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1、实验一回归方程的拟合实验二邹检验及虚拟变量实验三线性回归中的问题实验四随机时间序列的特征观察实验五单位根检验实验六ARMA模型运用实验四随机时间序列的特征观察实验属性综合型实验时间2022.5.26实验目的1 .准确掌握随机过程的平稳性和非平稳性的特征和判断方法。2 .熟练掌握运用自相关分析判断随机过程的平稳性。3 .学会利用自相关分析图判断序列的季节性。4 .熟练掌握运用相关分析图判断齐次非平稳序列平稳化需要的差分次数。实验内容实验步骤1 .根据数据频率和时间范围，创建EVIEWS工作文件2 .录入数据，并对序列进性初步分析。绘制财政存款余额数据原始序列和对数序列的折线图，分析序列的基本趋势
2、。3 .利用相关分析图观察对数序列的随机特征。分别观察对数序列和一次差分后的对数序列的相关分析图，判断序列平稳性和季节性。4 .对财政存款余额对数序列进性季节调整，再观察相关分析图。分别观察季节调整后的对数序列和一次差分后序列的相关分析图，判断序列平稳性和平稳化需要的差分次数。实验结果分析1.NSAVEDate05y26718Time09:50iSample-199OMO12007M12Includedobservations,216AUtoCorrQIatiOr)PartialCorrelationACPACQ-StatProbII10985098521268OOOOIII209720021
3、420450.000III309580004623460000II(I40944-005082122OOOOIII50929-0020101370000III60.913-0.0221200.70.000III70.898-0.0171382.20.000III0882-0004155840000III90866-0033172900000III100849-003118937OOOOIII1108320013205280.000III120817004922067OOOOIII130801-002423555OOOOIII140785-0009249900000III150769001126
4、3750000III160753001727709OOOOIII170737-0004289940000III180721-0009302290000III190.705-0.0143141.50.000III200.688-0.0113255.40.000III210672-0017336450000III220656001234688OOOOIII230639-0005356860000III240624000366390.000III250609002537553OOOOIII260594000138427OOOOIII270580-000639264OOOOIII280565-0013
5、40063OOOOIII290551-000540827OOOOIII300.536-00124155.40.000III310522-000742247OQOOIII320.508-0.0064290.60.000III330.493-0.0124353.30.000III340479-001444126OOOOIII350465-0008446890.000III360.45100244522.20.000AutocoelatonPartialCOrreIatlOnACPACQ-StatProbIIIIIIIIIIIIIIIIII;IIIIII:1:IIIIIII-IIIIIIIIIIII
6、IIIII:IIIIFIIIIIIIIIIIIIIIIIIIIrIIIIIIIIIIIIIIII1-0.262-026214.914OOOO20.0750.00716.1420.0003 00200.04416270.0014 0030004916.43100025 0036005716.72400056 0.022004316.8320.0107 0020003116.92300188 0007001216.93300319 0.0380.036172550.04510 0066008318.234005111 -0272-026535.134OOOO120.3720.26366.9820.
7、000130031022667.204OOOO140.062011868.1010.00015-0010000368.126000016-00074)04568.1360000170024-002468.273OOOO180036001568.588OOOO190039003968.947OOOO200.013004668.9860000210.0200.01769.0850.000220.057QO3869.8750.000230023021370.0060.000240059008470.865OOOO250048-000271.4380.000260077900572.896OOOO27
8、01-003672.897OOOo28-0017003972.969OOOO290002000772.9710.000300011000473.004OOOO310.0270.00273.1890.000320.011-0.02473.2220.00033-0001-COW73.222OOOO340013006873.2660.000350045-COOS73.794OOOO360049000474.428OOOOAutocorrelationPartialConeiationACPACQ-StatProb12345678g10111213141516171819202122232425262
9、72829303132333435360.95509551889500000912-0012361.8500000864-0067517940.0000.817-0.025658.050.0000.767-0.051782.210.0000717-0028891340.000067000019870300000625OOo6107090.0000583-0000114430.0000540-00471207400000499000112617000004900339131440.0000470-01491363000000.452-0.0341408.10.0000440009514511OO
10、OO043200211492900000426-041533700000419-00071573400000410-0.0211611600000399-00301647900000387-004216823OOOO03750028171470000036001001744800000.3610.0841775.30.000036200011806000000361002718368000003S8-00171867300000353-00471897000000347-00111925900000.340-0002195390.0000.332-00351980600000.322-0023
11、2005900000.311-0.022202960.0000.3000.0292051.80.0000.2880.082207250.0000.277-0.050209170000AutocorrelationPailiaIConeIationACPACOStatProb1I,l,1-0.025-0025012460724IIi200440044053020767,3001800200595408971.40.0440.0431.00560.909II50.0110.0111.02980.960IIi6-0026-0030117810978II117-0036-0040144970934II
12、III8-0018-0020151900992IIIl900320034173SO0995IIdI10-0038-0031204930996mI白11-0.433-04374273500IIiI120004-002642739OoOoIIIJI13-001900264282100IqIU-0082-008244304000011Ii15-0054-0035449450000IIII16-0017-0007450060000II170012-0009450390000II180.0340.01345.2960.000III1900330035455420001IIII2000060047455S
13、o0001II中210006-004545557OoOlIIcd220037-0206458670.002II)8I23-0033-0053461160003II中24*0029-0031463100004IIl1250038-004546645Ooo5IIIII2600390007469940007III2700380038473410009IIII280007-0001473530013II290.0000007473530.017II13000100049473750023II133-0017-0103475020049IIU1340.003-0.04947.5040.062II中35-
14、0009-00584752400771MI)I3600290010477280091指导教师审阅（1）实验态度：不认真（），较认真（），认真（）（2）实验目的：不明确（）,较明确（）,明确（）（3）实验内容：不完整（），较完整（），完整（）（4）实验步骤：混乱（）,较清晰（）,清晰（）（5）实验结果：错误（）,基本正确（）,正确（）（6）实验结果分析：无（）,不充分（）,较充分（）,充分（）（7）其它补充：总评成绩：评阅教师（签字）：实验五单位根检验实验属性综合型实验时间2022.5.26实验目的1 .准确掌握单位根检验方程的形式和检验原理。2 .学会利用单位根检验方法对样本序列进行平稳性检验
15、。实验内容实验步骤1 .根据数据频率和时间范围，创建EVlEWS工作文件2 .录入数据，并对序列进行初步分析。分别绘制上证综指和深证综指序列的折线图以及组形式的折线图，分析序列的基本趋势，以及两者的关系。运用ADF检验对上证综指和深证综指序列进行单位根检验。分别做原序列和差分序列的单位根检验，并判断单整的阶数。根据序列的折线图选择检验方程程式，根据AlC准则选择ADF检验时的最大滞后阶数Po1、折线图B股指数2、单位根检验a)上证指数NullHypothesis:SZhasaunitrootExogenous:Constant1.ag1.ength:0(Automatic-basedonSIC
16、,maxlag=0)t-StatisticProb.*AugmentedDiCkeyFullerteststatistic08218430.8054Testcriticalvalues:1%level-3.5460995%level-2.91173010%level-2.593551*MacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(SZ)Method:1.eastSquaresDate:05/26/18Time:10:35Sample(adjusted):2022M02
17、2022M12Includedobservations:59afteradjustmentsVariableCoefficientStd. Errort-StatisticProb.SZ(-D-0.0357180.043461-0.8218430.4146C104.7672115.30550.9086060.3674R-squared0.011711Meandependentvar12.68627AdjustedR-squared-0.005628S.D.dependentvar208.6358S.E.ofregression209.2220Akaikeinfocriterion13.5579
18、8Sumsquaredresid2495110.Schwarzcriterion13.628401.oglikelihood-397.9604Hannan-Quinncriter.13.58547F-Statistic0.675425Durbin-Watsonstat1.130185Prob(F-Statistic)0.414591b)B股指数NullHypothesis:BZhasaunitrootExogenous:Constant1.ag1.ength:0(Automatic-basedonSIC,maxlag=0)t-StatisticProb.*AugmentedDickey-Ful
19、lerteststatistic-09279370.7725Testcriticalvalues:1%level-3.5460995%level-2.91173010%level-2.593551wMacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(BZ)Method:1.eastSquaresDate:05/26/18Time:10:39Sample(adjusted):2022M022022M12Includedobservations:59afteradjustmen
20、tsVariableCoefficientStd.Errort-StatisticProb.BZ(-1)0.0606000.065306-0.9279370.3574C18.4440518.050931.0217790.3112R-squared0.014882Meandependentvar2.033220AdjustedR-squared-0.002401S.D.dependentvar27.73204S.E.ofregression27.76532Akaikeinfocriterion9.518763Sumsquaredresid43942.03Schwarzcriterion9.589
21、1881.oglikelihood-278.8035Hannan-Quinncriter.9.546254F-statistic0.861066Durbin-Watsonstat1.179314Prob(F-Statistic)0.357353B股指数上证指数NullHypothesis:BhasaunitrootExogenous:Constant1.ag1.ength:2(Automatic-basedonSIC,malag=10)t-StatisticProb.*AugmentedDickey-Fullerteststatistic-1.0006750.7474Testcriticalv
22、alues:1%level-3.5503965%level-2.91354910%level-2.594521wMacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(B)Method:1.eastSquaresDate:05/26/18Time:10:55Sample(adjusted):2022M042022M12Includedobservations:57afteradjustmentsVariableCoefficientStd.Errort-StatisticPro
23、b.B(-1)-0.0664070.066362-1.0006750.3215D(B(-1)0.5471970.1288374.2472190.0001D(B(-2)-0.3514250.138779-2.5322640.0143C19.4883218.096301.0769230.2864R-squared0.287792Meandependentvar1.911579AdjustedR-squared0.247478S.D.dependentvar28.20860S.E.ofregression24.47040Akaikeinfocriterion9.300397Sumsquaredres
24、id31736.42Schwarzcriterion9.4437691.oglikelihood-261.0613Hannan-Quinnenter.9.356116F-Statistic7.138824Durbin-Watsonstat2.001913Prob(F-Statistic)0.000409B1Jeveldifference:NullHypothesis:D(B)hasaunitrootExogenous:Constant1.ag1.ength:1(Automatic-basedonSIC,maxlag=10)t-StatisticProb.*AugmentedDickeyFull
25、erteststatistic61140320.0000Testcriticalvalues:1%level-3.5503965%level-2.91354910%level-2.594521wMacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(B,2)Method:1.eastSquaresDate:05/26/18Time:10:59Sample(adjusted):2022M042022M12Includedobservations:57afteradjustment
26、sVariableCoefficientStd.Errort-StatisticProb.D(B(-1)-0.8806680.144041-6.1140320.0000D(B(-1),2)0.4060460.1275963.1822790.0024C1.6732813.2447600.5156870.6082R-squared0.409900Meandependentvar0.751579AdjustedR-squared0.388044S.D.dependentvar31.28141S.E.ofregression24.47070Akaikeinfocriterion9.284026Sums
27、quaredresid32336.03Schwarzcriterion9.3915551.oglikelihood-261.5947Hannan-Quinncriter.9.325816F-Statistic18.75493Durbin-Watsonstat2.057590Prob(F-Statistic)0.000001D(B)NullHypothesis:ShasaunitrootExogenous:Constant1.ag1.ength:1(Automatic-basedonSIC,maxlag=10)t-StatisticProb.*AugmentedDickeyFullertests
28、tatistic17199330.4161Testcriticalvalues:1%level-3.5482085%level-2.91263110%level-2.594027*MacKinno(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(三)Method:1.eastSquaresDate:05/26/18Time:10:56Sample(adjusted):2022M032022M12Includedobservations:58afteradjustmentsVariableC
29、oefficientStd.Errort-StatisticProb.S(-1)-0.0691900.040228-1.7199330.0911D(S(-1)0.4636520.1219213.8028870.0004C183.8161106.21891.7305410.0891R-squared0.218032Meandependentvar10.93328AdjustedR-squared0.189597S.D.dependentvar210.0192S.E.ofregression189.0643Akaikeinfocriterion13.37239Sumsquaredresid1965
30、993.Schwarzcriterion13.478961.oglikelihood-384.7993Hannan-Quinnenter.13.41390F-Statistic7.667681Durbin-Watsonstat1.828385Prob(F-Statistic)0.0011551leveldifferenceNullHypothesis:D(三)hasaunitrootExogenous:Constant1.ag1.ength:0(Automatic-basedonSIC,maxlag=10)t-StatisticProb?AugmentedDickey-Fullertestst
31、atistic-47918180.0002Testcriticalvalues:1%level-3.5482085%level-2.91263110%level-2.594027*MacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(S,2)Method:1.eastSquaresDate:05/26/18Time:10:58Sample(adjusted):2022M032022M12Includedobservations:58afteradjustmentsVariab
32、leCoefficientStd.Errort-StatisticProb.D(S(-1)-0.5808260.121212-4.7918180.0000C6.20223025.292710.2451900.8072R-squared0.290794Meandependentvar-0.355000AdjustedR-squared0.278129S.D.dependentvar226.3827S.E.ofregression192.3415Akaikeinfocriterion13.39030Sumsquaredresid2071733.Schwarzcriterion13.461351.o
33、glikelihood-386.3186Hannan-Quinnenter.13.41797F-Statistic22.96152Durbin-Watsonstat1.800422Prob(F-Statistic)0.000013D(三)NullHypothesis:USD_URDhasaunitrootExogenous:Constant1.ag1.ength:0(Automatic-basedonSIC,maxlag=10)t-StatisticProb.*AugmentedDickey-Fullerteststatistic-1.2251770.6569Testcriticalvalue
34、s:1%level5%level10%level-3.562669-2.918778-2.597285wMacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(USD_URD)Method:1.eastSquaresDate:05/26/18Time:12:01Sample(adjusted):253Includedobservations:52afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.USD_URD
35、(-1)-0.0610770.049851-1.2251770.2262C0.0437760.0357121.2258230.2260R-squared0.029146Meandependentvar4.77E-05AdjustedR-squared0.009729S.D.dependentvar0.008680S.E.ofregression0.008638Akaikeinfocriterion-6.627630Sumsquaredresid0.003731Schwarzcriterion-6.5525821.oglikelihood174.3184Hannan-Quinnenter.-6.
36、598858F-Statistic1.501058Durbin-Watsonstat1.794929Prob(F-Statistic)0.226249NullHypothesis:D(USD_URD)hasaunitrootExogenous:Constant1.ag1.ength:0(Automatic-basedonSIC,malag=10)t-StatisticProb.*AugmentedDiCkeyFullerteststatistic66383730.0000Testcriticalvalues:1%level5%level10%level-3.565430-2.919952-2.
37、597905*MacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(USD_URD,2)Method:1.eastSquaresDate:05/26/18Time:12:01Sample(adjusted):353Includedobservations:51afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.D(SD-URD(-1)-0.9380210.141303-6.6383730.0000C0.000
38、2130.0012250.1742720.8624R-squared0.473503Meandependentvar0.000109AdjustedR-squared0.462758S.D.dependentvar0.011933S.E.ofregression0.008747Akaikeinfocriterion-6.601842Sumsquaredresid0.003749Schwarzcriterion-6.5260841.oglikelihood170.3470Hannan-Quinnenter.-6.572892F-statistic44.06800Durbin-Watsonstat1.996560Prob(F-Statistic)0.000000NullHypothesis:D(USD_URD)hasaunitrootExogenous:Constant1.ag1.ength:0(Automatic-basedonSIC,maxlag=10)t-StatisticProb.*AugmentedDiCkeyFullerteststatistic66383730.0000Testcriticalvalues:1%level-3.5654305%level-2.91
