Help: Could someone have a look with my model???

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step 1: logrithms daily DAX-index, LNDAX=log(dax)

step 2: unit root test, select level, ADF is greater than crical value, H0 is rejected

step 3: unit root test, select first order difference, ADF is less then critical value at 99% confidence, H0 can not be rejected (-51.03<-3.96), then non unit root, it is now stationary.

step 4: i create a new serie: E=LNDAX-mean(LNDAX), i am not sure if it is right , or shall i differece E at first order???

step 5: command ls e ar(1) ma(1)

step 6: result with R

attatched document is my data.

For another question, the result with ARMA(1,1) is not far better than OLS with LNDAX=c+c(1)+LNDAX(-1 to -3), they are all over 99.8%, is ARMA process here necessary?

Thanks in advance!!!

18961.zip (210.87 KB) 本附件包括：

• dax.wf1

2005-7-8 01:15:00 上传

Help: Could someone have a look with my model???

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关键词：Someone model Could Have mode model Help Look Could Someone

I am very sad if no one have interest on my question.

If my question is not so easy to answer, can someone give me a standard answer ? I can check it by myself.

Thanks and pls!

your step 1 to step 3 looks like right. when you know the first difference is stationary, you should regress (1-L)LNDAX

on its lagged value. according your notation, LNDAX itself is not stationary, so your taking the new sequnece E

is still nonstationary. you should plot you data with time at first and you can find something at first before you test the

unit root.

Thanks a lot!!!

Another question, is unit roots test only for ARMA necessary_?

q1:

ans:the E here is nostationary,at first,you test that LNDAX has unit root,but you use the nonstationary series E when you create the ARMA model ,I suggest that you should diff E at first order..

q2:

ans: as to different series,ARMA is not always better than ols.when you diagnose your model,you should check :

first: the residual series

second:the effect on forecasting

IF you find the series has unit roots(nostationary series),you should test the unit root until the series differenced has no unit root.then you model on the diffed series.

that's all.

[此贴子已经被作者于2005-7-10 22:24:26编辑过]

Thanks for all practical suggestions!