计量经济学数据分析Word文件下载.docx
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计量经济学数据分析Word文件下载.docx
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Akaikeinfocriterion
19.41368
Sumsquaredresid
136E109
Schwarrcriterion
1346923
Loglikelihood
-B716157
statistic
2140337
Durtiin'
Watsonstat
0.322622
Prob(F*st3tist\c)
00C0013
回归表达式:
gdp=10433.48+0.191218*turnover
其中:
Prob低于0.05,说明对应系数显著不为零;
R2=0.195641,说明拟合程度一般;
Prob(F-statistic)=0.000013<
0.05,说明至少有一个解释变量的回归系数不为零。
ResidualActualFitted
DependentVariable.GDP
Method:
L翎求Square
Date;
47
Sample2000M012D07MK
Includedobservations.90
Goefficient
6470.567
893.47159.490511
0.0000
VALUE
0.1&
6863
0.0490474.013572
0.0001
Rsquared
0J54730
IVleandependentvar
1162515
Adjusted^-squared
0145126
43E9.540
4030.807
1946329
jmsquaredresid
143E+09
Schwarzcriten^ri
19.51884
_oglikelihocd
-8738482
F-statistic
1610076
Durbin-Watsonstat
0277993
Prob(F-statistic)
0C0O125
gdp=8470.567+0.196853*value
R2=0.154730,说明拟合程度一般;
Prob(F-statistic)=0.000125<
ResidualActualFitted
三、格兰杰因果检验
(1)检验GDP同流通市值之间的格兰杰因果关系
PairwiseGrangerCausalityTesis
Dat»
;
01/12/09Time;
13;
13
Sample-2000M012007M06
Lags10
NullHypothesis-ObsF-StatisticProtjabiility
TURNOVERdoesnotGvngmrCm"
©
GDP801.083400.38941
GDPdoesnotGrangerCauseTURNOVER2.677050.00904
滞后期为10,P(F>
1.08348)=0.38941,P(F>
2.67705)=0.00904,所以原假设
“TURNOVER不是GDP变化的原因”被接受,但原假设“GDP不是
TURNOVER变化的原因”被拒绝。
(2)检验GDP同成交金额之间的格兰杰因果关系
PairwiseGrangerCausaliiyTests
Date01/12/09Time:
13:
22
Sample;
2000M012007I/I0G
Lags'
10
NullHypothesis.ObsF-StatisticProbability
VALUEdoesnotGrangerCauseGDP80063514077782
GDPdoe^notGrangerCauseVALUE330636000185
0.63514)=0.77782,P(F>
3.30636)=0.00185,所以原假设
“VALUE不是GDP变化的原因”被接受,但原假设“GDP不是VALUE变化的原因”被拒绝。
四、时间序列模型估计
(1)时间序列图
200000-r
160000-
120000-
00000-
40000-
0-
2000200120022003200420052006
SAVING—
—turnover
QDP
——value
(2)流通市值的相关图和偏相关图
01/12/09Time:
38
Sample:
2000M012007M06
&
Autocoi■「创日lion
PartialCorrelation
ACPACQ-StatProb
II
J
1
l
105370537263720000
□
ir
20.2080.11430.9360.000
i
]1
30108006332.A40000G
11
400740009325720.000
500730C3833067C000
60.0720.C2133.5940ODO
70.0690.02434.065C000
80070002734.562C000
900720025350900000
1000710.C2235.5C8CODO
1100670.01936.0S20000
120.0670.02336.5630.000
130065001737.0280.000
140.064001837473C001
150.0620.01737.9C40.001
1600G00.01538.310C.001
170.0530.015396930.002
】1
1S0.056001339.0490003
190.0540.01339.3S50.004
200.0540.01439.725C.005
2100530011400560Q07
220.C1140J700.010
230.0480.00940.6580.0*13
11
24Q.0460.00840.920C.017
由图可知,流通市值的是平稳序列。
(3)成交金额的相关图和偏相关图
41
AiJtoco仃』日tiori
PartialCorrelation
ACPADQ-StatProb
JI
10590059S333卩0000
20294-0.10041.4430.000
□l
30.1550.03343.723COOT
J1
491060031443100000
50083002245.56700M
6aD790.02146.1610.000
1B.0700.01446.6710.000
8306?
0.021471200000
59064001547.53300»
10a0610.01547.9180.000
11a0530.01348.2670.000
120.0540.01148.5730.000
13905100124S3500000
140047O.OOS49.0870.000
150.0440010493010.000
1&
30420.00849.4940.000
V9041001C495S60000
189041000?
498790000
190.0400.00850.0670.000
20a.0420.01250.2710.000
21a0410007604740000
2290370003506390000
23a0320.0OSS0.7630.001
I
na.029o002so.ae?
0.001
由图可知,成交金额是平稳序列
(4)GDP与居民储蓄散点图
25000
20000-
OOo
o
oCK
000-|,,,
400000000012000016QOOO200000
SAVING
五、居民储蓄的单位根ADF检验(一阶差分)
NullHypothesis:
D(SAVING)hasaunitroot
ExogenousConstant
LagLength.0(AutomaticbasedonSIC.MAXLAG=1)
t-StaiisticProb.*
AugmentedDiekev-FuIlerteststatistic
-7.449984O.OOCO
Testcriticalvalues:
1%level
-3.506484
5%level
-2894716
10%lewl
^2.534529
•MacKinnon(1996)oiie-&
idedp-values.
AugmentedDickey-FullerTestEquation
Dependen!
VariabkSAVING.2)
Method-LeastSquares
Date'
01/12/09lime:
15:
08
Sample(adjusted):
2000MOS2007M06Includedobser;
ation5:
83afteradjustmants
Coefficient
StdError(-Statistic
Prob.
D(SAVING(-1J)C
-0.763410
954.0703
Q.105166-7.449984
207.90904一58毗阴
o.oooc
C-0000
R-squar&
d
AdjustedR-squaredS.EofregressionSumsquaredresidLoglikelihoodDurbin-Watsonstat
0.39223S03S51651532425
202E+0&
-769.3005
1943175
Meandepend已ntvarS.DdependentvarAkaikeinfocriterionSchwarzcriterionF-statistic
Prob(F-stallStic)
4.0732%
1954346
1752956
17.58586
55.50227
0.000000
ADF=-7.449984,为负且绝对值很大,则拒绝单位根假设而表明序列是平稳的。
六、VAR模型分析与协整检验
(1)GDP与流通市值的VAR模型
Ejtinm-fiifl!
Pro亡:
LSL2GDFTUEEK呵EEL色C
YAJK骷血h
■nm■■■■■■,■■■■■■w■■*■■■■■百
GDP=C(181)<
DPI-1J+CnB3)*GT)PM>
+C(LSMmKPC-TER.Ml七C〔1•龄呵顾VE常T)*專昇引
itIKMTirEK=亡(込+3MGZiJ(-2>
+C(2,3]*:
tUKflTirEK(-])4C(2,4)(-2)+C(2Ut)
VdfiHudjul-SubletillCaafficiiAtde
GDP=DLG8*******16a&
DP[-1)+0.3BSG^97fi3*4JHP(-2)-D.C83:
8^928-9g^T[fEBOVEEt(-])+0.IS3335BB&
tTI2KWCDVEX(-2)亠[(][]&
.[JL(J師幻
ton心莎0.<
9537.))318*CDPi-l>
-D.Me73B7224*a-F{-2)+L.071222571<
71^*^(-1)-0.DDflO321C42SE+TUrPC^"
:
-2l-1^6.628-32
(2)GDP与成交金额的VAR模型
lorProcs
=«
==-==~=~==7==»
=~==-==?
===3-53
L3】2GDFVALUE9G
TJLKTod=:
L:
CCP二CdUJ^BFirl)+C(L,aiSKP(-2)+C(J53)*71LCE(-li+C(1,4]^lULlIE(-2)*C(G5>
TALUH-C(2,n-3DP(-l>
+C^Z^aj-WM)+C(2,3]<
^^(-1)*C(Z3>
<
VALCSI?
2)*€[245)
TAKSnd-pl—ZiqbiE-tztirlr-dlCo*£
fic^e-nls■:
■yia.4«
u?
®
a2
-1UZLBFTSBB
(-I'
-II.IM-Ki!
fGli-:
II.-H.;
r-r:
■:
-.'
ll.fi-liHK+jAl|->
:
」II.£
出乱:
iit'
^II(-
VALUE■0»
D373M74T24M'
]'
;
L;
luai?
61L012«
]6»
GDF(-2)+1+«
3«
3M29tVALUECO-D.<
1M6OD2PJ&
kVALUE:
-2)
(3)DGP与成交金额的协整性检验
Date:
01/12/05Time:
1521
Sanple(adjusted)2000M0420C7M06
In-eludedobservations..87afteradjustmentsTrendassumptionLireardeterministictrendSeries:
GDPVALUE
Lagsinterval(infirstdifferences)1tc2
UnrestrictedCointegrationRankTest(Trace)
Hypothesized
NoofCE(s)
Eig&
nvalue
TraceStatistic
005CriticalValue
None
Atmost1
0.116203
0021766
12.G&
143
1914515
15.49471
3641465
0.127801665
Tracetestindicatesnocointegrationatthe0.05level"
denot&
srejectionofthehypothesisatthe0.05level**MacKinnon-Haug-Michelis(1999)p-values
UnreslrictedCointegrationRankTest(MaximumEigenvalue;
Hypothesiz&
Eigenvalue
Max-EigenStatistic
0.05
CriticalValue
Prob**
10.74692
14.26460
0.1574
Atmosi1
0.021766
3.841466
01565
Max-eigenvaluetestindicatesnocointegrationatthe0Q5level
UnrestnctedCointegratingCoefficients(normalizedbyt)'
sS11Kb=l]i
GDPVALUE
-0.0002470.000239
0.000149-0.0002G6
UnrestrictedAdjustmentCoefficients(alpha>
D(GDP)35.99549-275.0113
□(VALUE)^33.0766337&
325
1CoIntegratingEqjationfs):
Lofllikelihood-15436S9
Normalizedcointegratingcoefficients(standarderrorinparentheses}GDPVALUE
1.0000000.967540
(0.43413)
Adjustmentcoefficierrts(standarderrorinparentheses)
D(GDP>
-0.008383
(0.05122)
□(VALUE)QJ43977
(0.04456)
以检验水平0.05判断,迹统计量检验有12.66143<
15.49471,1.914515<
3.841466;
最大特征统计量检验有10.74692<
14.26460,1.914515<
3.841466,所以GDP和成交金额序列存在协整关系。
(4)GDP与居民储蓄的协整关系
01712/09Time:
1S:
30
2C0OM042007M0G
In-cludedobservations87afteradjustments
Trendassumption.Lineardeterministictrend
Series:
GDPSAVING
Lagsirrter\al(infirstdi1Feren-ces}:
1to2
UnreslrictedCointegrationRankTestifTrace)
Hypotheei20d
Trace
Statistic
306
CriticalVaiue
Probs
None*
0.307809
42.06237
1549471
o.cooo
Atmost1*
0109153
1005555
0.0015
Tracetestindicates2Gointegrating@qn(s)atthe0.05Iml
UnrestrictedCointegralionRankTea!
(MaxinmirriEigenvalue}
HypothesizedMax*Eigen005
No.ofCE(s)EigenvalueStatisticCriticalValuePrab*'
Nore*03Q760932006-73142646000000
Atmost1*0.10915310.055553.34146600015
Max-eigenvaluetestindicates2匚ointegratingeqn(s)
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