各位大侠帮帮忙啊！有知道的回个帖子

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收藏 2008-12-15

本人最近用VAR碰到了一些问题，选取了1984到2007年的数据做GDP FDI 和对外贸易之间的关系，同时考虑到消费和投资对GDP也会产生影响，因此在模型中加入了消费和投资变量，做VAR三期滞后模型（寻求AIC,SC 最小值，通过不断扩大滞后期来寻找AIC,SC的最小值）可做到三期滞后就出现了问题，没有整个模型的AIC,SC等信息。4期滞后干脆就弹不出结果了，由于以前没学过计量，自己在摸索着做，不知道哪方面出了问题，请高手指点下，非常感谢！&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;LGDP&nbsp;LFDI&nbsp; LEX&nbsp; LIM &nbsp;LC &nbsp;LI（分别是GDP,FDI ,出口，进口，消费，投资变量剔除价格变化因素后取对数后所得） &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LGDP(-1)&nbsp; 1.978659&nbsp; 6.939716&nbsp; 2.747096&nbsp;-0.150841&nbsp; 0.287377&nbsp; 27.74621 &nbsp; (0.73296)&nbsp; (0.29300)&nbsp; (2.19958)&nbsp; (2.05860)&nbsp; (0.34422)&nbsp; (26.2912) &nbsp; (2.69954)&nbsp; (23.6853)&nbsp; (1.24892)&nbsp;(-0.07327)&nbsp; (0.83487)&nbsp; (1.05534) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LGDP(-2)&nbsp; 0.772881&nbsp; 2.076340&nbsp; 3.388241&nbsp;-4.171900&nbsp; 1.642031&nbsp; 55.12349 &nbsp; (1.27911)&nbsp; (0.51132)&nbsp; (3.83855)&nbsp; (3.59253)&nbsp; (0.60071)&nbsp; (45.8816) &nbsp; (0.60423)&nbsp; (4.06076)&nbsp; (0.88269)&nbsp;(-1.16127)&nbsp; (2.73351)&nbsp; (1.20143) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LGDP(-3)&nbsp; 1.403802&nbsp;-6.700120&nbsp; 1.783024&nbsp;-30.98201&nbsp; 2.483997&nbsp;-7.421496 &nbsp; (2.30546)&nbsp; (0.92159)&nbsp; (6.91857)&nbsp; (6.47514)&nbsp; (1.08271)&nbsp; (82.6965) &nbsp; (0.60890)&nbsp;(-7.27014)&nbsp; (0.25772)&nbsp;(-4.78476)&nbsp; (2.29425)&nbsp;(-0.08974) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LFDI(-1)&nbsp;-0.164097&nbsp;-0.125468&nbsp;-0.214625&nbsp; 0.851960&nbsp;-0.039911&nbsp; 0.167655 &nbsp; (0.07069)&nbsp; (0.02826)&nbsp; (0.21215)&nbsp; (0.19855)&nbsp; (0.03320)&nbsp; (2.53579) &nbsp;(-2.32122)&nbsp;(-4.43984)&nbsp;(-1.01167)&nbsp; (4.29086)&nbsp;(-1.20215)&nbsp; (0.06612) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LFDI(-2)&nbsp; 0.037836&nbsp; 0.396957&nbsp; 0.004895&nbsp; 0.216346&nbsp;-0.082613&nbsp;-4.133952 &nbsp; (0.08066)&nbsp; (0.03224)&nbsp; (0.24204)&nbsp; (0.22653)&nbsp; (0.03788)&nbsp; (2.89310) &nbsp; (0.46910)&nbsp; (12.3120)&nbsp; (0.02023)&nbsp; (0.95504)&nbsp;(-2.18103)&nbsp;(-1.42890) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LFDI(-3)&nbsp; 0.011295&nbsp; 0.598604&nbsp; 0.000716&nbsp; 0.495986&nbsp;-0.031117&nbsp;-1.470246 &nbsp; (0.07911)&nbsp; (0.03162)&nbsp; (0.23740)&nbsp; (0.22219)&nbsp; (0.03715)&nbsp; (2.83765) &nbsp; (0.14277)&nbsp; (18.9290)&nbsp; (0.00302)&nbsp; (2.23228)&nbsp;(-0.83757)&nbsp;(-0.51812) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LEX(-1)&nbsp; 0.138667&nbsp; 1.460971&nbsp; 0.174571&nbsp;-1.021349&nbsp; 0.214430&nbsp; 0.434912 &nbsp; (0.26246)&nbsp; (0.10492)&nbsp; (0.78763)&nbsp; (0.73715)&nbsp; (0.12326)&nbsp; (9.41442) &nbsp; (0.52834)&nbsp; (13.9250)&nbsp; (0.22164)&nbsp;(-1.38554)&nbsp; (1.73968)&nbsp; (0.04620) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LEX(-2)&nbsp; 0.055789&nbsp; 0.106871&nbsp;-0.490499&nbsp;-0.470623&nbsp;-0.193695&nbsp;-8.190761 &nbsp; (0.17547)&nbsp; (0.07014)&nbsp; (0.52658)&nbsp; (0.49283)&nbsp; (0.08241)&nbsp; (6.29413) &nbsp; (0.31794)&nbsp; (1.52360)&nbsp;(-0.93148)&nbsp;(-0.95494)&nbsp;(-2.35050)&nbsp;(-1.30133) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LEX(-3)&nbsp;-0.403011&nbsp; 0.084839&nbsp;-1.307009&nbsp; 4.794673&nbsp;-0.418150&nbsp;-2.802414 &nbsp; (0.37379)&nbsp; (0.14942)&nbsp; (1.12172)&nbsp; (1.04983)&nbsp; (0.17554)&nbsp; (13.4078) &nbsp;(-1.07818)&nbsp; (0.56779)&nbsp;(-1.16518)&nbsp; (4.56710)&nbsp;(-2.38206)&nbsp;(-0.20901) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LIM(-1)&nbsp;-0.019972&nbsp;-1.702394&nbsp; 0.028553&nbsp;-0.507195&nbsp;-0.016297&nbsp; 2.340020 &nbsp; (0.06956)&nbsp; (0.02780)&nbsp; (0.20873)&nbsp; (0.19535)&nbsp; (0.03267)&nbsp; (2.49495) &nbsp;(-0.28713)&nbsp;(-61.2274)&nbsp; (0.13679)&nbsp;(-2.59628)&nbsp;(-0.49892)&nbsp; (0.93790) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LIM(-2)&nbsp;-0.119739&nbsp;-1.540913&nbsp; 0.055260&nbsp; 0.366167&nbsp; 0.081393&nbsp; 5.125754 &nbsp; (0.10853)&nbsp; (0.04339)&nbsp; (0.32570)&nbsp; (0.30483)&nbsp; (0.05097)&nbsp; (3.89304) &nbsp;(-1.10325)&nbsp;(-35.5170)&nbsp; (0.16966)&nbsp; (1.20124)&nbsp; (1.59688)&nbsp; (1.31665) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LIM(-3)&nbsp;-0.111859&nbsp;-1.750738&nbsp; 0.092513&nbsp;-0.030565&nbsp; 0.062147&nbsp; 0.891781 &nbsp; (0.10663)&nbsp; (0.04262)&nbsp; (0.31999)&nbsp; (0.29948)&nbsp; (0.05008)&nbsp; (3.82482) &nbsp;(-1.04903)&nbsp;(-41.0731)&nbsp; (0.28911)&nbsp;(-0.10206)&nbsp; (1.24104)&nbsp; (0.23316) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LC(-1)&nbsp;-2.272952&nbsp;-5.405281&nbsp;-6.122966&nbsp; 17.72915&nbsp;-2.123748&nbsp;-24.19668 &nbsp; (1.61088)&nbsp; (0.64394)&nbsp; (4.83417)&nbsp; (4.52434)&nbsp; (0.75651)&nbsp; (57.7821) &nbsp;(-1.41100)&nbsp;(-8.39406)&nbsp;(-1.26660)&nbsp; (3.91862)&nbsp;(-2.80729)&nbsp;(-0.41876) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LC(-2)&nbsp;-1.245688&nbsp; 1.407253&nbsp;-1.208937&nbsp; 12.98590&nbsp;-0.426137&nbsp;-22.91775 &nbsp; (0.88667)&nbsp; (0.35444)&nbsp; (2.66084)&nbsp; (2.49030)&nbsp; (0.41640)&nbsp; (31.8045) &nbsp;(-1.40491)&nbsp; (3.97036)&nbsp;(-0.45434)&nbsp; (5.21460)&nbsp;(-1.02338)&nbsp;(-0.72058) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LC(-3)&nbsp; 1.715911&nbsp; 6.787142&nbsp; 4.281920&nbsp;-5.782857&nbsp; 0.401459&nbsp;-14.42704 &nbsp; (0.63836)&nbsp; (0.25518)&nbsp; (1.91569)&nbsp; (1.79291)&nbsp; (0.29979)&nbsp; (22.8979) &nbsp; (2.68799)&nbsp; (26.5973)&nbsp; (2.23518)&nbsp;(-3.22541)&nbsp; (1.33913)&nbsp;(-0.63006) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LI(-1)&nbsp; 0.015030&nbsp;-0.065636&nbsp; 0.039195&nbsp;-0.184881&nbsp; 0.023892&nbsp;-1.521088 &nbsp; (0.02240)&nbsp; (0.00895)&nbsp; (0.06722)&nbsp; (0.06291)&nbsp; (0.01052)&nbsp; (0.80345) &nbsp; (0.67100)&nbsp;(-7.33041)&nbsp; (0.58310)&nbsp;(-2.93880)&nbsp; (2.27128)&nbsp;(-1.89319) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LI(-2)&nbsp; 0.014332&nbsp;-0.132252&nbsp; 0.062752&nbsp;-0.248667&nbsp; 0.022954&nbsp;-1.763837 &nbsp; (0.03056)&nbsp; (0.01222)&nbsp; (0.09170)&nbsp; (0.08582)&nbsp; (0.01435)&nbsp; (1.09608) &nbsp; (0.46901)&nbsp;(-10.8270)&nbsp; (0.68432)&nbsp;(-2.89743)&nbsp; (1.59951)&nbsp;(-1.60922) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LI(-3)&nbsp;-0.490610&nbsp; 0.264518&nbsp;-1.062964&nbsp; 5.446195&nbsp;-0.686216&nbsp; 2.294179 &nbsp; (0.47294)&nbsp; (0.18906)&nbsp; (1.41928)&nbsp; (1.32831)&nbsp; (0.22211)&nbsp; (16.9644) &nbsp;(-1.03736)&nbsp; (1.39915)&nbsp;(-0.74895)&nbsp; (4.10009)&nbsp;(-3.08959)&nbsp; (0.13524) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; C&nbsp;-4.335514&nbsp;-11.33833&nbsp;-12.54378&nbsp; 41.72771&nbsp;-5.086168&nbsp;-97.01103 &nbsp; (3.13931)&nbsp; (1.25492)&nbsp; (9.42089)&nbsp; (8.81708)&nbsp; (1.47430)&nbsp; (112.606) &nbsp;(-1.38104)&nbsp;(-9.03511)&nbsp;(-1.33149)&nbsp; (4.73260)&nbsp;(-3.44989)&nbsp;(-0.86151) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;R-squared&nbsp; 0.999612&nbsp; 0.999990&nbsp; 0.998185&nbsp; 0.998832&nbsp; 0.999885&nbsp; 0.945935 &nbsp;Adj. R-squared&nbsp; 0.996123&nbsp; 0.999903&nbsp; 0.981847&nbsp; 0.988316&nbsp; 0.998853&nbsp; 0.459346 &nbsp;Sum sq. resids&nbsp; 0.003464&nbsp; 0.000554&nbsp; 0.031195&nbsp; 0.027324&nbsp; 0.000764&nbsp; 4.456777 &nbsp;S.E. equation&nbsp; 0.041617&nbsp; 0.016636&nbsp; 0.124889&nbsp; 0.116885&nbsp; 0.019544&nbsp; 1.492779 &nbsp;F-statistic&nbsp; 286.5048&nbsp; 11438.20&nbsp; 61.09755&nbsp; 94.98317&nbsp; 968.2445&nbsp; 1.944013 &nbsp;Log likelihood&nbsp; 61.65612&nbsp; 80.91167&nbsp; 38.57865&nbsp; 39.96966&nbsp; 77.52831&nbsp;-13.52169 &nbsp;Akaike AIC&nbsp;-4.062488&nbsp;-5.896350&nbsp;-1.864633&nbsp;-1.997110&nbsp;-5.574125&nbsp; 3.097304 &nbsp;Schwarz SC&nbsp;-3.117443&nbsp;-4.951306&nbsp;-0.919589&nbsp;-1.052066&nbsp;-4.629081&nbsp; 4.042348 &nbsp;Mean dependent&nbsp; 2.919306&nbsp;-0.322009&nbsp; 0.945753&nbsp; 0.415736&nbsp; 1.871984&nbsp; 2.127000 &nbsp;S.D. dependent&nbsp; 0.668402&nbsp; 1.687915&nbsp; 0.926941&nbsp; 1.081324&nbsp; 0.576975&nbsp; 2.030185 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;Determinant Residual Covariance&nbsp;&nbsp; 0.000000&nbsp;&nbsp;&nbsp;&nbsp;这部分本来该出现AIC,SC&nbsp;等信息的，结果做出来是这麽个结果请各位多给指教一下。 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

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ermutuxia

2012-12-18 11:03:56

你的滞后阶数选取的太长

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