时间序列作业VAR模型

1、精品文档精品文档 欢。迎下载选取的最优滞后阶数为即=(三)模型的估计YectorAutoregressionEstimatesDate:11/21/13Tim&:22:20Sampleadjusted):2002M062013MiaIncludedobservations:137afteradjustmentsStandarderrorsin()&t-statistiesinDLM1_SADLM2_SADLM1_SA(-1)-O.OSS8S4(0.1029)-0,860490.09&411(0,063821,494901DLM1_SA(-2)-0.13S202(0.104B9)-1,32131

2、1-0.085i070,06463-1,31997JDLM1_SA(-3)0.398511(0.09909)4,0219010.034-6870,06122)0,56656DLM1_SAHI0.189354(0.09911)1,915501-0.019012(0.06124)-0,310441DLM1_SA(-50.01302-0.064604DLM1_SA(-5)0.018027(0.10149)0,17762J-0.0646040,06271)-1,03018JLM1_SA(-6)-0.021851(0.09932)-0.2200-1-0.035104(0.06137)-0,57202ID

3、LM2_SA(-1)0.252353(0,17377)-1.4&2S2-0.06&025(0,10737r-o.BugaiDLM2_SA(-2)0.468S08(0.17259),71637D.213S59(0.106642,00517JDLM2_SA(-3)-0.457222(0.1750)-2,60973i0.0957520,10825)O.8560OIDLM2_SAH0.113345(0.17648)0,S4225J0.1271180,10905)1,165741DLM2_SA(-5-0.222508-0.112943DLM2_SA(-4)LM2_SA(-5)LM2_SA(-6)0.11

4、0.12711B(0.1764B)0,10905)口64丝城1,165741-0.222505-0.112943(0.1754(0.-10828-1,269755-1,04309J0.4784680.Q74901(0.17336)0,10712)2,759910,69923J-0.0011050.010102(0.00416(0.00257)-0.26&43J3,925671R-squared0.2711800.115074Adj.R-squared0.006500.029436Sumsq.resids0.0143990.005497S.E.equation0.0107760.006658F-

5、statistic3.8448451.J43-730Loglikelihood433.1041499.0626AkaikeAIC6.132907-7.095804SchwarzSG-5.855829-6.318725Meandependent0.0119480.013-705从上图可以看出模型的参数估计大多显著(四)模型的检验模型的检验包括模型的平稳性检测，以及残差的独立性检验。RootsofCh3actEis：tic：PolynomialEndogenousvariables:DLM1_SADLH2_SAExogenousvariables:GLagspecification:16Date;

6、11/21/nTime;2224RootModulus0.818982-0.130392i0.8292970.818932+0.13039210.329297-0.304490-O.TTaMi0.828431-0.304490+0.770440.8284310.001238-0.70846010.7084610.QQ1238-070840010.708461Q.483439-0.442443i0.6553390,4&3439+0,442科3i0.655339-0.62786-0.1W09I0.643979-0.627486+0.144809i0.643979-0.4491i7-0,396942

7、10.599406-0.449137-0,39694210.599406Morootliesoutsidetheunitcircle.VARsatistiesthestabilityconditionInverseRootsolARCharacteristicPolynomial因此，满足平稳性的条件。接下来进行残差的独立性检验CoDL/1_认DLW2i：;Aiitffi&ffelaiws.wth2-StdErr.BfiundECo瓯松_熟X怔第-Sor(aMI1_SA.OL1_5A：-I：0Mg相京DL1_Sfl!.-r-所以残差不存在自相关性，满足独立性假设。模型的应用（一）格兰杰因果检验

8、将两个变量建立，根据模型确定的滞后阶数，来确定滞后阶数，本例的滞后阶数为6.PairwiseGrangerCausalityTesisate:11/21/13.Time:2232Sample:2001M11013M10Lags:6NullHypothesis:ObsF-StatisticFrothDLM2._SAdoesnotGrangerGauseDLM1_SA1374-.200&70.QQ07DLM1_SAdoesnotGrangerGauseDLM?_SA1.256140.2326（二）脉冲响应脉冲响应函数受到变量顺序的影响，因此，其结果的分析与主观因素有关。观察上图，和是相互影响的正向

9、相关关系，这验证了市场上的和的数量有密切的关系，从时间长短来看，对于的长期影响要大于短期影响，而且对于的短期影响要显著些。（三）方差分解在的输入窗口中，VarianceDecompositionofDLM1_SA:PeriodSE.DLM1_SDLM2_SA10.010776100.00000.00000020.01036698,343161.65684030.0-1113393.SH766.15524240.0-1183289,0622910,9377150.01215606.S912813.10S7260.01216086,0392613.1107410.01247284,90788-15

10、.0921280.012525S4.9136415,0863690.01254984,6010115,39899100.01260084,2931115,70689110.012B2104,2856315,71437120.012S2384,2322715,71773130.01263184,1901715,80983140.01263S84,1763115,82369150.01263984,1770715,82293160.012640S4.1S29815,83702170.01264284,1598915.B4011180.01264284.1S05515,83945190.012643

11、84.1S16115,03839200.01264384,1608515,63915210.01264384,1604215,03958437.2I上2rI_JUit.1uuuii_r.3ni210.01264384.1S04215,03958220.01264484,1617115,03829230.01264484,1617015,03830240.012644S4.1S12515,03875250.01264484,1614315.S3857260.0126448,16Ug15.S3851270.01264484,1612915,03871280.01264484,1611515.S38

12、85290.01264484,1611715,83883300.01264484,1611115,83809310.01264484,1610215.8898320.012644S4.1S10215,83893330.01264484,1610115.B3899340.01264484,1609815.B3902350.01264484,1609815,03902360.01264484,1609515.S3902VarianceDecorripositioriofDLM2_SA:PeriodSE.LM2_SA10.00665S30.7Q5069,2949320.0067143-1,55987

13、68,4401330.00635030,3968169,603194-0.0069293-1,5474163,4525950.0069643-1,6947468,30526VarianceDecampositionofDLM2_SA:PeriodSE.DLkl1_SADLM2_SA10.0066533-0.705-0269,2949820.00671+R,559376S,44Q1330.0068503-0,2968169,6031940.0069293/1.5474168,4525950.0069642.1,6947468,3052660.00702332,3355467,1644610.00

14、703232,7540767,2459380.0070373-2,S339667,1660490.0070533-3,1486766,05133100.0070603-3,2166166,78339110.0070603-3,2249166,77509120.0070663-3,3065566,69345130.007071333gg3166,60069-140.0070713-3.399-1166,60089-150.0070743-34112766,58873160.00707633.4544666,54554170.0070763-3454-5166,545491S0.00707733,

15、4530566,54695ig0.0070783-34S5-7466.5426200.00707833.4S59066,53410210.00707833,4550066,53500220.0070733-3,4S71766,5328314kJ.umftjri0.007071口13-3,39911uu.uuuiun66,60089150.0070743-34112766,58373160.00707633.4544666,54554170.0070763-3.454-5166,54549100.00707733,4530566,54695190.0070783-3,+S5-7466,53426

16、200.00707S33,4659066,534-10210.00707333,4650066,53500220.00707333,4671766,53233230.007Q7S)3,46您66.53271240.0070783-3,4674966,53251250.0070783-3,1675366,53247260.0070783-3,4675766,53243270.00707S3.34678966,53211280.0070733.3,4578566,53215290.00707333,4878B6B,532U3Q0.0070783-34S801S6.53igg310.0070783-S.4S80466,53196320.00707S334680466,53196330.0070783.3,4S80