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本人stata新手,用stata做var输出结果如下图所示,看不太懂,求高手详解!
. var ST SCF S RGDP GC RM IF E MS I ECI H
. var ST SCF S RGDP GC RM IF E MS I ECI H
Vector autoregression
Sample: 2002q3 - 2011q4 No. of obs = 38
Log likelihood = 167.5676 AIC = 6.970128
FPE = 4.03e-11 HQIC = 11.56992
Det(Sigma_ml) = 2.40e-19 SBIC = 19.89844
Equation Parms RMSE R-sq chi2 P>chi2
ST 25 .329975 0.9294 499.9453 0.0000
SCF 25 846.476 0.8895 305.8335 0.0000
S 25 327.144 0.9692 1196.983 0.0000
RGDP 25 .077911 0.9529 769.4235 0.0000
GC 25 .026392 0.9520 753.1242 0.0000
RM 25 .011193 0.8406 200.4573 0.0000
IF 25 .010955 0.9414 610.0851 0.0000
E 25 .512362 0.8810 281.2091 0.0000
MS 25 .007082 0.9969 12274.79 0.0000
I 25 .196242 0.6559 72.42792 0.0000
ECI 25 5.98876 0.8865 296.823 0.0000
H 25 1.00318 0.9733 1385.685 0.0000
Coef. Std. Err. z P>z [95% Conf. Interval]
ST
ST
L1. .3462916 .1436855 2.41 0.016 .0646732 .62791
L2. .2456116 .1955588 1.26 0.209 -.1376767 .6288999
SCF
L1. .0000514 .0000467 1.10 0.270 -.00004 .0001429
L2. .0000561 .0000849 0.66 0.508 -.0001102 .0002225
S
L1. -.0001508 .0001373 -1.10 0.272 -.00042 .0001184
L2. .0001829 .000179 1.02 0.307 -.0001678 .0005337
RGDP
L1. -.1076938 .9649007 -0.11 0.911 -1.998864 1.783477
L2. -1.058981 .4930006 -2.15 0.032 -2.025245 -.0927176
GC
L1. .4182053 2.263452 0.18 0.853 -4.01808 4.854491
L2. -.6234973 1.693693 -0.37 0.713 -3.943074 2.696079
RM
L1. -4.825222 1.67623 -2.88 0.004 -8.110572 -1.539871
L2. -1.375119 .4979146 -2.76 0.006 -2.351014 -.3992247
IF
L1. -4.486542 7.127271 -0.63 0.529 -18.45574 9.482652
L2. 13.41866 5.060722 2.65 0.008 3.499826 23.33749
E
L1. -.1711611 .0992109 -1.73 0.084 -.3656109 .0232888
L2. .2615643 .1123198 2.33 0.020 .0414216 .481707
MS
L1. -26.65476 10.48657 -2.54 0.011 -47.20805 -6.101468
L2. 25.98153 10.33184 2.51 0.012 5.731493 46.23156
I
L1. .1029162 .276038 0.37 0.709 -.4381083 .6439406
L2. -.2404451 .2624362 -0.92 0.360 -.7548106 .2739205
ECI
L1. .0258981 .0125754 2.06 0.039 .0012508 .0505454
L2. -.0141208 .0112331 -1.26 0.209 -.0361373 .0078957
H
L1. .0330943 .0527814 0.63 0.531 -.0703553 .1365439
L2. -.0613228 .0427216 -1.44 0.151 -.1450557 .02241
_cons 1.869848 2.703447 0.69 0.489 -3.428812 7.168508
主要是不太明白表上部各个指标和判断标准!不胜感激!
最佳答案
马丘比丘 查看完整内容
最上面是信息准则。中间的Equation就是下面的各个具体回归方程的一些R2,均方误差的信息,共12个变量,每个两期滞后,加一个截距就是25个参数了。下面是回归结果,默认的二阶滞后,你应该只列了第一个变量做被解释变量的回归结果吧。
做VAR很少有人放这么多变量进去的。。。一般也就三四个吧