18 时间序列平稳性检验案例.ppt

第十八讲 时间序列平稳性检验案例 白噪音、TSP、DSP的蒙特卡罗模拟图 谬误回归的蒙特卡罗模拟 平稳性检验 白噪音、TSP、DSP的蒙特卡罗模拟 谬误回归的蒙特卡罗模拟 Dependent Variable: Y Method: Least Squares Date: 11/22/10 Time: 19:52 Sample: 1 500 Included observations: 500 Variable Coefficient Std. Error t-Statistic Prob.?? C -17.53687 0.459202 -38.18988 0.0000 X -0.878816 0.026880 -32.69374 0.0000 R-squared 0.682171 ????Mean dependent var -27.16001 Adjusted R-squared 0.681533 ????S.D. dependent var 13.96575 S.E. of regression 7.881278 ????Akaike info criterion 6.970849 Sum squared resid 30933.04 ????Schwarz criterion 6.987708 Log likelihood -1740.712 ????Hannan-Quinn criter. 6.977464 F-statistic 1068.881 ????Durbin-Watson stat 0.030847 Prob(F-statistic) 0.000000 Dependent Variable: D(Y) Method: Least Squares Date: 11/22/10 Time: 20:11 Sample (adjusted): 2 500 Included observations: 499 after adjustments Variable Coefficient Std. Error t-Statistic Prob.?? C -0.018808 0.042123 -0.446505 0.6554 D(X) -0.043788 0.045545 -0.961425 0.3368 R-squared 0.001856 ????Mean dependent var -0.020610 Adjusted R-squared -0.000152 ????S.D. dependent var 0.939944 S.E. of regression 0.940015 ????Akaike info criterion 2.718159 Sum squared resid 439.1637 ????Schwarz criterion 2.735043 Log likelihood -676.1807 ????Hannan-Quinn criter. 2.724785 F-statistic 0.924338 ????Durbin-Watson stat 2.057084 Prob(F-statistic) 0.336806 平稳性检验 考察1994~2004年中国各个季度的名义利率序列 单位根检验 Dependent Variable: D(R) Method: Least Squares Date: 11/22/10 Time: 21:15 Sample (adjusted): 1994Q2 2004Q4 Included observations: 43 after adjustments Variable Coefficient Std. Error t-Statistic Prob.?? C -0.199912 0.126366 -1.582014 0.1213 R -0.0051