obs | SAU_E | SAU_G |
1971 | 12.40551 | 22.63975 |
1972 | 12.63815 | 22.94579 |
1973 | 12.87016 | 23.39339 |
1974 | 12.98263 | 24.52973 |
1975 | 12.80645 | 24.56334 |
1976 | 13.00346 | 24.87962 |
1977 | 13.0718 | 25.02772 |
1978 | 12.9876 | 25.10639 |
1979 | 13.11713 | 25.43926 |
1980 | 13.18748 | 25.82501 |
1981 | 13.1827 | 25.93787 |
1982 | 12.79757 | 25.7531 |
1983 | 12.55635 | 25.58199 |
1984 | 12.48492 | 25.50485 |
1985 | 12.20972 | 25.36667 |
1986 | 12.56314 | 25.18874 |
1987 | 12.42334 | 25.17407 |
1988 | 12.60326 | 25.20351 |
1989 | 12.60999 | 25.28076 |
1990 | 12.82178 | 25.48354 |
1991 | 13.05136 | 25.60102 |
1992 | 13.0805 | 25.63815 |
1993 | 13.06656 | 25.60721 |
1994 | 13.04836 | 25.62354 |
1995 | 13.05468 | 25.68231 |
1996 | 13.06405 | 25.78423 |
1997 | 13.055 | 25.82917 |
1998 | 13.08468 | 25.70532 |
1999 | 13.00676 | 25.8044 |
2000 | 13.08007 | 25.96206 |
2001 | 13.06094 | 25.93282 |
2002 | 12.99554 | 25.96264 |
2003 | 13.1524 | 26.09191 |
2004 | 13.22287 | 26.2791 |
2005 | 13.27175 | 26.51768 |
2006 | 13.2639 | 26.65525 |
2007 | 13.22574 | 26.75373 |
2008 | 13.26961 | 26.9767 |
2009 | 13.17757 | 26.78495 |
2010 | 13.19571 | 26.99011 |
2011 | 13.30755 | 27.22981 |
在做单位根(ADF)检验(选用的AIC)的时候很糊涂,结果做出来如下:
然后就判断一阶单整了,做协整检验,VAR用的(1 1)滞后期
Vector Autoregression Estimates | ||
Date: 04/06/14 Time: 18:51 | ||
Sample (adjusted): 1972 2011 | ||
Included observations: 40 after adjustments | ||
Standard errors in ( ) & t-statistics in [ ] | ||
SAU_E | SAU_G | |
SAU_E(-1) | 0.893037 | 0.429693 |
(0.10191) | (0.13193) | |
[ 8.76270] | [ 3.25705] | |
SAU_G(-1) | -0.032336 | 0.809028 |
(0.02982) | (0.03860) | |
[-1.08441] | [ 20.9588] | |
C | 2.232437 | -0.572506 |
(1.05947) | (1.37149) | |
[ 2.10712] | [-0.41743] | |
R-squared | 0.736460 | 0.957051 |
Adj. R-squared | 0.722215 | 0.954730 |
Sum sq. resids | 0.729455 | 1.222373 |
S.E. equation | 0.140410 | 0.181761 |
F-statistic | 51.69812 | 412.2443 |
Log likelihood | 23.32920 | 13.00417 |
Akaike AIC | -1.016460 | -0.500209 |
Schwarz SC | -0.889794 | -0.373543 |
Mean dependent | 12.96633 | 25.63994 |
S.D. dependent | 0.266406 | 0.854267 |
Determinant resid covariance (dof adj.) | 0.000481 | |
Determinant resid covariance | 0.000412 | |
Log likelihood | 42.38980 | |
Akaike information criterion | -1.819490 | |
Schwarz criterion | -1.566158 |
模型如下
然后做JJ检验,检验的滞后期设为(0 0),使用的α为0.05,Eviews报出的检验结果如下图所示
然后判断有协整且唯一,做长期均衡分析就成这样了。。。
虽然我知道主要是看SAU_E对SAU_G的影响,但换过来也还是负的,且系数为-2点多,赶脚是已经全盘错了的节奏,我导师说正常做下去完全做得出正常结果,我这明显是错到外婆家了哇。。。但我实在不知道哪一步细节有误还是全盘皆误,
求问正确操作应该是怎样的,以及以上正常的判断选择应该如何,我都是照葫芦画瓢做出以上的,麻烦有心相助的亲请详细一点再详细一些,图文相告,鄙人实在太笨了TOT!
接下来的误差修正和GRANGER因果,进一步分析操作也请大神们教一下怎么来做。
急坏了,这是马上交稿的大论文,现在火烧眉毛了。。。新人求助帖子又臭又长实在不好意思。。。
诸位大恩啊,感激不尽。。。在此先膜拜感谢一个