計量經(jīng)濟(jì)學(xué) 實驗十 時間序列模型

1、實驗十時間序列模型實驗?zāi)康摹空莆諘r間序列的平穩(wěn)性檢驗和兩變量協(xié)整檢驗，并建立誤差修正模型?！緦嶒炓蟆恳越滩牡?0章的案例，要求用單整檢驗方法對每一個時間序列做平穩(wěn)性檢驗；檢驗兩個時間序列是否存在協(xié)整，說明它們之間是否存在長期均衡關(guān)系；對具有協(xié)整關(guān)系的時間序列建立誤差修正模型?！緦嶒炘怼總位貧w與序列的平穩(wěn)性、ADF檢驗、協(xié)整檢驗、誤差修正機(jī)制?！緦嶒灢襟E】案例研究中國城鎮(zhèn)居民的生活費支出（ZC）與可支配收入（SR）的具體數(shù)量關(guān)系。數(shù)據(jù)序列月份1992年1993年1994年1995年1996年1997年1998年1151.83265.93273.98370438.37521.01643.421

2、59.86196.96318.81385.21561.29721.01778.623124200.19236.45308.62396.82482.38537.164124.88199.48248320.33405.27492.96545.795127.75200.75261.16327.94410.06499.9567.99可支配6134.48208.5273.45338.53415.38508.81555.79收入SR7145.05218.82278.1361.09434.7516.24570.238138.31209.07277.45356.3418.21509.98564.389144.

3、25223.17292.71371.32442.3538.46576.3610143.86226.51289.36378.72440.81537.09599.411149.12226.62296.5383.58449.03534.12577.412139.93210.32277.6427.78449.17511.22606.141139.47221.74234.28307.1373.58419.39585.72168.07186.49272.09353.55471.77528.09598.823110.47185.92202.88263.37350.36390.04417.274113.221

4、85.26227.89281.22352.15405.63455.65115.82187.62235.7299.73369.57426.81466.2生活費6118.212.11237.89308.18370.41422455.19支出ZC7118.03186.75239.71315.87376.9428.7458.578124.45187.07252.52331.88387.44459.29475.49147.7219.23286.75385.99454.93517.06591.4110135.14212.8270355.92403.77463.98494.5711135.2205.2227

5、4.37355.11410.1422.96496.6912128.03192.64250.01386.08400.48460.92516.16檢驗這兩個時間序列是否平穩(wěn)及是否存在協(xié)整關(guān)系因為是月度數(shù)據(jù)，數(shù)據(jù)的工作文件如下建立：WorkfileCreateIJWorkfileCreateIJWorkfilestru匚tu已typeCancel|Dated-regularfrequencyIrregularDatedandP&nElrkfilesmaybemadefromUnstructuredworkfilesbylaterspecifyingdateand/orotheridentifiers

6、eries可支配收入(SR)序列平穩(wěn)性檢驗打開SR序列，選擇View/UnitRootTest,選擇帶截距項(intercept),滯后差分選2階。輸出結(jié)果如下：Series:SRWorkfile:UNTTTLED-Untitl&clX1=1回ESViewPcii:ObjectPropertiesPrint|NameFreezeSampleGenr|Sheet|Graph|Stats11dent|AugmentedDickey-FullterUnitRootTestonSRNullHypothesis:SRhasaunitrootExogenous:ConstantLagLength:2(Fi

7、xed;t-StatisticProb*AugmentedDickey-Fullerteststatistic-0.8B26110.7952Testcriticalvalues:1%level5%level10%level-3.513344-2.39767S-2.586103t統(tǒng)計量-0.862612大于相應(yīng)臨界值，從而不能拒絕HO,表明SR序列存在單位根，是非平穩(wěn)序列。為了確定SR的單整階數(shù)，對一階差分序列作單位根檢驗，選擇帶截距項，滯后差分項選2階，如下：選擇了“1stdifferenee”即是對一階差分序列作單位根檢驗因為t統(tǒng)計量為-8.374339小于相應(yīng)的臨界值，從而拒絕H0，表明差

8、分序列不存在單位根，是平穩(wěn)序列，也即SR序列是一階單整的，SRI(1)。采用同樣方法，得到ZC也是一階單整的。為檢驗SR和ZC之間是否存在協(xié)整關(guān)系，先作兩變量之間的回歸，然后檢驗回歸殘差的平穩(wěn)性。以ZC為被解釋變量，SR為解釋變量，最小二乘回歸結(jié)果如下：Equatio-n:UNTITLEDWorkfle-:UNTTTLED:Untitled|=|回|3|Vim刖|Prcz|(JbjEct|Print|NarnE|FrEeze|E呂tim日te|Forcza呂t|tats|R已呂ick|DependentVariable:ZCMethod:LeastSquaresate:0329/15Time:

9、21:10Sample:1992M011998M12Includedobservations:84VariableCoefficientStd.Errort-StatisticProb.C13.933668.674-1602.1891070.0314SR0.8196770.02177737.639500.0000R-squared0.945237Meandependsnt*m31S.3649AdjustedR-squared0.944620S.D.dependentvar134.7917S.E.ofregression31.72051Akaikeinfocriterion9.775326Sum

10、squaredresid825-07.66Schwarzcriterion9.831202Loglikelihood-+00.5637Hannan-Quinncriter.9.793592F-statistic1416.732Durbin-Watsonstat1.609062Prob(F-staiistic).000000為了檢驗回歸殘差的平穩(wěn)性，在工作文檔窗口中，點擊Genr,命令et=Resid,將OLS回歸的殘差序列命名為et，對et進(jìn)行單位根檢驗。因為殘差序列均值為0，所以選擇無截距項、無趨勢項的DF檢驗。Gener-iatcSeriesbyEquia-ti-onEnterequa廿o

11、nOKICancelGenerate-SeriesbyEqua-ti-orI冨UnitRootTestTesttype|AugmentedDickey-FLill&rTegtforunitroatin(*Level1stdifference2nddifferenceIndudtintestequdtion廠InterceptTrendandinterceptNonedgqiciiyuiAutomaticselection:|SchwarzInfaCriterion|Maximumlags:伍Userspecified:1KCancel輸出結(jié)果如下：Series:ETWorkfile:UNTIT

12、LED:Untitkd|=|回|3|訓(xùn)亡艸|px|匚J亡ut|Propertits|PrintNnm亡Fr亡亡盤5酊卩1亡|GenrISheetIGrnph|Stats|lckrit|Augmnte-dDick&y-FulllerUnitRootTestonETNullHypothesis:EThasaunitrootExogenous:NoneLagLength:0(Fixed;t-StatisticProb?負(fù)UEirn棗門tEdElickmy-FLillerteststtiElic：-了Ci.OCiDOTestcriticalvalues:level-2.5931215%level-1.

13、94476210level-1.61420+MacKinnon(1996)one-sidedp-values因為t統(tǒng)計量為-7.430111小于相應(yīng)臨界值，從而拒絕H0,表明殘差序列不存在單位根，是平穩(wěn)序列，說明SR與ZC之間存在協(xié)整關(guān)系。誤差修正模型AZC二a+pASR+ye+sTOC o 1-5 h zttt1t在EViews中，點擊Genr,生成SR和ZC的差分序列:DZCtDSRt=AZC=ZCZCttt1=ASR=SRSRttt1以DZCt為被解釋變量叫和et1為解釋變量估計誤差修正模型生成差分序列進(jìn)行模型估計輸出回歸結(jié)果：Equation:UNTITLEDWorkfle:UNTIT

14、LED:Untitled|1=1|回|撫Yi亡即|proc|Obd亡ct|PrintName|FreezeEstirn日te|尸o亡cas1:|Stats|R亡aids|DependentVariable:DZCMethod:LeastSquaresMkOSCWI占Time:21:44Sample:1992MO21990M12Includedobservations:83VariableCoefTicientStd.Errort-StatisticPrabc0.3264243-4567240.0944320.9250SR0.7E89420.05967B12.8S4900.0000ETC-1-.77914&0.113186-6.8538000.0000R-squaredQ.691102Meandependentvar斗.530434AdjustedR-squared0.633330S.D.dependentvar55.71666S.E.ofregression3135122Akaikeinfocriterion9.763859Sumsquaredre-sid7tt531-&3