求助格兰杰因果关系不理想能不能做脉冲？

fbbf

5056

收藏 2012-03-13

RT 我有5个变量，p为被解释变量，x1 x2 x3 x4作为解释变量.数据一阶滞后后平稳，var模型平稳。

格兰杰因果检验中，选取1-3阶滞后因果关系均不明显，做脉冲分析还有意义吗？

Lags: 1

Null Hypothesis:

Obs

F-Statistic

Probability

X4 does not Granger Cause P

203

1.95934

0.16313

P does not Granger Cause X4

0.22820

0.63339

X1 does not Granger Cause P

203

3.43449

0.06532

P does not Granger Cause X1

2.01758

0.15704

X2 does not Granger Cause P

203

8.40918

0.00415

P does not Granger Cause X2

0.41025

0.52257

X3 does not Granger Cause P

203

0.11561

0.73420

P does not Granger Cause X3

10.7568

0.00123

脉冲：

Response of P:
Period	P	X1	X2	X3


1	0.075936	0.000000	0.000000	0.000000
	(0.00379)	(0.00000)	(0.00000)	(0.00000)
2	0.085392	-0.017705	0.001180	-0.007257
	(0.00706)	(0.00540)	(0.00545)	(0.00544)
3	0.086952	-0.018761	-0.008137	7.48E-06
	(0.00937)	(0.00790)	(0.00822)	(0.00814)
4	0.080091	-0.027590	-0.011536	0.002938
	(0.01101)	(0.00897)	(0.00912)	(0.00877)
5	0.068790	-0.032617	-0.017514	0.003542
	(0.01200)	(0.01065)	(0.00958)	(0.00924)
6	0.056822	-0.036672	-0.020408	0.004049
	(0.01260)	(0.01185)	(0.00998)	(0.00983)
7	0.045966	-0.039828	-0.022815	0.004446
	(0.01303)	(0.01261)	(0.01030)	(0.01031)
8	0.036351	-0.041734	-0.024679	0.003799
	(0.01346)	(0.01298)	(0.01057)	(0.01073)
9	0.028017	-0.042306	-0.025855	0.002536
	(0.01382)	(0.01301)	(0.01080)	(0.01110)
10	0.021133	-0.042224	-0.026513	0.000901
	(0.01403)	(0.01286)	(0.01087)	(0.01137)

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全部回复

fbbf

2012-3-13 11:47:54

Variance Decomposition of X1:
Period S.E. P X1 X2 X3 X4

1    0.025370    0.034853    99.96515    0.000000    0.000000    0.000000
2    0.028222    0.315564    97.35195    0.929938    1.291645    0.110903
3    0.030958    0.590147    88.21145    8.198287    1.371404    1.628715
4    0.033057    0.543954    86.34121    9.583872    1.675733    1.855232
5    0.034302    0.560342    84.50029    10.32236    2.821352    1.795658
6    0.035022    0.636181    82.77676    11.38747    3.471431    1.728158
7    0.035578    0.874684    81.65967    11.85870    3.914881    1.692067
8    0.035985    1.138494    80.71887    11.96736    4.432267    1.743014
9    0.036285    1.376973    79.84070    12.04007    4.883484    1.858779
10    0.036546    1.621461    79.03350    12.05101    5.263470    2.030566

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fbbf

2012-3-13 11:50:30

Variance Decomposition of X2:
Period S.E. P X1 X2 X3 X4

1    0.010519    2.103646    5.293192    92.60316    0.000000    0.000000
2    0.015513    4.859627    3.655808    91.39785    0.010513    0.076197
3    0.019032    8.095000    3.215654    88.50417    0.077104    0.108071
4    0.021640    10.82057    2.487438    86.41243    0.153362    0.126198
5    0.023768    12.80255    2.259692    84.55795    0.266412    0.113393
6    0.025455    14.42929    2.309505    82.48136    0.483111    0.296730
7    0.026855    15.62287    2.593731    80.26458    0.823879    0.694940
8    0.028075    16.36910    3.082452    78.04047    1.297529    1.210456
9    0.029157    16.78147    3.663192    75.90571    1.847612    1.802016
10    0.030139    16.93973    4.292201    73.90716    2.418343    2.442566

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fbbf

2012-3-13 11:54:53

Variance Decomposition of X3:
Period S.E. P X1 X2 X3 X4

1    0.015162    0.319182    0.091144    1.809328    97.78035    0.000000
2    0.020119    0.402319    0.306119    1.128418    98.07589    0.087257
3    0.023481    3.668792    1.608109    1.773218    92.88563    0.064247
4    0.026576    6.538953    3.076990    1.898500    88.29033    0.195226
5    0.029128    8.583427    3.955847    1.805610    85.22073    0.434389
6    0.031298    10.10066    4.883687    1.681501    82.73052    0.603632
7    0.033165    11.16284    5.920832    1.522355    80.72774    0.666238
8    0.034762    11.86466    6.985020    1.385790    79.07545    0.689085
9    0.036144    12.29780    8.060928    1.294557    77.64817    0.698553
10    0.037373    12.51402    9.139359    1.258429    76.38975    0.698448

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fbbf

2012-3-13 11:55:54

Variance Decomposition of X4:
Period S.E. P X1 X2 X3 X4

1    0.015453    5.330225    0.051823    0.000501    0.019685    94.59777
2    0.025048    4.989076    0.346322    0.061998    0.029018    94.57359
3    0.030550    5.095669    0.393747    0.078002    0.523367    93.90921
4    0.033975    5.060023    0.863367    0.210289    0.510140    93.35618
5    0.036766    4.893658    1.822371    1.021718    0.496398    91.76586
6    0.039315    4.420643    2.616759    2.677389    0.682487    89.60272
7    0.041672    3.935794    3.214468    4.964552    1.002241    86.88294
8    0.043915    3.673747    3.811227    7.713501    1.365792    83.43573
9    0.046110    3.718385    4.378800    10.66683    1.713960    79.52202
10    0.048284    4.057258    4.878188    13.55200    2.022647    75.48991

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kmlxzbq

2012-3-13 12:03:41

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