看不太懂SAS 做Granger因果检验的结果,所以想请教一下各位~
希望大家能解释一下~或者给点参考的资料也好~非常谢谢~
Granger-Causality Wald Test
Test DF Chi-Square Pr > ChiSq
1 5 25.91 <.0001
2 5 19.00 0.0019
Test 1: Group 1 Variables: QH
Group 2 Variables: XH
Test 2: Group 1 Variables: XH
Group 2 Variables: QH
The VARMAX Procedure
Type of Model ARX(5,0)
Estimation Method Least Squares Estimation
Model Parameter Estimates
Standard
Equation Parameter Estimate Error t Value Pr > |t| Variable
QH CONST1 245.12826 84.46389 2.90 0.0063 1
XL0_1_1 0.78844 0.06042 13.05 0.0001 XH(t)
AR1_1_1 0.34231 0.09001 3.80 0.0005 QH(t-1)
AR2_1_1 -0.12372 0.10119 -1.22 0.2294 QH(t-2)
AR3_1_1 -0.07517 0.10044 -0.75 0.4591 QH(t-3)
AR4_1_1 0.08013 0.10199 0.79 0.4372 QH(t-4)
AR5_1_1 -0.12002 0.06891 -1.74 0.0901 QH(t-5)
Variance
Estimate
for the
Innovation
QH
11803.65677
Information
Criteria
AICC 9.587372
HQC 9.629794
AIC 9.524065
SBC 9.810772
FPEC 13725.18