11第十一讲VAR模型分析(未完)

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1、Nu=Hypoihes可EXPOhasauniirooiExogenousconstantLagLengiF4(AuomaiicbasedonSQMAXLAGH9)Testcriticalvalues:AugmentedDickey-Fullerteststatistic1%level-3.6267849.2847231.0000丁sgrnsncprob、★MacKinnon(1996)onelsidedPNaces.AugmentedDickey,FU=erTesiEquationDependenivariab-eD(E

2、XPO)MeihockLeasiSquaresDa@07=3、二Time二Q47samp-e(adjusted)二956199」-nc-udedobservations-36afQradjustmentsCoefficieniss・ErrorT-staiisticprob・EXPO(A)1.6261950LL751479.2847230.0000Dmxpoz))匕.9586330.26955172662840.0000D(EXPO(-2))-3.0582020.307329-9.9509200.0000D(EXPO(-3)

3、)0.2770490.5024340.5514140.5854D(EXPO(-4))-3.5774800.502515-7.1191460.0000C-86.0143113.89252-6.1914120.0000R-squared0.960047Meandependentvar105.0528AdjustedR-squared0.953388S・D.dependentvar228.0100S・E.ofregression49.22676Akaikeinfocriterion10.78176Sumsquaredresid7

4、2698.22Schwarzcriterion11.04568Loglikelihood-188.0717Hannan-Quinncriter.10.87388F-statistic144.1770Durbin-Watsonstat1.770561Prob(F-statistic)0.000000NullHypothesis:D(EXPO)hasaunitrootExogenous:ConstantLagLength:5(AutomaticbasedonSIC,MAXLAG=9)t-StatisticProb.*Augme

5、ntedDickey-Fullerteststatistic5.8242901.0000Testcriticalvalues:1%level-3.6394075%level-2.95112510%level-2.614300*MacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(EXPO,2)Method:LeastSquaresDate:07/13/11Time:16:48Sample(adjusted

6、):19581991Includedobservations:34afteradjustmentsCoefficientStd.Errort-StatisticProb.D(EXPO(-1))3.2692950.5613215.8242900.0000D(EXPO(-1),2)-4.4112500.772834-5.7078900.0000D(EXPO(-2),2)-4.8454340.520958-9.3010160.0000D(EXPO(-3),2)-2.9841411.081632-2.7589230.0103D(E

7、XPO(-4),2)-4.0801600.502332-8.1224450.0000D(EXPO(-5),2)-2.9103920.996840-2.9196190.0070C-4.07698711.13095-0.3662750.7170R-squared0.896297Meandependentvar24.88235AdjustedR-squared0.873252S・D.dependentvar154.1361S・E・ofregression54.87502Akaikeinfocriterion11.02923Sum

8、squaredresid81304.24Schwarzcriterion11.34349Loglikelihood-180.4970Hannan・Quinncriter.11.13640F-statistic38.89326Durbin-Watsonstat2.059840Prob(F-statisti