因果关系检验:
滞后1阶:
Pairwise Granger Causality Tests | |||
Date: 05/07/13 Time: 22:27 | |||
Sample: 1993 2012 | |||
Lags: 1 | |||
Null Hypothesis: | Obs | F-Statistic | Probability |
D(CK) does not Granger Cause HUILV | 18 | 5.40700 | 0.03449 |
HUILV does not Granger Cause D(CK) | 1.48110 | 0.24240 | |
滞后2阶:
Pairwise Granger Causality Tests | |||
Date: 05/07/13 Time: 22:22 | |||
Sample: 1993 2012 | |||
Lags: 2 | |||
Null Hypothesis: | Obs | F-Statistic | Probability |
D(CK) does not Granger Cause HUILV | 17 | 2.14766 | 0.15948 |
HUILV does not Granger Cause D(CK) | 5.09859 | 0.02496 | |
滞后3阶
Pairwise Granger Causality Tests | |||
Date: 05/07/13 Time: 22:49 | |||
Sample: 1993 2012 | |||
Lags: 3 | |||
Null Hypothesis: | Obs | F-Statistic | Probability |
HUILV does not Granger Cause DCK | 16 | 23.9036 | 0.00013 |
DCK does not Granger Cause HUILV | 4.64697 | 0.03160 | |
滞后5阶
Pairwise Granger Causality Tests | |||
Date: 05/07/13 Time: 22:50 | |||
Sample: 1993 2012 | |||
Lags: 5 | |||
Null Hypothesis: | Obs | F-Statistic | Probability |
HUILV does not Granger Cause DCK | 14 | 27.0550 | 0.01064 |
DCK does not Granger Cause HUILV | 2.61611 | 0.22923 | |
根据因果关系检验又通过试验剔除了不显著的变量,得到回归模型:
Dependent Variable: DCK | ||||
Method: Least Squares | ||||
Date: 05/07/13 Time: 22:53 | ||||
Sample (adjusted): 1997 2012 | ||||
Included observations: 16 after adjustments | ||||
Variable | Coefficient | Std. Error | t-Statistic | Prob. |
C | 11146.01 | 2461.845 | 4.527504 | 0.0011 |
HUILV(-1) | 127.1962 | 16.56362 | 7.679250 | 0.0000 |
HUILV(-2) | -140.7633 | 17.23662 | -8.166526 | 0.0000 |
DCK(-1) | 0.606620 | 0.138941 | 4.366019 | 0.0014 |
DCK(-2) | 1.028511 | 0.190590 | 5.396449 | 0.0003 |
DCK(-3) | 1.054554 | 0.174938 | 6.028157 | 0.0001 |
R-squared | 0.886798 | Mean dependent var | 1186.176 | |
Adjusted R-squared | 0.830196 | S.D. dependent var | 1455.310 | |
S.E. of regression | 599.6930 | Akaike info criterion | 15.91071 | |
Sum squared resid | 3596317. | Schwarz criterion | 16.20043 | |
Log likelihood | -121.2857 | F-statistic | 15.66748 | |
Durbin-Watson stat | 2.079769 | Prob(F-statistic) | 0.000188 | |