谁能帮我做一下数据分析

jungongqiye

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收藏 2009-12-07

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附件是关于M1、M2、同业拆借利率、上交所和深交所流通股市值的月数据，能不能帮我做一下ADF检验，再用VAR分析。

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red2005070313

2009-12-7 22:30:56

Null Hypothesis: D(MVM) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 7 (Automatic based on SIC, MAXLAG=11)

t-Statistic    Prob.*

Augmented Dickey-Fuller test statistic -3.907384    0.0157
Test critical values: 1% level -4.065702
5% level -3.461686
10% level -3.157121

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(MVM,2)
Method: Least Squares
Date: 12/08/09 Time: 00:06
Sample (adjusted): 2002M04 2009M07
Included observations: 88 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(MVM(-1)) -0.597363 0.152880 -3.907384 0.0002
D(MVM(-1),2) -0.199910 0.153730 -1.300396 0.1973
D(MVM(-2),2) -0.018037 0.148057 -0.121824 0.9034
D(MVM(-3),2) 0.056592 0.149144 0.379445 0.7054
D(MVM(-4),2) 0.704653 0.149614 4.709807 0.0000
D(MVM(-5),2) 0.847902 0.152649 5.554593 0.0000
D(MVM(-6),2) 0.378660 0.158410 2.390373 0.0192
D(MVM(-7),2) 0.454311 0.122571 3.706507 0.0004
C -8.61E+10 7.43E+10 -1.158735 0.2501
@TREND(2001M07) 2.70E+09 1.30E+09 2.071465 0.0416

R-squared 0.630622       Mean dependent var 2.19E+10
Adjusted R-squared 0.588001       S.D. dependent var 4.71E+11
S.E. of regression 3.02E+11       Akaike info criterion 55.81217
Sum squared resid 7.12E+24       Schwarz criterion 56.09369
Log likelihood -2445.736       F-statistic 14.79620
Durbin-Watson stat 1.976559       Prob(F-statistic) 0.000000

mvm序列是一个一阶单整的。

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jungongqiye

2009-12-7 22:34:58

看一下别人上传的EViews教程

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yhtx99

2009-12-7 22:37:36

随便一个软件就可以搞定！

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jungongqiye

2009-12-7 22:41:42

不知道Eviews该怎么操作，希望能有EViews最终输出结果，拜托啦~~

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拜野如风

2009-12-7 22:44:31

4# jungongqiye
很简单么。。下一个软件就行。。好好学习吧

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jungongqiye

2009-12-7 22:49:01

别说这些空话，我要是实在在的结果。

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jixi1299

2009-12-7 22:59:34

可是你没有40个论坛币的样子

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jungongqiye

2009-12-7 23:08:57

我在下悬赏的帖子是系统已经扣除了40点论坛币，以备给提供最佳答案的人。否则我也发不上去，尽管放心好了。

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red2005070313

2009-12-7 23:49:34

Null Hypothesis: D(M1,2) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 10 (Automatic based on SIC, MAXLAG=11)

t-Statistic    Prob.*

Augmented Dickey-Fuller test statistic -5.736495    0.0000
Test critical values: 1% level -4.071006
5% level -3.464198
10% level -3.158586

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(M1,3)
Method: Least Squares
Date: 12/07/09 Time: 23:49
Sample (adjusted): 2002M08 2009M07
Included observations: 84 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(M1(-1),2) -7.079393 1.234097 -5.736495 0.0000
D(M1(-1),3) 5.115543 1.203463 4.250685 0.0001
D(M1(-2),3) 4.196291 1.156771 3.627591 0.0005
D(M1(-3),3) 3.724759 1.081551 3.443906 0.0010
D(M1(-4),3) 3.233796 0.994637 3.251231 0.0018
D(M1(-5),3) 2.819988 0.867995 3.248853 0.0018
D(M1(-6),3) 2.464192 0.723070 3.407960 0.0011
D(M1(-7),3) 2.271682 0.565157 4.019561 0.0001
D(M1(-8),3) 1.837467 0.415490 4.422407 0.0000
D(M1(-9),3) 1.355139 0.253077 5.354652 0.0000
D(M1(-10),3) 0.608621 0.129366 4.704649 0.0000
C -34472.70 50585.95 -0.681468 0.4978
@TREND(2001M07) 1067.408 860.6066 1.240297 0.2189

R-squared 0.912904       Mean dependent var -8122.381
Adjusted R-squared 0.898183       S.D. dependent var 585317.1
S.E. of regression 186767.4       Akaike info criterion 27.25450
Sum squared resid 2.48E+12       Schwarz criterion 27.63070
Log likelihood -1131.689       F-statistic 62.01577
Durbin-Watson stat 1.903413       Prob(F-statistic) 0.000000

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red2005070313

2009-12-7 23:53:16

Null Hypothesis: D(M1,2) has a unit root
Exogenous: None
Lag Length: 10 (Automatic based on SIC, MAXLAG=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.485988  0.0000
Test critical values: 1% level  -2.592782
5% level  -1.944713
10% level  -1.614233

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(M1,3)
Method: Least Squares
Date: 12/07/09 Time: 23:49
Sample (adjusted): 2002M08 2009M07
Included observations: 84 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(M1(-1),2) -6.652838 1.212696 -5.485988 0.0000
D(M1(-1),3) 4.719768 1.185063 3.982714 0.0002
D(M1(-2),3) 3.844643 1.142420 3.365351 0.0012
D(M1(-3),3) 3.439016 1.072594 3.206260 0.0020
D(M1(-4),3) 3.011201 0.990044 3.041480 0.0033
D(M1(-5),3) 2.661123 0.866707 3.070383 0.0030
D(M1(-6),3) 2.359588 0.723723 3.260348 0.0017
D(M1(-7),3) 2.218887 0.566901 3.914065 0.0002
D(M1(-8),3) 1.809193 0.417138 4.337155 0.0000
D(M1(-9),3) 1.344186 0.254247 5.286932 0.0000
D(M1(-10),3) 0.598771 0.129882 4.610125 0.0000

R-squared 0.909540    Mean dependent var  -8122.381
Adjusted R-squared 0.897148    S.D. dependent var  585317.1
S.E. of regression 187714.3    Akaike info criterion  27.24478
Sum squared resid 2.57E+12    Schwarz criterion  27.56310
Log likelihood -1133.281    Durbin-Watson stat  1.892390

由回归结果可以看出，m1序列是一个不带趋势项和常数项的二阶单整序列。

9# red2005070313

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red2005070313

2009-12-7 23:58:18

Null Hypothesis: M2 has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 3.103464  1.0000
Test critical values: 1% level  -4.056461
5% level  -3.457301
10% level  -3.154562

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(M2)
Method: Least Squares
Date: 12/08/09 Time: 00:00
Sample (adjusted): 2001M08 2009M07
Included observations: 96 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

M2(-1) 0.050025 0.016119 3.103464 0.0025
C -494828.5 189734.3 -2.608008 0.0106
@TREND(2001M07) -11329.57 6379.894 -1.775824 0.0790

R-squared 0.345665    Mean dependent var  441535.5
Adjusted R-squared 0.331594    S.D. dependent var  426203.8
S.E. of regression 348447.7    Akaike info criterion  28.39112
Sum squared resid 1.13E+13    Schwarz criterion  28.47125
Log likelihood -1359.774    F-statistic  24.56456
Durbin-Watson stat 1.915764    Prob(F-statistic)  0.000000

Null Hypothesis: D(M2) has a unit root
Exogenous: None
Lag Length: 2 (Automatic based on SIC, MAXLAG=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.781178  0.3752
Test critical values: 1% level  -2.590065
5% level  -1.944324
10% level  -1.614464

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(M2,2)
Method: Least Squares
Date: 12/07/09 Time: 23:58
Sample (adjusted): 2001M11 2009M07
Included observations: 93 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(M2(-1)) -0.055405 0.070925 -0.781178 0.4367
D(M2(-1),2) -0.707463 0.112234 -6.303489 0.0000
D(M2(-2),2) -0.466196 0.106068 -4.395256 0.0000

R-squared 0.412209    Mean dependent var  4849.022
Adjusted R-squared 0.399147    S.D. dependent var  471887.3
S.E. of regression 365782.0    Akaike info criterion  28.48919
Sum squared resid 1.20E+13    Schwarz criterion  28.57089
Log likelihood -1321.747    Durbin-Watson stat  1.828131

Null Hypothesis: D(M2,2) has a unit root
Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=11)

                     t-Statistic       Prob.*

Augmented Dickey-Fuller test statistic                      -13.30102       0.0000
Test critical values:       1% level             -2.590065
      5% level             -1.944324
      10% level             -1.614464

*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(M2,3)
Method: Least Squares
Date: 12/07/09 Time: 23:56
Sample (adjusted): 2001M11 2009M07
Included observations: 93 after adjustments

Variable       Coefficient       Std. Error       t-Statistic       Prob.

D(M2(-1),2)       -2.241476       0.168519       -13.30102       0.0000
D(M2(-1),3)       0.489713       0.101488       4.825323       0.0000

R-squared       0.789700          Mean dependent var             -15373.56
Adjusted R-squared       0.787389          S.D. dependent var             791585.1
S.E. of regression       364997.8          Akaike info criterion             28.47444
Sum squared resid       1.21E+13          Schwarz criterion             28.52891
Log likelihood       -1322.062          Durbin-Watson stat             1.832692

m2，是一个不带常数项和趋势项的二阶单整

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red2005070313

2009-12-8 00:05:09

Null Hypothesis: LL has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)

t-Statistic    Prob.*

Augmented Dickey-Fuller test statistic -3.356866    0.0635
Test critical values: 1% level -4.056461
5% level -3.457301
10% level -3.154562

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LL)
Method: Least Squares
Date: 12/08/09 Time: 00:02
Sample (adjusted): 2001M08 2009M07
Included observations: 96 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LL(-1) -0.224320 0.066824 -3.356866 0.0011
C 0.005113 0.001658 3.083468 0.0027
@TREND(2001M07) -9.68E-06 1.22E-05 -0.792820 0.4299

R-squared 0.108616       Mean dependent var -0.000122
Adjusted R-squared 0.089446       S.D. dependent var 0.003427
S.E. of regression 0.003270       Akaike info criterion -8.577328
Sum squared resid 0.000994       Schwarz criterion -8.497192
Log likelihood 414.7117       F-statistic 5.666060
Durbin-Watson stat 2.275303       Prob(F-statistic) 0.004765

趋势项没有通过t检验，去掉重来。
Null Hypothesis: LL has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)

t-Statistic    Prob.*

Augmented Dickey-Fuller test statistic -3.278112    0.0186
Test critical values: 1% level -3.499910
5% level -2.891871
10% level -2.583017

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LL)
Method: Least Squares
Date: 12/08/09 Time: 00:03
Sample (adjusted): 2001M08 2009M07
Included observations: 96 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LL(-1) -0.215734 0.065810 -3.278112 0.0015
C 0.004461 0.001437 3.104048 0.0025

R-squared 0.102591       Mean dependent var -0.000122
Adjusted R-squared 0.093044       S.D. dependent var 0.003427
S.E. of regression 0.003263       Akaike info criterion -8.591425
Sum squared resid 0.001001       Schwarz criterion -8.538001
Log likelihood 414.3884       F-statistic 10.74602
Durbin-Watson stat 2.280081       Prob(F-statistic) 0.001466

此次，该同业拆借利率在5%，10%的临界值下是平稳的。

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red2005070313

2009-12-8 00:11:16

还是自己好好学学吧我也是初学者今天恰好学了ADF检验就试试咯
大家交流交流哈

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kczhou23

2009-12-8 01:29:34

能给介绍一本入门的eviews书吗？（别说高铁梅的哈。。）
14# red2005070313

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rose214

2009-12-8 10:55:16

每个序列都有单位根，具体见附件。var模型采用的是滞后二阶

附件列表

M1.doc

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只需: 40 个论坛币马上下载

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jungongqiye

2009-12-8 18:33:56

谢谢诸位帮助

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