第2个回答 2016-02-18
程序1:
均为2阶单整
sh是gdp的格兰杰原因
ols估计协整方程
LNGDP = 4.018108928 + 0.7455044886*LNSH
dw值良好
残差平稳
建立误差修正模型
D(LNGDP) = 0.05750261994 + 0.4555587319*D(LNSH) - 1.025745254*ECM(-1)
程序2:
营业收入x;成交额y
对xy先ADF检验平稳性,结果不成立,取log一阶差分,接受。
然后OLS,对残差检验平稳,若平稳,二者存在协整关系
Dependent Variable: X
Method: Least Squares
Date: 04/04/11 Time: 21:17
Sample (adjusted): 2001 2009
Included observations: 9 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
Y 1.729571 0.895824 1.930704 0.0948
C 445244.0 48849.27 9.114651 0.0000
R-squared 0.347479 Mean dependent var 534862.9
Adjusted R-squared 0.254261 S.D. dependent var 52873.62
S.E. of regression 45659.64 Akaike info criterion 24.48895
Sum squared resid 1.46E+10 Schwarz criterion 24.53277
Log likelihood -108.2003 Hannan-Quinn criter. 24.39437
F-statistic 3.727616 Durbin-Watson stat 2.713020
Prob(F-statistic) 0.094824
Null Hypothesis: DLOGY has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.203801 0.0134
Test critical values: 1% level -4.420595
5% level -3.259808
10% level -2.771129
*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 9
Dependent Variable: DLOGX
Method: Least Squares
Date: 04/04/11 Time: 21:27
Sample (adjusted): 2002 2009
Included observations: 8 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
DLOGY 0.127386 0.172514 0.738411 0.4881
C 0.005244 0.053907 0.097282 0.9257