MA(2)的输入结果如下
Dependent Variable: Y2
Method: Least Squares
Date: 11/04/09 Time: 11:58
Sample: 1 296
Included observations: 296
Convergence achieved after 15 iterations
MA Backcast: -1 0
Variable Coefficient Std. Error t-Statistic Prob.
MA(1) -0.847709 0.051131 -16.57931 0.0000
MA(2) 0.485902 0.051287 9.474144 0.0000
R-squared 0.625188 Mean dependent var -0.009856
Adjusted R-squared 0.623913 S.D. dependent var 1.900770
S.E. of regression 1.165665 Akaike info criterion 3.151194
Sum squared resid 399.4797 Schwarz criterion 3.176129
Log likelihood -464.3767 Hannan-Quinn criter. 3.161177
Durbin-Watson stat 2.326859
Inverted MA Roots .42+.55i .42-.55i
要分析是否使用这个模型。我试过用residual test里面的Q-statistic看结果,发现probability一项是空白的,没有办法判断Q-statistic的结果是接受还是拒绝
求指导。