时间序列分析课后习题答案1文档格式.docx
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时间序列分析课后习题答案1文档格式.docx
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Std.Error
t-Statistic
Prob.
C
80.40568
4.630308
17.36508
0.0000
MA
(1)
0.336783
0.114610
2.938519
0.0047
MA
(2)
0.343877
0.116874
2.942297
0.0046
R-squared
0.171979
Meandependentvar
80.29524
AdjustedR-squared
0.144379
S.D.dependentvar
23.71981
S.E.ofregression
21.94078
Akaikeinfocriterion
9.061019
Sumsquaredresid
28883.87
Schwarzcriterion
9.163073
Loglikelihood
-282.4221
F-statistic
6.230976
Durbin-Watsonstat
2.072640
Prob(F-statistic)
0.003477
InvertedMARoots
-.17+.56i
-.17-.56i
Residualtests
(3)拟合AR
(2)model:
Variable
79.71956
5.442613
14.64729
AR
(1)
0.258624
0.128810
2.007794
0.0493
AR
(2)
0.227469
0.125114
1.818102
0.0742
0.154672
79.50492
0.125522
23.35053
21.83590
9.052918
27654.79
9.156731
-273.1140
5.306195
1.939572
0.007651
InvertedARRoots
.62
-.36
Residualtests:
(4)拟合ARMA(2,1)model:
79.17503
4.082908
19.39183
-0.586834
0.118000
-4.973170
0.376120
0.082091
4.581756
1.113999
0.097122
11.47012
0.338419
0.303599
19.48617
8.840611
21643.51
8.979029
-265.6386
9.719104
1.963688
0.000028
.39
-.97
-1.11
EstimatedMAprocessisnoninvertible
残差检验:
(5)拟合ARMA(1,
(2))model:
79.52100
4.621910
17.20523
0.270506
0.125606
2.153603
0.0354
0.233914
0.130773
1.788701
0.0788
0.157273
79.55161
0.128706
23.16126
21.61946
9.032242
27576.65
9.135167
-276.9995
5.505386
1.981887
0.006423
.27
(6)优化
model
AIC
SC
9.0610
9.1631
9.0529
9.1567
ARMA(2,1)
8.8406
8.9790
ARMA(1,
(2))
9.0322
9.1352
根据SC准则,最优模型为ARMA(2,1)模型。
(7)预测:
年份
预测值
标准差
95%的置信下限
95%的置信上限
1964
83.80630
19.48617
45.61341
121.9992
1965
88.05114
22.02801
44.87624
131.226
1966
75.70815
22.06639
32.45803
118.9583
1967
84.54800
22.28311
40.87310
128.2229
1968
74.71802
22.32277
30.96539
118.4706
18、
(1)平稳性判断与纯随机性检验:
(2)拟合AR
(1)model:
0.845441
0.052013
16.25427
0.372564
0.111569
3.339322
0.0013
0.135739
0.849589
0.123566
0.297627
0.278633
0.309169
5.512162
0.371921
-9.284669
11.15107
2.068675
0.001341
.37
(3)拟合MA(6)model:
0.837270
0.065641
12.75526
0.201853
0.110289
1.830225
0.0715
0.301118
0.104814
2.872875
0.0054
MA(4)
0.278566
0.110528
2.520322
0.0140
MA(6)
0.270084
0.115984
2.328636
0.0228
0.189662
0.851216
0.142686
0.295913
0.273989
0.313720
5.179833
0.469400
-6.607637
4.037420
1.867536
0.005328
.61+.50i
.61-.50i
-.04-.77i
-.04+.77i
-.68+.53i
-.68-.53i
(4)拟合ARMA(
(2),1)model
0.852299
0.061255
13.91390
0.260738
0.123711
2.107640
0.0387
0.452777
0.117596
3.850279
0.0003
0.219781
Meandependent
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