浦发银行时间序列分析

1.ADF

EVIEWS

NullHypothesis:SER01hasaunitroot

Exogenous:Constant

LagLength:0(AutomaticbasedonSIC,MAKLAG=10)

t-Statistic Prob.*

AugmentedDickey-Fullerteststatistic -6.313076 0.0000

Testcriticalvalues: 1%level5%level-3.571310-2.922449

10%level -2.599224

*MacKinnon(1996)one-sidedp-vaiues.

AugmentedDickey-FullerTestEquation

DependentVariable:D(SER01)

Method:LeastSquares

Date;05/04/14Time;19:24

Sample(adjusted):201OMOI22014M02

Includedobservations:49afteradjustments

Variable

Coefficient

StdError tStatistic

Prob.

SER01(-1)

-0.911773

0.144426 -6,313076

0.0000

C

-0.006642

0.013962 -0.404101

06B80

R-squared

0.463868

Meandependentvar

-0.000692

AdjustedR-squared

0447364

SD.dependentvair

0.131265

S.E.ofregression

0.097503

Akaikeinfocriterion

-1.776278

Sumsquaredresid

0.447551

Schwarzcriterion

-1.699059

Loglikelihood

45,51077

Hannan-Quinncriter.

-1746980

F-statistic

3985493

Durbin-Watsonstat

1.965715

Prob(F-statistic)

0.000000

EXCEL

SUMMARYOUTPUT

Multiple0.672592

RSquarecl45238

Adjusted0,440729

0.072498

49

df ss MS ?nificanct

10.204071 0.204071 38.82598 1.2E-07

470,2470330,005256

430.451104

Coefficien' StatP-valueLower95%Upper95 95.0 95.0八

Intercept—0.00578 0.010357 -0.55782 0.579616 -0.026610.015058 -6026610.015058

XVariabl-0.49673 0.079719-6.23105 1.2E-07-0.6571-0.33636 -0.6571-0.33636

50, 9DF-2.93,t

2.ACF,PACF,

EVIEWS(1)

Date:06/04/14Time:19:36

Sample:2010M012014M03

Includedobsen/ations:50

ACPACQ-StatProb

AutocorrelationPartialCorrelation

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0.096

0.4086

0.523

2

*0.116

*0126

11377

0.506

3

-0.093

-0.072

1.6172

0.655

4

-0.137

-0.13S

2.6719

0.614

5

-008&

-0.087

3.1026

0694

6

-0203

-0.244

5.5426

0476

7

-0023

-0.04E

5.5737

0.590

8

0147

0.056

6.9173

0.546

9

0047

-0.042

7.0584

0.631

10

0.062

0.017

7.3105

0.696

11

0.002

-0.029

7.3108

0.773

12

0.127

0135

8.4201

0752

13

-0021

-0.030

8.4520

0.813

14

-0062

0.041

0.7317

0B4S

15

0095

014B

9.4029

0856

16

-0096

*0.000

10.102

0.851

17

-0.094

-0.046

10.802

0.867

13

-0.03&

0.005

10.906

o.ese

19

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0.045

11.029

0.923

20

-0042

-0.140

11.1S3

0941

21

0108

0.106

12221

0.933

22

0022

-0.076

12267

0.952

23

0052

0030

12525

0.902

24

0.012

-o.ooe

12.538

0.973

1

1

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：

Date:06/04/14Time:19:51

Sample：2C10M032014M03

Includedobservations:49

AutocorrelationPartialCorrelaiioriACPACQ-StatProb

1iE

1

1

1—

1J

1-0.376-0.375

2-0.112-0.294

7.1693cicio7

7.82270.020

1

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30.049-0U7

7.950SD.047

1[

1

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4-0.061-0.170

3.15440.086

1

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11

1

50.06b・0.047

a41120135

1

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6-0.164・0.242

9.95580127

1

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7-0.006・0.261

995760.191

1

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e0,171・D.06S

11.713D164

11

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S-0.033-0.036

117810.226

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1

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100.001-0.010

117810.300

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11-0.096-0144

12.3800.336

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130.1580055

14.0430.299

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13-0.070.0.027

14.3760.343

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14-0.127.0.123

15.5180344

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160.1820.OS2

17.6370.260

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16-0.066 0.030

19.2680.308

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18.3940.365

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-Q.002-0.069

18.3940431

1

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100.0810104

18.9210462

1

1

1

1

20-0.127.o.ies

20.2930.440

：

Date:06/04/14Time:19:52

Sample:2010M0320UM03

includedobservations:47

AutocorrelationPartialCorrelationACPACQ-StatProb

-0.587-0.58717.2500.000

0021-0.49317.2730D00

0.152-023S18.4780.000

-0.135-Q.233194480.001

0.1510.03320.6990.001

-0.1320.00321.6770.001

-0,050-0.215218680.003

0.173-0.15023.6450.003

-0.009-0.01623.9380.004

0.0230.15S23.970O.OOB

-0.121-0.05124.9080.009

0J770.06626962O.OOE

-OOED0.0G7272060.012

-0.135-0.