求教：对变量进行季节调整

zh2007

4442

收藏 2009-08-19

有哪位大师知道如何对变量进行季节调整吗？麻烦详细说下eviews 里的命令

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lvshui86

2009-8-28 04:46:24

同问，请教高手指导

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yinjb

2009-8-28 10:09:21

seas xxx

quick--series statistics--seasonal adjustment 菜单操作

任何一本eviews书里都有详细的例子。

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liuhanzhong

2009-8-28 10:49:39

先打开你要进行季节调整的序列，然后在序列窗口上点击“proc”键，就可以做季节调整了。

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zh2007

2009-8-28 11:59:37

谢谢大家详细的指点

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zh2007

2009-8-28 12:00:45

再请教各位一个问题：经过Johansen协整检验发现我的多变量之间具有2个协整向量，那么我应该如何得到协整方程呢？如何选择最优的呢？因为在Johansen协整检验窗口的下方出现了5个协整方程。所以很困惑不知道该选择哪一个？

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zh2007

2009-8-28 12:09:03

我把结果发上来，麻烦给我分析一下
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

Y X1 X2 LIM VOL XN*X1 XN
-2.380911 -0.327346    6.362280 -0.399609    4063.324 -19.41976    88.00033
5.485567    11.27674 -22.43430    6.267251    476.6947    14.78420 -64.73811
2.800234    19.61966 -4.601036 -0.180901    1208.949 -14.26428    64.85822
-0.038478    17.67566 -9.161692    3.134561 -203.3508    8.287484 -34.68050
-6.940733 -14.76706    23.27956 -5.528194    266.7084 -8.249200    39.23784
10.99104 -2.198895 -20.66629 -1.972672    89.64903    12.58971 -56.84724
1.838078    3.515723 -5.578355    0.644451 -400.0524 -29.49594    136.6651

Unrestricted Adjustment Coefficients (alpha):

D(Y) -0.000522 -5.44E-05 -0.002875 -0.001342 -0.000181 -0.001984    0.000106
D(X1) -0.001465    0.000605 -0.001402    7.82E-05    0.001690    0.000773 -0.000447
D(X2) -0.000230    0.004435 -0.003348 -0.000887 -0.000501    0.001291    0.000271
D(LIM)    0.000809 -0.018016    0.002405 -0.017227    0.019736    0.008875    0.004184
D(VOL) -6.19E-05 -7.93E-06 -2.47E-06 -2.66E-07 -5.44E-06    1.45E-06    1.42E-06
D(XN*X1) -0.013522 -0.009885    0.008138 -0.081934 -0.028700    0.013915 -0.009464
D(XN) -0.002735 -0.002464    0.001616 -0.017952 -0.006506    0.003082 -0.002063

1 Cointegrating Equation(s): Log likelihood    4088.562

Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 LIM VOL XN*X1 XN
1.000000    0.137488 -2.672204    0.167839 -1706.626    8.156441 -36.96077
   (1.25251)    (0.67047)    (0.35841)    (181.750)    (1.76092)    (8.03905)

Adjustment coefficients (standard error in parentheses)
D(Y)    0.001242
   (0.00244)
D(X1)    0.003488
   (0.00211)
D(X2)    0.000548
   (0.00289)
D(LIM) -0.001927
   (0.02400)
D(VOL)    0.000147
   (1.6E-05)
D(XN*X1)    0.032194
   (0.06187)
D(XN)    0.006513
   (0.01359)

2 Cointegrating Equation(s): Log likelihood    4109.621

Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 LIM VOL XN*X1 XN
1.000000    0.000000 -2.570606    0.097980 -1835.176    8.547879 -38.76405
   (0.53495)    (0.29257)    (191.554)    (1.86769)    (8.51451)
0.000000    1.000000 -0.738961    0.508105    934.9928 -2.847078    13.11590
   (0.31057)    (0.16986)    (111.210)    (1.08432)    (4.94323)

Adjustment coefficients (standard error in parentheses)
D(Y)    0.000944 -0.000442
   (0.00612)    (0.01155)
D(X1)    0.006806    0.007299
   (0.00528)    (0.00997)
D(X2)    0.024875    0.050084
   (0.00697)    (0.01314)
D(LIM) -0.100753 -0.203422
   (0.05970)    (0.11263)
D(VOL)    0.000104 -6.91E-05
   (4.1E-05)    (7.7E-05)
D(XN*X1) -0.022030 -0.107043
   (0.15533)    (0.29303)
D(XN) -0.007002 -0.026888
   (0.03412)    (0.06437)

3 Cointegrating Equation(s): Log likelihood    4124.078

Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 LIM VOL XN*X1 XN
1.000000    0.000000    0.000000 -1.469475 -3639.047    11.20313 -51.38338
   (0.23592)    (427.603)    (3.76411)    (17.2718)
0.000000    1.000000    0.000000    0.057516    416.4419 -2.083784    9.488282
   (0.02742)    (49.6987)    (0.43749)    (2.00744)
0.000000    0.000000    1.000000 -0.609761 -701.7300    1.032929 -4.909089
   (0.05951)    (107.859)    (0.94946)    (4.35666)

Adjustment coefficients (standard error in parentheses)
D(Y) -0.007108 -0.056854    0.011130
   (0.00660)    (0.02261)    (0.02374)
D(X1)    0.002880 -0.020210 -0.016438
   (0.00579)    (0.01985)    (0.02084)
D(X2)    0.015499 -0.015611 -0.085548
   (0.00750)    (0.02570)    (0.02699)
D(LIM) -0.094019 -0.156242    0.398253
   (0.06591)    (0.22591)    (0.23726)
D(VOL)    9.69E-05 -0.000118 -0.000204
   (4.5E-05)    (0.00016)    (0.00016)
D(XN*X1)    0.000759    0.052627    0.098287
   (0.17146)    (0.58769)    (0.61720)
D(XN) -0.002477    0.004821    0.030433
   (0.03767)    (0.12910)    (0.13559)

4 Cointegrating Equation(s): Log likelihood    4133.421

Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 LIM VOL XN*X1 XN
1.000000    0.000000    0.000000    0.000000    2252.640 -11.73040    52.55994
   (482.756)    (4.32718)    (19.9104)
0.000000    1.000000    0.000000    0.000000    185.8391 -1.186157    5.419902
   (35.8690)    (0.32151)    (1.47935)
0.000000    0.000000    1.000000    0.000000    1743.035 -8.483380    38.22237
   (241.257)    (2.16251)    (9.95021)
0.000000    0.000000    0.000000    1.000000    4009.382 -15.60662    70.73500
   (500.008)    (4.48183)    (20.6219)

Adjustment coefficients (standard error in parentheses)
D(Y) -0.007056 -0.080581    0.023429 -0.003820
   (0.00656)    (0.02853)    (0.02531)    (0.00697)
D(X1)    0.002877 -0.018827 -0.017154    0.004875
   (0.00579)    (0.02518)    (0.02234)    (0.00616)
D(X2)    0.015533 -0.031294 -0.077420    0.025710
   (0.00748)    (0.03254)    (0.02887)    (0.00796)
D(LIM) -0.093356 -0.460745    0.556084 -0.167667
   (0.06532)    (0.28406)    (0.25198)    (0.06945)
D(VOL)    9.69E-05 -0.000122 -0.000202 -2.53E-05
   (4.5E-05)    (0.00020)    (0.00017)    (4.8E-05)
D(XN*X1)    0.003912 -1.395604    0.848937 -0.314846
   (0.16625)    (0.72298)    (0.64132)    (0.17677)
D(XN) -0.001786 -0.312499    0.194907 -0.070913
   (0.03653)    (0.15885)    (0.14091)    (0.03884)

5 Cointegrating Equation(s): Log likelihood    4140.605

Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 LIM VOL XN*X1 XN
1.000000    0.000000    0.000000    0.000000    0.000000 -50.60680    194.2165
   (102.875)    (473.350)
0.000000    1.000000    0.000000    0.000000    0.000000 -4.393397    17.10634
   (8.57649)    (39.4622)
0.000000    0.000000    1.000000    0.000000    0.000000 -38.56495    147.8326
   (80.0490)    (368.321)
0.000000    0.000000    0.000000    1.000000    0.000000 -84.80113    322.8637
   (184.236)    (847.708)
0.000000    0.000000    0.000000    0.000000    1.000000    0.017258 -0.062885
   (0.04620)    (0.21256)

Adjustment coefficients (standard error in parentheses)
D(Y) -0.005797 -0.077902    0.019205 -0.002817 -5.396922
   (0.00952)    (0.03207)    (0.03428)    (0.00888)    (4.25056)
D(X1) -0.008855 -0.043788    0.022194 -0.004470 -6.925070
   (0.00831)    (0.02800)    (0.02992)    (0.00775)    (3.71037)
D(X2)    0.019009 -0.023899 -0.089078    0.028478 -2.823137
   (0.01085)    (0.03657)    (0.03908)    (0.01012)    (4.84666)
D(LIM) -0.230336 -0.752184    1.015522 -0.276770    6.374983
   (0.09362)    (0.31557)    (0.33724)    (0.08733)    (41.8196)
D(VOL)    0.000135 -4.20E-05 -0.000329    4.71E-06 -0.259534
   (6.6E-05)    (0.00022)    (0.00024)    (6.1E-05)    (0.02927)
D(XN*X1)    0.203112 -0.971787    0.180811 -0.156186 -40.81045
   (0.24024)    (0.80978)    (0.86539)    (0.22410)    (107.313)
D(XN)    0.043370 -0.216426    0.043453 -0.034947 -8.420122
   (0.05277)    (0.17787)    (0.19009)    (0.04923)    (23.5722)

6 Cointegrating Equation(s): Log likelihood    4144.462

Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 LIM VOL XN*X1 XN
1.000000    0.000000    0.000000    0.000000    0.000000    0.000000    2.103381
   (0.88701)
0.000000    1.000000    0.000000    0.000000    0.000000    0.000000    0.428161
   (0.10181)
0.000000    0.000000    1.000000    0.000000    0.000000    0.000000    1.432671
   (0.52142)
0.000000    0.000000    0.000000    1.000000    0.000000    0.000000    0.942367
   (0.54716)
0.000000    0.000000    0.000000    0.000000    1.000000    0.000000    0.002631
   (0.00059)
0.000000    0.000000    0.000000    0.000000    0.000000    1.000000 -3.796191
   (0.17463)

Adjustment coefficients (standard error in parentheses)
D(Y) -0.027604 -0.073539    0.060209    0.001097 -5.574794    0.015732
   (0.01431)    (0.03176)    (0.03947)    (0.00898)    (4.20009)    (0.03246)
D(X1) -0.000361 -0.045487    0.006224 -0.005994 -6.855791    0.053827
   (0.01261)    (0.02800)    (0.03479)    (0.00792)    (3.70229)    (0.02862)
D(X2)    0.033193 -0.026737 -0.115748    0.025933 -2.707441    0.130825
   (0.01645)    (0.03651)    (0.04538)    (0.01032)    (4.82873)    (0.03732)
D(LIM) -0.132790 -0.771699    0.832107 -0.294277    7.170626 -0.510206
   (0.14213)    (0.31551)    (0.39211)    (0.08921)    (41.7248)    (0.32249)
D(VOL)    0.000151 -4.51E-05 -0.000358    1.86E-06 -0.259404    0.001180
   (0.00010)    (0.00022)    (0.00028)    (6.3E-05)    (0.02927)    (0.00023)
D(XN*X1)    0.356047 -1.002384 -0.106752 -0.183635 -39.56304 -0.266726
   (0.36530)    (0.81090)    (1.00777)    (0.22928)    (107.237)    (0.82884)
D(XN)    0.077248 -0.223204 -0.020248 -0.041028 -8.143796 -0.062662
   (0.08024)    (0.17812)    (0.22136)    (0.05036)    (23.5551)    (0.18206)

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