序列相关案例分析.ppt

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1、第二十讲序列相关案例分析主要内容：p序列相关的侦查p序列相关的处理p考察我国1984年2004年进出口额与国内生产总值之间的关系数据收集中国中国1989-20041989-2004年进出口额与国内生产总值年进出口额与国内生产总值 单位：亿元年份国内生产总值进出口额198916,909.204,156.00199018,547.905,560.10199121,617.807,225.80199226,638.109,119.60199334,634.4011,271.00199446,759.4020,381.90199558,478.1023,499.90199667,884.6024,13

2、3.80199774,462.6026,967.20199878,345.2026,849.70199982,067.5029,896.20200089,468.1039,273.20200197,314.8042,183.602002105,172.3051,378.202003117,390.2070,483.502004136,875.9095,539.10回归方程pDependentVariable:YpMethod:LeastSquarespDate:11/28/10Time:20:42pSample:19892004pIncludedobservations:16ppVariabl

3、eCoefficientStd.Errort-StatisticProb.ppC-11935.444575.009-2.6088340.0206pX 0.6329550.06010810.530210.0000ppR-squared0.887897Meandependentvar30494.93pAdjustedR-squared0.879890S.D.dependentvar25007.71pS.E.ofregression8666.900Akaikeinfocriterion21.08888pSumsquaredresid1.05E+09Schwarzcriterion21.18545pL

4、oglikelihood-166.7110Hannan-Quinncriter.21.09382pF-statistic110.8854Durbin-Watsonstat0.383500pProb(F-statistic)0.000000p序列相关的侦查（1）图解法p（2）DW检验在给定，查表得，存在着正的序列相关pNullHypothesis:EhasaunitrootpExogenous:ConstantpLagLength:3(AutomaticbasedonSIC,MAXLAG=3)pt-StatisticProb.*ppAugmentedDickey-Fullerteststatis

5、tic-1.3587560.5657pTestcriticalvalues:1%level-4.121990p5%level-3.144920p10%level-2.713751pp（3）BG检验Breusch-GodfreySerialCorrelationLMTest:F-statistic23.01977Prob.F(2,12)0.0001Obs*R-squared12.69191Prob.Chi-Square(2)0.0018TestEquation:DependentVariable:RESIDMethod:LeastSquaresDate:11/28/10Time:21:23Sam

6、ple:19892004Includedobservations:16Presamplemissingvaluelaggedresidualssettozero.VariableCoefficient Std.Errort-StatisticProb.C-2373.817 2800.904-0.847518 0.4133X0.0505730.0440251.1487270.2731RESID(-1)1.5764310.2778355.6739860.0001RESID(-2)-0.572916 0.393145-1.457265 0.1707R-squared0.793244Meandepen

7、dentvar 5.23E-12AdjustedR-squared0.741556S.D.dependentvar8373.021S.E.ofregression4256.629Akaikeinfocriterion 19.76266Sumsquaredresid2.17E+08Schwarzcriterion19.95581Loglikelihood-154.1013 Hannan-Quinncriter.19.77255F-statistic15.34651Durbin-Watsonstat1.997979Prob(F-statistic)0.000208pBreusch-GodfreyS

8、erialCorrelationLMTest:pF-statistic23.0197Prob.F(2,12)0.0001pObs*R-squared12.69191Prob.Chi-Square(2)0.0018p序列相关的处理（1）可行性GLS法1、基于d统计量的FGLS，生成，进行估计pDependentVariable:Y1pMethod:LeastSquarespDate:11/28/10Time:22:34pSample(adjusted):19902004pIncludedobservations:15afteradjustmentspppVariableCoefficientSt

9、d.Errort-StatisticProb.pC-8403.5952756.874-3.0482340.0093pX10.9775890.1252287.8064760.0000ppR-squared0.824184 Meandependentvar 11108.13pAdjustedR-squared0.810660 S.D.dependentvar10353.99pS.E.ofregression4505.354 Akaikeinfocriterion 19.78749pSumsquaredresid 2.64E+08 Schwarzcriterion19.88189pLoglikeli

10、hood-146.4061 Hannan-Quinncriter.19.78648pF-statistic60.94107 Durbin-Watsonstat0.725518pProb(F-statistic)0.000003p（2）基于残差自回归的FGLS先估计，得到再进行GLSDependentVariable:EMethod:LeastSquaresDate:11/28/10Time:22:53Sample(adjusted):19902004Includedobservations:15afteradjustmentsVariableCoefficientStd.Errort-Stat

11、isticProb.C1082.892 1442.1180.7509040.4661E11.038092 0.2247874.6181170.0005R-squared0.621289 Meandependentvar-359.2454AdjustedR-squared 0.592158 S.D.dependentvar8538.311S.E.ofregression5452.780 Akaikeinfocriterion20.16920Sumsquaredresid3.87E+08Schwarzcriterion20.26361Loglikelihood-149.2690Hannan-Qui

12、nncriter.20.16820F-statistic 21.32701Durbin-Watsonstat0.626748Prob(F-statistic)0.000482DependentVariable:Y1Method:LeastSquaresDate:11/28/10Time:22:57Sample(adjusted):19902004Includedobservations:15afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.C-1389.6322248.993-0.6178910.5473X11.153718

13、 0.3279273.5182110.0038R-squared0.487741 Meandependentvar5095.562AdjustedR-squared 0.448337 S.D.dependentvar6718.627S.E.ofregression4990.195 Akaikeinfocriterion19.99190Sumsquaredresid3.24E+08Schwarzcriterion20.08631Loglikelihood-147.9393Hannan-Quinncriter.19.99090F-statistic 12.37781Durbin-Watsonsta

14、t0.689689Prob(F-statistic)0.003780p3、奥科特-科克伦迭代法接上面的结果，再次计算DependentVariable:EMethod:LeastSquaresDate:11/29/10Time:18:58Sample(adjusted):19902004Includedobservations:15afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.C1082.892 1442.1180.7509040.4661E(-1)1.038092 0.2247874.6181170.0005R-squ

15、ared0.621289 Meandependentvar-359.2454AdjustedR-squared 0.592158 S.D.dependentvar8538.311S.E.ofregression5452.780 Akaikeinfocriterion20.16920Sumsquaredresid3.87E+08Schwarzcriterion20.26361Loglikelihood-149.2690Hannan-Quinncriter.20.16820F-statistic 21.32701Durbin-Watsonstat0.626748Prob(F-statistic)0

16、.000482pDependentVariable:Y1pMethod:LeastSquarespDate:11/29/10Time:19:02pSample(adjusted):19902004pIncludedobservations:15afteradjustmentspVariableCoefficientStd.Errort-StatisticProb.ppC-1389.6322248.993-0.6178910.5473pX1 1.1537180.3279273.5182110.0038ppR-squared0.487741 Meandependentvar5095.562pAdj

17、ustedR-squared0.448337 S.D.dependentvar6718.627pS.E.ofregression4990.195 Akaikeinfocriterion19.99190pSumsquaredresid3.24E+08Schwarzcriterion20.08631pLoglikelihood-147.9393 Hannan-Quinncriter.19.99090pF-statistic12.37781 Durbin-Watsonstat0.689689pProb(F-statistic)0.003780Dependent Variable:YMethod:Le

18、ast SquaresDate:11/29/10 Time:19:05Sample(adjusted):1990 2004Included observations:15 after adjustmentsConvergence achieved after 18 iterationsVariable CoefficientStd.Errort-Statistic Prob.C-87541.1768965.19-1.2693530.2284X1.1710110.2405014.8690560.0004AR(1)0.9194820.07004413.127290.0000R-squared0.9

19、73553Mean dependent var32250.85Adjusted R-squared0.969146S.D.dependent var24843.50S.E.of regression 4363.862Akaike info criterion19.77696Sum squared resid2.29E+08Schwarz criterion19.91857Log likelihood-145.3272Hannan-Quinn criter.19.77545F-statistic220.8724Durbin-Watson stat0.879755Prob(F-statistic)

20、0.000000Inverted AR Roots.92ls y c x ar(1)pDependentVariable:YpMethod:LeastSquarespDate:11/29/10Time:19:05pSample(adjusted):19902004pIncludedobservations:15afteradjustmentspConvergenceachievedafter18iterationsppVariableCoefficientStd.Errort-StatisticProb.pC-87541.1768965.19-1.2693530.2284pX1.1710110

21、.2405014.8690560.0004pAR(1)0.9194820.07004413.127290.0000ppR-squared0.973553 Meandependentvar 32250.85pAdjustedR-squared0.969146 S.D.dependentvar24843.50pS.E.ofregression4363.862 Akaikeinfocriterion 19.77696pSumsquaredresid 2.29E+08 Schwarzcriterion19.91857pLoglikelihood-145.3272Hannan-Quinncriter.1

22、9.77545pF-statistic220.8724Durbin-Watsonstat0.879755pProb(F-statistic)0.000000pInvertedARRoots.92ls y c x ar(1)ar(2)pDependentVariable:YpMethod:LeastSquarespDate:11/29/10Time:19:08pSample(adjusted):19912004pIncludedobservations:14afteradjustmentspConvergenceachievedafter19iterationsppVariableCoeffic

23、ientStd.Errort-StatisticProb.pC-72632.9855162.18-1.3167170.2173pX1.2171570.3030084.0169120.0025pAR(1)1.4314970.2658935.3837410.0003pAR(2)-0.5187070.274814-1.8874880.0884ppR-squared0.983855Meandependentvar34157.34pAdjustedR-squared0.979011S.D.dependentvar24616.31pS.E.ofregression3566.295Akaikeinfocri

24、terion19.43140pSumsquaredresid1.27E+08Schwarzcriterion19.61399pLoglikelihood-132.0198Hannan-Quinncriter.19.41450pF-statistic203.1255Durbin-Watsonstat2.245280pProb(F-statistic)0.000000ppInvertedARRoots.72-.08i.72+.08ip(3)尼威-韦斯特方法DependentVariable:YMethod:LeastSquaresDate:11/29/10Time:19:26Sample:1989

25、2004Includedobservations:16Newey-WestHACStandardErrors&Covariance(lagtruncation=2)VariableCoefficientStd.Errort-StatisticProb.C-11935.445715.971-2.0880860.0555X0.632955 0.0993246.3726050.0000R-squared0.887897 Meandependentvar30494.93AdjustedR-squared 0.879890 S.D.dependentvar25007.71S.E.ofregression8666.900 Akaikeinfocriterion21.08888Sumsquaredresid1.05E+09Schwarzcriterion21.18545Loglikelihood-166.7110Hannan-Quinncriter.21.09382F-statistic 110.8854Durbin-Watsonstat0.383500Prob(F-statistic)0.000000