大家好,本人论文研究方向为股票收益率。 经过因子分析发现unemployment rate和return是负相关,GDP,GFCF, M2, CPI,interest rate,为正相关,接下来用eviews建立方程结果如下:
Dependent Variable: GPI
Method: Least Squares
Date: 03/21/10 Time: 15:09
Sample: 2000 2007
Included observations: 8
Estimation settings: tol= 0.00010
GPI=C(1)+C(2)*GDP+C(3)*RATE+C(4)*GFCF+C(5)*M+C(6)*CPI
Variable Coefficient Std. Error t-Statistic Prob.
C(1) 7457.928 7641.204 0.976015 0.4320
C(2) 0.003200 0.034912 0.091656 0.9353
C(3) 1990.966 279.9635 7.111520 0.0192
C(4) -0.560978 0.748010 -0.749961 0.5315
C(5) 0.135736 0.124857 1.087131 0.3905
C(6) -103.1280 82.77365 -1.245904 0.3390
R-squared 0.996367 Mean dependent var 1936.041
Adjusted R-squared 0.987283 S.D. dependent var 1000.237
S.E. of regression 112.7957 Akaike info criterion 12.40274
Sum squared resid 25445.75 Schwarz criterion 12.46232
Log likelihood -43.61096 Hannan-Quinn criter. 12.00089
F-statistic 109.6903 Durbin-Watson stat 2.885513
Prob(F-statistic) 0.009059
我想问一下,建立的方程是正确的吗?如果不正确,要怎样建立。这个结果说明了什么?因为C1,C2,C4,C5,C6均大宇0。05,但是Prob(f-statistics)小于0.05,我发现C3的coefficient是1990多,那不是rate改变一个单位,GPI就要改变1990个单位了吗?并且正负相关和因子分析解释出的不一样。是否需要进一步分析?要如何分析呢?LM TEST还是什么?望高手解答