[问答] 二阶差分序列，自相关和偏自相关图，判断p、q [推广有奖]

11楼

23020379 发表于 2011-11-24 13:57:45

Variable Coefficient Std. Error t-Statistic Prob.
AR(1) 0.927070 0.071156 13.02864 0.0000
AR(2) -0.349041 0.152560 -2.287892 0.0313
AR(3) -0.170433 0.153120 -1.113068 0.2767
MA(1) -1.400131 0.262208 -5.339769 0.0000
R-squared 0.599554       Mean dependent var 0.001945
Adjusted R-squared 0.549498       S.D. dependent var 0.064945
S.E. of regression 0.043591       Akaike info criterion -3.296385
Sum squared resid 0.045603       Schwarz criterion -3.106070
Log likelihood 50.14939       F-statistic 11.97772
Durbin-Watson stat 2.568157       Prob(F-statistic) 0.000054
Inverted AR Roots    .59 -.55i    .59+.55i       -.26
Inverted MA Roots          1.40
Estimated MA process is noninvertible
Variable Coefficient Std. Error t-Statistic Prob.
AR(1) -0.135783 0.478880 -0.283543 0.7790
AR(2) -0.075896 0.186227 -0.407548 0.6869
MA(1) 0.284497 0.496349 0.573179 0.5714
R-squared 0.042094       Mean dependent var 0.003502
Adjusted R-squared -0.031591       S.D. dependent var 0.064323
S.E. of regression 0.065331       Akaike info criterion -2.520989
Sum squared resid 0.110973       Schwarz criterion -2.379545
Log likelihood 39.55434       F-statistic 0.571272
Durbin-Watson stat 1.969436       Prob(F-statistic) 0.571737
Inverted AR Roots    -.07+.27i    -.07 -.27i
Inverted MA Roots       -.28

12楼

23020379 发表于 2011-11-24 13:58:15

Variable Coefficient Std. Error t-Statistic Prob.
AR(1) -0.847454 0.009093 -93.20302 0.0000
MA(1) 1.274697 0.239579 5.320564 0.0000
R-squared 0.408639       Mean dependent var -0.000265
Adjusted R-squared 0.387519       S.D. dependent var 0.066488
S.E. of regression 0.052034       Akaike info criterion -3.009486
Sum squared resid 0.075812       Schwarz criterion -2.916072
Log likelihood 47.14228       F-statistic 19.34838
Durbin-Watson stat 1.597869       Prob(F-statistic) 0.000143
Inverted AR Roots       -.85
Inverted MA Roots       -1.27

13楼

23020379 发表于 2011-11-24 13:58:24

Variable Coefficient Std. Error t-Statistic Prob.
AR(1) -0.847847 0.012113 -69.99714 0.0000
MA(1) 1.253499 0.276134 4.539468 0.0001
MA(2) -0.039307 0.267763 -0.146800 0.8844
R-squared 0.407865       Mean dependent var -0.000265
Adjusted R-squared 0.364004       S.D. dependent var 0.066488
S.E. of regression 0.053024       Akaike info criterion -2.941512
Sum squared resid 0.075911       Schwarz criterion -2.801393
Log likelihood 47.12268       F-statistic 9.298871
Durbin-Watson stat 1.548961       Prob(F-statistic) 0.000847
Inverted AR Roots       -.85
Inverted MA Roots          .03       -1.28
Estimated MA process is noninvertible

14楼

23020379 发表于 2011-11-24 13:58:35

Variable Coefficient Std. Error t-Statistic Prob.
AR(1) -0.230325 0.265908 -0.866186 0.3943
MA(1) 0.098455 0.220928 0.445642 0.6595
MA(2) -0.494076 0.148757 -3.321369 0.0027
MA(3) -0.509474 0.157864 -3.227284 0.0034
R-squared 0.288529       Mean dependent var -0.000265
Adjusted R-squared 0.206436       S.D. dependent var 0.066488
S.E. of regression 0.059229       Akaike info criterion -2.691245
Sum squared resid 0.091210       Schwarz criterion -2.504418
Log likelihood 44.36867       F-statistic 3.514666
Durbin-Watson stat 1.999301       Prob(F-statistic) 0.029110
Inverted AR Roots       -.23
Inverted MA Roots          .96    -.53+.50i    -.53 -.50i

15楼

23020379 发表于 2011-11-24 13:58:44

Variable Coefficient Std. Error t-Statistic Prob.
AR(1) -0.433952 0.259893 -1.669734 0.1080
AR(2) 0.359695 0.217090 1.656893 0.1106
MA(1) 0.421759 0.214336 1.967753 0.0608
MA(2) -0.943990 0.000425 -2222.497 0.0000
MA(3) -0.377700 0.220862 -1.710114 0.1001
R-squared 0.375250       Mean dependent var 0.003502
Adjusted R-squared 0.271124       S.D. dependent var 0.064323
S.E. of regression 0.054916       Akaike info criterion -2.810455
Sum squared resid 0.072377       Schwarz criterion -2.574715
Log likelihood 45.75160       F-statistic 3.603834
Durbin-Watson stat 2.038391       Prob(F-statistic) 0.019457
Inverted AR Roots          .42       -.85
Inverted MA Roots          .96       -.40       -.99

16楼

23020379 发表于 2011-11-24 13:58:54

Variable Coefficient Std. Error t-Statistic Prob.
AR(1) -0.269589 0.684516 -0.393838 0.6970
AR(2) -0.201956 0.472376 -0.427532 0.6727
MA(1) 0.450769 0.691506 0.651866 0.5204
MA(2) 0.228324 0.554675 0.411635 0.6841
R-squared 0.050441       Mean dependent var 0.003502
Adjusted R-squared -0.063506       S.D. dependent var 0.064323
S.E. of regression 0.066334       Akaike info criterion -2.460775
Sum squared resid 0.110006       Schwarz criterion -2.272183
Log likelihood 39.68124       F-statistic 0.442670
Durbin-Watson stat 2.032377       Prob(F-statistic) 0.724559
Inverted AR Roots    -.13+.43i    -.13 -.43i
Inverted MA Roots    -.23+.42i    -.23 -.42i