stata操作VAR模型的相关问题

15493

收藏 2015-05-08

一共三个变量，10年季度数据，首先做了单位根检验，有两个平稳，另一个不平稳的一阶差分后平稳

这种三个变量不同阶平稳的情况下能建立VAR模型么？需要进行协整检验么？或者说建立VAR模型的条件是什么，在网上说法不一，有人说平稳性检验通过了就行
VAR的自回归模型多数不显著Equation Parms RMSE R-sq chi2 P>chi2

HPI 10 .062757 0.2355 11.08934 0.2696
SCI 10 .135771 0.4827 33.59453 0.0001
dZ 10 .247857 0.3933 23.34159 0.0055

Coef. Std. Err. z P>z [95% Conf. Interval]

HPI
HPI
L1. .0545719 .1572374 0.35 0.729 -.2536077 .3627515
L2. .0737334 .1672005 0.44 0.659 -.2539735 .4014403
L3. -.125158 .1726791 -0.72 0.469 -.4636027 .2132867

SCI
L1. .0885836 .0831342 1.07 0.287 -.0743565 .2515237
L2. -.0904853 .1113523 -0.81 0.416 -.3087319 .1277613
L3. .1850321 .0920774 2.01 0.044 .0045638 .3655004

dZ
L1. -.0159041 .0437893 -0.36 0.716 -.1017295 .0699214
L2. .0225549 .0463901 0.49 0.627 -.0683681 .1134779
L3. -.0655927 .0384181 -1.71 0.088 -.1408907 .0097053

_cons .0323871 .0147749 2.19 0.028 .0034289 .0613454

SCI
HPI
L1. -.469933 .3401739 -1.38 0.167 -1.136662 .1967957
L2. -.2909184 .3617285 -0.80 0.421 -.9998931 .4180564
L3. .0558495 .3735811 0.15 0.881 -.676356 .788055

SCI
L1. .8395561 .179856 4.67 0.000 .4870447 1.192067
L2. -.28684 .2409043 -1.19 0.234 -.7590038 .1853238
L3. -.0306877 .199204 -0.15 0.878 -.4211204 .359745

dZ
L1. -.1399581 .0947356 -1.48 0.140 -.3256365 .0457202
L2. .0225914 .1003624 0.23 0.822 -.1741152 .219298
L3. -.0305472 .0831152 -0.37 0.713 -.19345 .1323557

_cons .0407634 .0319646 1.28 0.202 -.0218861 .103413

dZ
HPI
L1. -1.430894 .6210086 -2.30 0.021 -2.648049 -.21374
L2. -1.127292 .6603577 -1.71 0.088 -2.421569 .1669854
L3. .1327449 .6819954 0.19 0.846 -1.203942 1.469431

SCI
L1. -.1562158 .3283383 -0.48 0.634 -.7997471 .4873155
L2. -.4768805 .4397857 -1.08 0.278 -1.338845 .3850837
L3. .0779987 .3636593 0.21 0.830 -.6347603 .7907578

dZ
L1. .1261806 .1729457 0.73 0.466 -.2127867 .4651478
L2. .0441936 .1832177 0.24 0.809 -.3149065 .4032937
L3. -.2342119 .151732 -1.54 0.123 -.5316011 .0631774

_cons .0467593 .0583534 0.80 0.423 -.0676113 .1611299

这个是联合显著性结果
Equation: HPI
+------------------------------------+
lag    chi2    df  Prob > chi2
-----+------------------------------
1 1.184315    3    0.757
2 .8861869    3    0.829
3 5.583168    3    0.134
+------------------------------------+
Equation: SCI
+------------------------------------+
lag    chi2    df  Prob > chi2
-----+------------------------------
1 25.72557    3    0.000
2 2.226255    3    0.527
3 .2874157    3    0.962
+------------------------------------+

Equation: dZ
+------------------------------------+
lag    chi2    df  Prob > chi2
-----+------------------------------
1 5.676612    3    0.128
2 4.115497    3    0.249
3 2.694216    3    0.441
+------------------------------------+

Equation: All
+------------------------------------+
lag    chi2    df  Prob > chi2
-----+------------------------------
1 36.85921    9    0.000
2 6.096328    9    0.730
3 8.392817    9    0.495
+------------------------------------+

进行自先关检验结果
lag  |    chi2 df Prob > chi2 |
  |------+-------------------------------|
  | 1  | 4.7089    9    0.85891 |
  | 2  | 7.7670    9    0.55778 |
  +--------------------------------------+
看不懂，是不是存在自相关？急需会这方面的大神指导，不胜感激

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敏农

2015-5-8 16:11:13

Equation: HPI
  +------------------------------------+
  | lag | chi2    df  Prob > chi2 |
  |-----+------------------------------|
  | 1 |  1.184315    3    0.757 |
  | 2 |  .8861869    3    0.829 |
  | 3 |  5.583168    3    0.134
不知道为什么发的格式是乱的