Convergence not achieved after 100 iterations Variable X C AR(1) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Inverted AR Roots Coefficient 18.10335 1052304. 0.999888 0.987105 0.986150 229.8163 1426019. -204.1062 0.680487 1.00 表 3 Std. Error 7.244459 4.63E+08 0.049525 t-Statistic 2.498923 0.002274 20.18963 Prob. 0.0188 0.9982 0.0000 1662.004 1952.810 13.80708 13.94720 1033.451 0.000000

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

Dependent Variable: Y Method: Least Squares Date: 30/12/16 Time: 20:40 Sample(adjusted): 1984 2014 Included observations: 29 after adjusting endpoints Convergence not achieved after 100 iterations Variable X C AR(1) AR(2) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Inverted AR Roots
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Coefficient 2.521029 1286970. 1.716194 -0.716247 0.994442 0.993775 155.1031 601424.4 -185.2757 2.176089

Std. Error 5.672379 8.51E+08 0.240005 0.277699

t-Statistic 0.444439 0.001512 7.150665 -2.579216

Prob. 0.6605 0.9988 0.0000 0.0162 1714.281 1965.896 13.05350 13.24209 1491.065 0.000000

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) .72

1.00 表 4

3.5 单位根检验

ADF Test Statistic 0.483568 1% 5% Critical Value* Critical Value -4.3226 -3.5796 -3.2239

10% Critical Value

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(Y) Method: Least Squares Date: 30/12/16 Time: 21:12 Sample(adjusted): 1984 2014 Included observations: 28 after adjusting endpoints Variable Y(-1) D(Y(-1)) D(Y(-2)) C @TREND(1984) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat 表 5 Coefficient 0.025569 0.276964 0.002771 -99.33715 13.87649 0.750156 0.706705 137.5649 435254.4 -174.8510 1.925249 Std. Error 0.052876 0.250793 0.274552 77.11160 6.765320 t-Statistic 0.483568 1.104353 0.010093 -1.288226 2.051121 Prob. 0.6333 0.2809 0.9920 0.2105 0.0518 228.4714 254.0125 12.84650 13.08439 17.26434 0.000001

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

Y 数据的单位根检验结果

ADF Test Statistic 1.038781 1% 5% Critical Value* Critical Value -3.6852 -2.9705 -2.6242

10% Critical Value

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*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(Y) Method: Least Squares Date: 30/12/16 Time: 21:49 Sample(adjusted): 1984 2014 Included observations: 28 after adjusting endpoints Variable Y(-1) D(Y(-1)) D(Y(-2)) C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient 0.056115 0.410137 0.068230 41.64742 0.704455 0.667512 146.4681 514870.0 -177.2028 1.943309 Std. Error 0.054020 0.257921 0.290339 37.21421 t-Statistic 1.038781 1.590166 0.235001 1.119127 Prob. 0.3093 0.1249 0.8162 0.2742 228.4714 254.0125 12.94306 13.13337 19.06863 0.000002

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

ADF Test Statistic 1.239789 1% 5% Critical Value* Critical Value -2.6486 -1.9535 -1.6221

10% Critical Value

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(Y) Method: Least Squares Date: 30/12/16 Time: 22:25 Sample(adjusted): 1984 2014 Included observations: 28 after adjusting endpoints Variable Y(-1) D(Y(-1)) D(Y(-2)) R-squared Coefficient 0.066340 0.434202 0.056369 0.689032 Std. Error 0.053509 0.258318 0.291607 t-Statistic 1.239789 1.680884 0.193306 Prob. 0.2266 0.1052 0.8483 228.4714

Mean dependent var

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Adjusted R-squared S.E. of regression Sum squared resid Log likelihood

0.664154 147.2058 541738.6 -177.9150

S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat

254.0125 12.92250 13.06523 1.909483

?2,0.05 ? 5.68

>1.51,不能拒绝联合假设，认为序列存在单位根，但

ADF Test Statistic -1.036762 1% 5% Critical Value* Critical Value -4.3226 -3.5796 -3.2239

10% Critical Value

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(X) Method: Least Squares Date: 30/12/16 Time: 23:01 Sample(adjusted): 1984 2014 Included observations: 28 after adjusting endpoints Variable X(-1) D(X(-1)) D(X(-2)) C @TREND(1984) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -0.064000 0.376870 0.003653 -4.299999 0.660081 0.456083 0.361488 5.334482 654.5039 -83.85370 1.961783 表8
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Std. Error 0.061730 0.206891 0.211416 3.517514 0.351016

t-Statistic -1.036762 1.821591 0.017277 -1.222454 1.880488

Prob. 0.3106 0.0815 0.9864 0.2339 0.0728 5.635000 6.675869 6.346693 6.584587 4.821461 0.005677

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

1.321012

1% 5%

Critical Value* Critical Value

-3.6852 -2.9705 -2.6242

10% Critical Value

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(X) Method: Least Squares Date: 30/12/16 Time: 23:38 Sample(adjusted): 1984 2014 Included observations: 28 after adjusting endpoints Variable X(-1) D(X(-1)) D(X(-2)) C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat ADF Test Statistic Coefficient 0.039225 0.432207 -0.009784 1.734242 0.372456 0.294013 5.609269 755.1334 -85.85594 1.977274 表9 1.850883 1% 5% Critical Value* Critical Value -2.6486 -1.9535 -1.6221 Std. Error 0.029693 0.215336 0.222179 1.515074 t-Statistic 1.321012 2.007126 -0.044035 1.144658 Prob. 0.1990 0.0561 0.9652 0.2636 5.635000 6.675869 6.418281 6.608596 4.748108 0.009737

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

10% Critical Value

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(X) Method: Least Squares Date:30/12/16 Time:23:59 Sample(adjusted): 1984 2014 Included observations: 28 after adjusting endpoints Variable X(-1) D(X(-1)) D(X(-2)) R-squared Coefficient 0.051541 0.477371 0.012397 0.338196
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Std. Error 0.027847 0.213000 0.222702

t-Statistic 1.850883 2.241179 0.055668

Prob. 0.0760 0.0341 0.9560 5.635000

Mean dependent var

Adjusted R-squared S.E. of regression Sum squared resid Log likelihood

0.285252 5.643966 796.3588 -86.60011 表 10

S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat

6.675869 6.400008 6.542744 1.983050

3.6 协整分析

ADF Test Statistic -2.056755 1% 5% Critical Value* Critical Value -2.6453 -1.9530 -1.6218

10% Critical Value

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(E1) Method: Least Squares Date: 31/1216 Time: 10:20 Sample(adjusted): 1984 2014 Included observations: 29 after adjusting endpoints Variable E1(-1) D(E1(-1)) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Coefficient -0.157827 0.591709 0.319319 0.294108 215.6788 1255968. -195.9530 表 11 Std. Error 0.076736 0.169591 t-Statistic -2.056755 3.489035 Prob. 0.0495 0.0017 22.90406 256.7074 13.65193 13.74623 2.511377

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat

3.7Granger 因果检验

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Date:31/12/16 Time: 10:37 Sample(adjusted): 1984 2014 Included observations: 28 after adjusting endpoints Standard errors & t-statistics in parentheses INGDP INGDP(-1) 1.034598 (0.14529) (7.12092) INGDP(-2) -0.237172 (0.20337) (-1.16622) INGDP(-3) 0.093572 (0.16508) (0.56683) INFDI(-1) 12.22331 (2.96087) (4.12828) INFDI(-2) -23.02970 (5.14878) (-4.47285) INFDI(-3) 20.51289 (3.38075) (6.06756) C 30.63244 (21.0872) (1.45266) R-squared Adj. R-squared Sum sq. resids S.E. equation 0.998799 0.998456 126878.4 77.72919 INFDI -0.008281 (0.01061) (-0.78020) 0.008363 (0.01486) (0.56295) 0.003441 (0.01206) (0.28535) 1.428343 (0.21629) (6.60381) -0.327098 (0.37612) (-0.86967) -0.124373 (0.24696) (-0.50361) 1.551305 (1.54041) (1.00707) 0.990495 0.987779 677.0550 5.678091

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F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent

2911.303 -157.5932 11.75666 12.08971 1770.304 1978.256

364.7196 -84.32795 6.523425 6.856476 50.58821 51.36290 105138.0 -241.3430 18.23878 18.90489

Determinant Residual Covariance Log Likelihood Akaike Information Criteria Schwarz Criteria 表 12

2.脉冲响应函数的图形输出结果：
Response to One S .D. Innovations ?2 S .E .
Res pons e of INGDP to INGDP
800 800

Res pons e of INGDP to INFDI

600

600

400

400

200

200

0

0

-2 0 0 1 2 3 4 5 6 7 8 9 10

-2 0 0 1 2 3 4 5 6 7 8 9 10

Res pons e of INFDI to INGDP
20 20

Res pons e of INFDI to INFDI

15

15

10

10

5

5

0

0

-5 1 2 3 4 5 6 7 8 9 10

-5 1 2 3 4 5 6 7 8 9 10

3.方差分解:

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V ariance Decomposition
Perc ent INFDI varianc e due to INFDI
100 100

Perc ent INFDI varianc e due to INGDP

80

80

60

60

40

40

20

20

0 1 2 3 4 5 6 7 8 9 10

0 1 2 3 4 5 6 7 8 9 10

Perc ent INGDP v ariance due to INFDI
100 100

Perc ent INGDP v ariance due to INGDP

80

80

60

60

40

40

20

20

0 1 2 3 4 5 6 7 8 9 10

0 1 2 3 4 5 6 7 8 9 10

4.granger 因果检验结果：
Pairwise Granger Causality Tests Date: 31/12/16 Lags: 3 Null Hypothesis: INGDP does not Granger Cause INFDI INFDI does not Granger Cause INGDP 表 13 Obs 28 F-Statistic 0.80724 21.4059 Probability 0.50396 1.4E-06 Time: 11:16 Sample: 1984 2014

4 结论与建议

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5 参考文献
[1]施晓蓉．FDI与浙江经济增长[J]；浙江统计；2008 (6)：13～15 [2]郑凌燕.近 30 年浙江 FDI 宇经济增长关系研究；浙江统计；2009（11） [3]何涛舟、 施丹锋、 邓罗飞.FDI与浙江省经济增长关系的实证研究； 市场论坛； 2010 [4]杜江.计量经济学及其应用[M].机械工业出版社，2015年第2版 [5]徐明棋等． 竞争与合作——长三角利用外资报告[M].上海:上海财经大学出版 社,2008：172~173 [6]吴学品， 赵卫亚.FDI 对浙江经济影响的动态关系实证研究； 商业经济与管理； 2008, 1(11):76-80 [7]徐晓虹．外商直接投资对经济增长的短期和长期效应[J].经济地理，2007， （3） ：377 [8]潘益兴；FDI 对浙江技术溢出效应的实证分析；经济问题,2011(1):81-83 [9]应志方;赵维锋;;外国直接投资对浙江省区域经济的影响及对策 [J];国际贸 易问题;2007(2) [10] 陈嵬.FDI对东、西部经济增长贡献率的实证研究[J];北方经济;2007(8)

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