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1、关于上证综指的吋间序列模型分析统计9109182047何黎松利润率的时间序列模型建立一、输入数据、取对数后计算利润率。如图NA0.011774-0.008556-0.0190600.0010080.0052280.018875-0.0314320.0134290.0026720.0040070.003015-0.029703仃仃仃999Q二、平稳性检验NullHypothesis:X1hasaunitrootExogenous:ConstantLagLength:0(AutomaticbasedonSIC.MAXLJG=18)t-StatisticProb*AugmentedDi
2、cke^-Fullerteststatistic・22.828660.0000Testcriticalvalues:1%level-3.4428695%level-2.86695410%level-2.569715*MacKinnon(1996)sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(X1)Method:LeastSquaresDate:04/18/11Time:15:08Sample(adjusted):1/06/201012/23/2011Includedobservations:5
3、13afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.X1(-1)-1.0089640.044197・22.828660.0000C-0.0006920.000577・1.1991240.2310F?・squared0.504916Meandependentvar・2.04E-05AdjustedR-squared0.503947S.D.dependentvar0.018523S.E.ofregression0.013046Akaikeinfocriterion-5.836780Sumsquaredresid0.
4、086971Schwarzcriterion-5.820249Loglikelihood1499.134HannarnQuinncriter.-5.830300F-statistic521.1476Durbin-Watsonstat仁997385Prob(F-statistic)0.000000通过检验，可知平稳。Date:04/18/11Time:15:14Sample:1/01/201012/31/2012Includedobservations:514AutocorrelationPartialCorrelationACPACQ-StatProbi1i11-0.009-0.0
5、090.04150.839i1i12-0.019-0.0200.23800.888ijli
6、
7、30.0390.0391.02510.795■■i14-0.019-0.0191.21630.8751nii
8、
9、50.0380.0401.97890.8521ii16-0.022-0.0232.22190.8981)i370.0760.0795.26750.627
10、[118-0.050-0.0546.58000.583111190.0160.0236.71960.6661)1】
11、100.0680.0579.12110.521111111-0.015-0.0059.24780.5991111
12、120.0120.0049.32030.6751]
13、1]
14、130.0410.04510.2270.6751111140.0130.00810.3230.7381111150.0020.00710.3260.799111116-0.002-0.00710.3280.849
15、[1'[117-0.050-0.05811.6420.8211111180.0100.01411.6920.8631]
16、111190.0410.03612.5920.859111120-0.010-0.01512.6440.892111121-0.009-0.00612.6880.91911122-0.048-0.
17、05013.9220.904匚1□123-0.100-0.10919.3200.683匚1□124-0.114-0.11626.3140.3371111250.003-0.00726.3180.39111126-0.026-0.03226.6740.427111127-0.037-0.02127.4390.4401)11】
18、280.0520.05028.9410.416相关性很差，近乎不相关,建模失败。关于价格时间序列模型的建立步骤：输入数据，作图如下:3,400三、
