金融计量学-因果检验

1、实验四 金融数据的平稳性检验实验一、实验目的理解经济时间序列存在的不平稳性，掌握ADF检验平稳性的方法。认识不平稳的序列 容易导致伪回归问题，掌握为解决伪回归问题引出的协整检验，协整的概念和具体的协整检 验过程。协整描述了变量之间的长期关系，为了进一步研究变量之间的短期均衡是否存在， 掌握误差纠正模型方法。理解变量之间的因果关系的计量意义，掌握格兰杰因果检验方法。二、基本概念如果一个随机过程的均值和方差在时间过程上都是常数，并且在任何两时期的协方差值 仅依赖于该两时期间的距离或滞后，而不依赖于计算这个协方差的实际时间，就称它为平稳 的。强调平稳性是因为将一个随机游走变量（即非平稳数据）对另一个

2、随机游走变量进行回 归可能导致荒谬的结果，传统的显著性检验将告知我们变量之间的关系是不存在的。这种情 况就称为“伪回归”（Spurious Regression）。有时虽然两个变量都是随机游走的，但它们的某个线形组合却可能是平稳的，在这种情 况下，我们称这两个变量是协整的。因果检验用于确定一个变量的变化是否为另一个变量变化的原因。三、实验内容用Eviews来分析A股不同行业的两只股票，对数据进行平稳性检验。四、实验指导：1、对数据进行平稳性检验：首先导入数据，将股票SHA和SZA输入（若已有wf1文件则直接打开该文件）。在workfile中按住ctrl选择要检验的二变量，右击，选择openas

3、 group。则此时可在 弹出的窗口中对选中的变量进行检验。检验方法有：画折线图：“View”一graph”一Tine”，如图1所示。画直方图：在workfile中按住选择要检验的变量，右击，选择open，或双击选中的 变量，“view” “descriptive statistic”一histogram and stats”；注意到图中的J.B.统计量， 其越趋向于0，则图越符合正态分布，也就说明数据越平稳。如图2和3所示。用ADF检验：方法一：“view”一 unit root test”；方法二：点击菜单中的“quick”一 “ series statistic” 一 “ unit ro

4、ot test ”；分析原则即比较值的大小以及经验法则。EievsISeries: SHA Torkfihe: UNTIJLED1 FileObj sets Vi ew Procs 里uiek Oti ore Window HelpVi ew I Procs I Llbj ectsEditPrintiNameiFreezeI Sample IGenrI Sheet I Stats IIdentI Line I Bar I200 h150-100-Series: SHASample W1/1993 12/31/1999Observations 1826MeanMedianSHA原始数值.直方图m

5、Minimum1031.629 1006.362 1842.610328.8480Torkfile: UKTITLEDI I File Edi t Obj ects Vi ew Procs Quick Oji+iotle Wiridow HelpVi e,i*i, I Procs I Obj ectsFrint N：=iirie Freeze I SipleJ Gem- Sheet I Stats I IilerLt 1 Litlh E：=lt的数Eview时，300250200a阻据fS中的ogShaSeries: SZASample 1AJ1 /1993 12/31 /1999Observ

6、ations 1826并不平稳。此时孙的数据，一企赢图3 SZA原始数值直方|图297.9938Median319.4905Maximum561.5640对数的好处在于日；即可以 再对新变量进行平稳性度据取对数(取 后面的取差分)， s” 键入 logsha= 稳性检验方og聊a),同样的方法得到i(法如上，r发现也是不平稳的。PrnhAhilrtwIllllll间距很大 验。点击 gsza。此匕rlogsna 和 logsza的关键值来得出结论。如图对SZA检验结果中所示，检验值小于关键值，则得出数据不平稳，反之平稳。ADF Test Statistic -1.2361191% Critic

7、al Value* -3.43695% Critical Value-2.863610% Critical Value-2.5679*MacKinnon critical values for rejection of hypothesis of a unit root.Augmented Dickey-Fuller Test EquationDependent Variable: D(LOGSZA)Method: Least SquaresDate: 02/14/07 Time: 09:43Sample(adjusted): 1/08/1993 12/31/1999Included obse

8、rvations: 1821 after adjusting endpointsVariableCoefficientStd. Errort-StatisticProb.LOGSZA(-1)-0.0016450.001331-1.2361190.2166D(LOGSZA(-1)-0.0106390.023402-0.4546000.6495D(LOGSZA(-2)0.0436710.0233911.8669820.0621D(LOGSZA(-3)0.0332840.0233931.4228250.1550D(LOGSZA(-4)0.0782840.0233923.3466590.0008C0.

9、0094040.0074631.2600370.2078R-squared0.009984Mean dependent var0.000252Adjusted R-squared0.007257S.D. dependent var0.027998S.E. of regression0.027897Akaike info criterion-4.317335Sum squared resid1.412468Schwarz criterion-4.299190Log likelihood3936.934F-statistic3.660782Durbin-Watson stat _2.001713_

10、Prob(F-statistic)_0.002675图5SZA对数值的ADF检验结果却 E.lm 1 1Q0DOb&efvatiDns 10SDMe-an3135.458Median3158.597MaDcimum51 6.350Minimum2003.487Std. Dar.559.B19D0.376135Kurtrsis4.Q&4S75Jarqu-BE-ra1 37.BS4Pra-babilityo.aocooo腿住：S2ASample1 1000Obiwsti&ns 10DDMean10633.5-9M-edisn1C5B4.&SM-aximLm1-809S.27M in imum715

11、1.1S0Std. Dev.1-S57.77SShewn bss0.S 07796KurtMis5.416745Jarq u e-B era352 1&B-Probs bi lityO.ODDOOOVa liableCoefficientStd. ErrorProb.SHA(-1)-0.0044-04-0 003064-1.47 4640.15090.1083360.03U&43.4443150.0006D(SHA(-2)-0.0867190.031635-2.7409540.0062D(SHA(-3)0.0206110.0316230.8&17B10.5147D(SHA(-4)0.15580

12、.031 4-664 9523890.0000C12.997599.7661831.3308770.1B35R-squared0.045S71Mean dependentvar-1.030000Adjusted R-squared0.0410+7SLD. dependentvar54.766B3S.E. of regression53.63103Maike info criterion10.30814Sum squared reid234+643.Schwarz, crite rion10.33771Log likelihood-5371.052Hannan-Cluinn criter.10.

13、S193SF-stati stic9.E0951JDurbin-Watson stat1.998692Pro tv(F-5tati stie0.000030VariableCoefficientStd. Errort-StatisticProb.SZA-1)-0.0057820.003-555-1.6265100.1042DSZAt-10.1056710.0315663M75710.0008C5HL7253935.339861.5297110.1264R-squared0.013063Mean dependentvar-3.114484Adjusted R-squared0.011079SLD

14、 dependentvar2091403S.E. of regression207.9785Akaike infa criterion13.51575Sum squared re-sid43038795Schwarz criterion13.53050Log likelihood-674135&Hannan-Quinn criter.13.52135F-stati sticBL5B4K3SDurbin-Watson stat-1.986906Pro tv(F-5tati stic)0.001W100200300400500600700 SOO 9001000LOGSZA LOGSHAAugme

15、nted Di ckey-Fu 11 er test stati sti c-0594408Ci.8692Test critical values:1?4i level-3.4366765% level-2.S6422210% level-2.568250MacKinnon (1996 one-si de dp-values.Augmented D i ckey-Fu 11 e r Tet E q u ati o n Dependentvariable: D(LDGSHA) Method: Least Squares Date: 05/16/18 Time: 11:28 Sample (adj

16、usted): 2 1000Included observations: 999 after adjustmentsVariableCoefficientStd. Error t-StatisticProb.LOGSHA-1)-0.0016030.002697-0.5944080.5524C0.0124-730.0216760.5756660.5650R-sq uared0.000354Mean dependentvar-0.000403Adjusted R-squared-0.000643SLD dependentvar0.015548S E. of regression0.0155&4Ak

17、a ike info criterion-5.487058Sum squared resid0.241187Schwarz criterion-5.477235Lag likelihood2742.785Hannan-Ouinn criter.-5.483324F-statistic0353321Durbin-Watson stat1.851141ProbfF-statistic)0.55274Null Hypothesis: LQGSZA has a unit rootExogenous: ConstantLag Length: 0 (Automatic - based on SIC, ma

18、xlag =21)t-StatisticProb?Augmented Dickey-Fuller test statistic-1.0943130.71 琳Test critical values:IK level-3.4366765% level-2.S6422210% level-2.56325-0MacKinnon (1995) one-sidled p-values.Augmented Dickey-Fuller Teat Equation ependentVariable: D(LOGSZA Method: Least Squares ate: 05/16/18 Time: 1113

19、2 Sample (adjusted): 2 1000Included observations: 999 after adjustmentsVariableCoefficient&td. Error1-StatistieProb.LOGSZA-1)-0.00J&950.00284-1.09481 Jd.2739C0.0329280.0304031.003054Ci.2790R-squared0.001201Mean dependlent var-0.000352Adjusted R-squared0.000199S.D. dependle nt var0.017858S.E. of regr

20、e-ssionC-.017356Akaike info criterion-5.210967Sum squared resid0517076Schwarz criterion&20T144Log likelihood2604.S75Hannan-Quinn criter.-5.207233F-statistic1.198616Durbin-Wats&n stat1.853047Prob(F-statistie)0.273863Dependent Variable: LOGSHAMethod: Least Squaresate: 05/16/1B Time: 1135Sample: 1 1000

21、Included observations: 1OOOVariableCoefficientStd. Error t-statisticProb.C-1.59374-30.061025-26.116270.0000LOG泌1.0400840.006591157.79830.0000R-s：quared0.961465Mean dependlentvar5.0J4243Adjusted R-squared0.961426S.D. de pendent var0.132B19S. E. of regression0.035906Akaike infa criterion-3.813B29Sum s

22、quared resid1.286660Schwarz criterion-3.804013Log livelihood1908.914Hannan-Quinn criter.-3.810098F-stati-stic24900.+6Durbin-Watson stat0.045051Prob(F-statistic)0.000000Null Hypothesis: RESID01 has a unit rootExogenous: ConstantLag Length: 0 (Automatic - based on SIC, maxlag =21)t-StatisticProb/Augme

23、nted Dickey-Fuller test statistic-3.3236480.0141Test critical values:1?41 level-3.4366765% level-2.86422210% level-2.56S25-0MacKinnon (1996) one-sidled p-valuesAugmented Dickey-FullerTetEquation Dependent Variable: D(RESIDai;Method: Least SquaresDate: 05/16/18 Time: 11:33Sample (adjusted): 21000Incl

24、uded observations: 999 after adjusimentsVariableCoefficientStd. Errort-StatistieProb.RESID01(-1)-0.022228o.aosBS?-3.323648Ci.0009C-3.64E-050.000240-0.15179S0.8794R-squared0.010958Mean dependle nt war-3.71 E-05Adjusted Fi-squared0.009966S.D. dependentvar0.007621S.E. ofregression0.007&83Akaike info cr

25、iterion-6.923821Sum squared resid0.05729Schwarz criterion-6.91399SLog likelihoodJ46 0.449Hannan-CiLinn criter.-6.9200S7F-siati stic11.04663Durbin-Watson stat-1.943587Pro b(F-sta-ti stie0.000921残差resid 01检验结果Null Hypothesis: RESID02 has a unit rootExogenous: ConstantLag Length: 0 (Automatic - based o

26、n SIC, maxlag =21;t-StatisticProb *Augmented Dickey-Fuller test statistic-13236430.0141Test critical values:I1% level-3.4366765% level-2S6422210% level-2.568250*MacKinnon (1996) one-sided p-valuesAugmented Dickey-Fuller Teat EquationependentVariable: D(RESIDQ2)Method; Least Squaresate: 05/16/18 Time

27、: 11:42Sample (adjusted: 21000Included observation.s: 999 after adjustmenteVariableCoefficientStd. Errort-StatisticProb.RESID 02(-1；-0.0222260.00&37-3.3236480.0009C-3.64E-050.000240-0.1517960.B794R-squared0 010958Mean dependent var-3-.71 E-05Adjusted R.-sqwared0.009966S.D. dependlentvar0.007621S.E. of regre-ssion0.007383Akai屈 info criterion-6.923S21Sum squared resid0.057329Schwarz criterion-6.913998Log likelihood3460 44-9Hannan-Quinn triter.-6.920