時(shí)間序列分析實(shí)驗(yàn)報(bào)告

1、安徽財(cái)經(jīng)大學(xué)統(tǒng)計(jì)與數(shù)學(xué)模型分析實(shí)驗(yàn)中心實(shí)驗(yàn)名稱:使用軟件:eviews實(shí)驗(yàn)?zāi)康膶?shí)驗(yàn)一 ev iews中時(shí)間序列相關(guān)函數(shù)操作時(shí)間序列分析實(shí)驗(yàn)報(bào)告班級(jí)：學(xué)號(hào)：姓名：實(shí)驗(yàn)時(shí)間5.16實(shí)驗(yàn)地點(diǎn)2棟402一、打開練習(xí)文件hsindices.wfl (香港恒生指數(shù)數(shù)據(jù))，觀察時(shí)間序列的門 相關(guān)圖，輸入：ident hsprocobjectpropertiesprintname freeze | samplegenr sheetgraphstatsiviewcorrelogram of hsdate: 05/20/15 time: 18:50sample: 1 1686included observatio

2、ns: 1686ac pac q-stat probautocorrelation partial correlati on10.9980.9981682.00.00020.996-0.0173357.90.00030.994-0.0175027.30.00040.991-0.0016690.40.00050.9890.0028347.10.00060.9870.0139997.60.00070.9850.01311642.0.00080.983-0.00113281.0.00090.9810.01214914.0.000100.979-0.01716541.0.000110.977-0.02

3、018162.0.000120.974-0.01419776.0.000130.972-0.02521384.0.000140.970-0.01122985.0.000150.9670.00124579.0.000160.9650.03226167.0.000170.9630.00527748.0.000180.961-0.00029323.0.000190.959-0.01330892.0.000選取滯后期19期，q統(tǒng)計(jì)量為30892.0,和應(yīng)的p值為0.00(),拒絕原假設(shè)，原序列不是白噪 聲。二、對(duì)hs的自然對(duì)數(shù)取一階差分，觀察其自相關(guān)圖，并做白噪聲檢驗(yàn)。l/aic.厶et1d rb.u

4、usample: 1 1686included observations: 1685c autocorrelation partial correlation ac pac q-stat prob*巾10.0480.0483.82550.050n120.0330.0315.66230.059111130.0100.0075.82610.120114-0.020-0.0226.50650.1641150.0100.0086.66970.246ii16-0.036-0.0348.82710.184117-0.016-0.0129.24150.236111180.0120.0159.46770.30

5、4111i90.0240.02410.4510.3151111100.0070.00310.5340.39511110.0250.02211.5830.3961111120.0220.01812.3820.4151111130.0070.00412.4660.4901111140 022002113.2770.505(1115-0.041-0.04116.2000.369ii116-0.044-0.04019.4950.24411170.0210.01320.2190.26311118-0012-0 00520.4470.308(1119-0 042-0.04123.4890.2171120-0.013-0.011