时序图判断平稳性.doc

时序图判断平稳性，图形有明显的上升趋势，直观看该时间序列为非平稳序列。Date: 05/29/17 Time: 09:35Sample: 1994 2014Included observations: 21AutocorrelationPartial CorrelationACPACQ-StatProb. |*|. |*|10.8640.86418.0390.000. |* |. *| . |20.711-0.14330.8860.000. |* |. *| . |30.546-0.13238.8890.000. |* |. *| . |40.380-0.10942.9880.000. |*. |. | . |50.237-0.02344.6780.000. |* . |. | . |60.109-0.06245.0570.000. | . |. *| . |7-0.012-0.10045.0620.000. *| . |. | . |8-0.108-0.03045.4940.000. *| . |. | . |9-0.185-0.04846.8730.000.*| . |. | . |10-0.247-0.06149.5620.000.*| . |. | . |11-0.295-0.06153.7580.000.*| . |. | . |12-0.328-0.05159.5340.000由上图知序列非平稳单位根检验Null Hypothesis: Y has a unit rootExogenous: ConstantLag Length: 3 (Automatic - based on SIC, maxlag=4)t-StatisticProb.*Augmented Dickey-Fuller test statistic-4.0342160.0075Test critical values:1% level-3.8867515% level-3.05216910% level-2.666593*MacKinnon (1996) one-sided p-values.Warning: Probabilities and critical values calculated for 20 observationsand may not be accurate for a sample size of 17对原始数据进行处理一阶差分的单位根检验Null Hypothesis: D(Y) has a unit rootExogenous: Constant, Linear TrendLag Length: 0 (Automatic - based on SIC, maxlag=4)t-StatisticProb.*Augmented Dickey-Fuller test statistic-1.7581290.6843Test critical values:1% level-4.5325985% level-3.67361610% level-3.277364*MacKinnon (1996) one-sided p-values.Warning: Probabilities and critical values calculated for 20 observationsand may not be accurate for a sample size of 19Null Hypothesis: D(Y,2) has a unit rootExogenous: ConstantLag Length: 0 (Automatic - based on SIC, maxlag=4)t-StatisticProb.*Augmented Dickey-Fuller test statistic-4.3140010.0040Test critical values:1% level-3.8573865% level-3.04039110% level-2.660551*MacKinnon (1996) one-sided p-values.Warning: Probabilities and critical values calculated for 20 observationsand may not be accurate for a sample size of 18二阶差分平稳生成y的一阶差分序列x x的一阶差分序列x1X的时序图Null Hypothesis: X1 has a unit rootExogenous: ConstantLag Length: 0 (Automatic - based on SIC, maxlag=3)t-StatisticProb.*Augmented Dickey-Fuller test statistic-4.3140010.0040Test critical values:1% level-3.8573865% level-3.04039110% level-2.660551*MacKinnon (1996) one-sided p-values.Warning: Probabilities and critical values calculated for 20 observationsand may not be accurate for a sample size of 18X1的自相关和偏自相关图Date: 05/29/17 Time: 10:02Sample: 1994 2014Included observations: 19AutocorrelationPartial CorrelationACPACQ-StatProb. *| . |. *| . |1-0.080-0.0800.14340.705.*| . |.*| . |2-0.320-0.3292.54660.280. |*. |. |*. |30.3160.2885.03550.169. | . |. *| . |40.007-0.0755.03690.284. *| . |. |* . |5-0.1050.1015.35410.374. *| . |.*| . |6-0.111-0.2805.73170.454. | . |. | . |7-0.046-0.0235.80100.563. | . |.*| . |8-0.049-0.2245.88670.660. *| . |. | . |9-0.