建立var模型时,滞后阶数如何确定啊,aic的值最小还是绝对值最小?做出来的var模型检验发现两个单位根落在单位圆外是不是就不能做脉冲响应函数和方差分解了?望高手解答,这是滞后三阶的结果 LNS LNRE LNMV LNY LNS(-1) 0.436766 0.372696 0.013089 0.325504 (0.27669) (2.13172) (1.22089) (0.58039) (1.57857) (0.17483) (0.01072) (0.56084) LNS(-2) 0.226729 1.737837 3.198096 0.001792 (0.29354) (2.26154) (1.29524) (0.61574) (0.77241) (0.76843) (2.46912) (0.00291) LNS(-3) 0.496971 0.834187 -1.271408 0.897694 (0.25072) (1.93163) (1.10629) (0.52591) (1.98221) (0.43186) (-1.14925) (1.70692) LNRE(-1) 0.026114 -0.173394 -0.086515 -0.088038 (0.03790) (0.29200) (0.16723) (0.07950) (0.68903) (-0.59382) (-0.51733) (-1.10739) LNRE(-2) -0.014390 0.185067 -0.074397 0.051412 (0.03977) (0.30637) (0.17547) (0.08341) (-0.36188) (0.60406) (-0.42400) (0.61634) LNRE(-3) -0.045925 -0.321428 -0.018173 -0.079684 (0.04317) (0.33263) (0.19050) (0.09056) (-1.06374) (-0.96633) (-0.09539) (-0.87988) LNMV(-1) -0.074770 -0.382381 1.187297 -0.149568 (0.04061) (0.31290) (0.17920) (0.08519) (-1.84107) (-1.22206) (6.62539) (-1.75569) LNMV(-2) 0.103847 0.140586 -0.271277 0.090852 (0.06093) (0.46946) (0.26887) (0.12782) (1.70429) (0.29947) (-1.00896) (0.71080) LNMV(-3) -0.032854 0.183379 0.019533 0.095162 (0.04601) (0.35445) (0.20300) (0.09650) (-0.71413) (0.51736) (0.09622) (0.98609) LNY(-1) -0.106445 0.743270 0.416535 0.184435 (0.13501) (1.04018) (0.59573) (0.28320) (-0.78843) (0.71456) (0.69920) (0.65125) LNY(-2) 0.064939 -0.723747 -1.248727 -0.127401 (0.16396) (1.26320) (0.72347) (0.34393) (0.39607) (-0.57295) (-1.72603) (-0.37043) LNY(-3) 0.031946 0.693402 -0.738153 -0.092580 (0.14915) (1.14911) (0.65812) (0.31286) (0.21419) (0.60343) (-1.12160) (-0.29591) C -0.911106 -19.16131 -2.986014 -2.197932 (1.02974) (7.93361) (4.54377) (2.16004) (-0.88479) (-2.41521) (-0.65717) (-1.01754) R-squared 0.994050 0.945178 0.962816 0.964585 Adj. R-squared 0.991406 0.920813 0.946290 0.948846 Sum sq. resids 0.032686 1.940241 0.636424 0.143826 S.E. equation 0.034794 0.268069 0.153529 0.072985 F-statistic 375.9249 38.79218 58.25972 61.28318 Log likelihood 85.43592 3.763808 26.05785 55.80310 Akaike AIC -3.621796 0.461810 -0.652892 -2.140155 Schwarz SC -3.072910 1.010695 -0.104007 -1.591269 Mean dependent 8.329461 7.405163 9.619410 7.151495 S.D. dependent 0.375325 0.952620 0.662464 0.322697 Determinant Residual Covariance 4.02E-10 Log Likelihood 205.6836 Akaike Information Criteria -7.684180 Schwarz Criteria -5.488637
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1.建立var模型时,滞后阶数如何确定啊
在view里面找lag structure,选Lag length criteria,输入最大阶数,系统提供AIC,SIC等准则的最优阶数判别结果。
2.aic的值最小还是绝对值最小?
值最小,绝对值最大
3.做出来的var模型检验发现两个单位根落在单位圆外是不是就不能做脉冲响应函数和方差分解了?
如果不满足稳定条件,就不能做脉冲相应函数。