計量經(jīng)濟(jì)學(xué)上機(jī)作業(yè)答案

非穩(wěn)間列模一確消費(fèi)與收入是否為平穩(wěn)序列，如果是非平穩(wěn)的，請確定單整的階數(shù)；對消費(fèi)進(jìn)行單位根檢驗H0：H1：（常數(shù)）檢驗P值為0.2593，值大，接受原假設(shè)，消費(fèi)是非平穩(wěn)序列。NullHypothesis:CONShasaunitrootExogenous:Constant,LinearTrendLagLength:1(Automatic-basedonSIC,maxlag=4)t-Statistic

Prob.*AugmentedDickey-Fullerteststatistic-2.6654420.2593Testcriticalvalues:1%level5%level10%level

-4.532598-3.673616-3.277364另外，在同時有常數(shù)和變量或兩者都沒有）的檢驗中p都很大，所以也接受原假設(shè)，消費(fèi)是非平穩(wěn)序列。NullHypothesis:CONShasaunitrootExogenous:Constant,LinearTrendLagLength:1(Automatic-basedonSIC,maxlag=4)t-Statistic

Prob.*AugmentedDickey-Fullerteststatistic-2.6654420.2593Testcriticalvalues:1%level5%level10%level

-4.532598-3.673616-3.277364*MacKinnon(1996)one-sidedp-values.Warning:Probabilitiesandcriticalvaluescalculatedfor20observationsandmaynotbeaccurateforasamplesizeof19NullHypothesis:CONShasaunitrootExogenous:NoneLagLength:2(Automatic-basedonSIC,maxlag=4)t-Statistic

Prob.*AugmentedDickey-Fullerteststatistic2.0829850.9874Testcriticalvalues:1%level5%level10%level

-2.699769-1.961409-1.606610*MacKinnon(1996)one-sidedp-values.Warning:Probabilitiesandcriticalvaluescalculatedfor20observationsandmaynotbeaccurateforasamplesizeof18

對消費(fèi)數(shù)據(jù)一階差分后回歸的值仍舊很大，所以仍不平形式一：NullHypothesis:D(CONS)hasaunitrootExogenous:ConstantLagLength:1(Automatic-basedonSIC,maxlag=4)t-Statistic

Prob.*AugmentedDickey-Fullerteststatistic-2.4232520.1496Testcriticalvalues:1%level5%level10%level

-3.857386-3.040391-2.660551*MacKinnon(1996)one-sidedp-values.Warning:Probabilitiesandcriticalvaluescalculatedfor20observationsAndmaynotbeaccurateforasamplesizeof18形式二：NullHypothesis:D(CONS)hasaunitrootExogenous:Constant,LinearTrendLagLength:1(Automatic-basedonSIC,maxlag=4)t-Statistic

Prob.*AugmentedDickey-Fullerteststatistic-2.7573800.2283Testcriticalvalues:1%level5%level10%level

-4.571559-3.690814-3.286909*MacKinnon(1996)one-sidedp-values.Warning:Probabilitiesandcriticalvaluescalculatedfor20observationsAndmaynotbeaccurateforasamplesizeof18形式三：NullHypothesis:D(CONS)hasaunitrootExogenous:Constant,LinearTrendLagLength:1(Automatic-basedonSIC,maxlag=4)t-Statistic

Prob.*AugmentedDickey-Fullerteststatistic-2.7573800.2283Testcriticalvalues:1%level5%level10%level

-4.571559-3.690814-3.286909*MacKinnon(1996)one-sidedp-values.Warning:Probabilitiesandcriticalvaluescalculatedfor20observationsandmaynotbeaccurateforasamplesizeof18

再進(jìn)行二階差分檢驗值0.0013，值小，消費(fèi)是二階非平穩(wěn)序列。NullHypothesis:D(CONS,2)hasaunitrootExogenous:NoneLagLength:1(Automatic-basedonSIC,maxlag=4)AugmentedDickey-FullerteststatisticTestcriticalvalues:1%level5%level10%level

t-Statistic-3.601020-2.708094-1.962813-1.606129

Prob.*0.0013*MacKinnon(1996)one-sidedp-values.Warning:Probabilitiesandcriticalvaluescalculatedfor20observationsandmaynotbeaccurateforasamplesizeof17同理，對收入進(jìn)行單位根檢驗（常數(shù)）檢驗P值為0.9994，值大，接受原假設(shè)，收入是非平穩(wěn)序列。NullHypothesis:INChasaunitrootExogenous:ConstantLagLength:1(Automatic-basedonSIC,maxlag=4)t-Statistic

Prob.*AugmentedDickey-Fullerteststatistic1.8236290.9994Testcriticalvalues:1%level5%level10%level

-3.831511-3.029970-2.655194*MacKinnon(1996)one-sidedp-values.Warning:Probabilitiesandcriticalvaluescalculatedfor20observationsandmaynotbeaccurateforasamplesizeof19另外，在同時有常數(shù)和變量或兩者都沒有）的檢驗中p都很大，所以也接受原假設(shè)，收入是非平穩(wěn)序列。NullHypothesis:INChasaunitrootExogenous:Constant,LinearTrendLagLength:1(Automatic-basedonSIC,maxlag=4)t-Statistic

Prob.*AugmentedDickey-Fullerteststatistic0.5089160.9983Testcriticalvalues:1%level5%level10%level

-4.532598-3.673616-3.277364

*MacKinnon(1996)one-sidedp-values.Warning:Probabilitiesandcriticalvaluescalculatedfor20observationsandmaynotbeaccurateforasamplesizeof19NullHypothesis:INChasaunitrootExogenous:NoneLagLength:1(Automatic-basedonSIC,maxlag=4)t-Statistic

Prob.*AugmentedDickey-FullerteststatisticTestcriticalvalues:1%level5%level10%level

2.219885-2.692358-1.960171-1.607051

0.9907*MacKinnon(1996)one-sidedp-values.Warning:Probabilitiesandcriticalvaluescalculatedfor20observationsandmaynotbeaccurateforasamplesizeof19對收入數(shù)據(jù)一階差分后回歸的值仍舊很大，所以仍不平NullHypothesis:D(INC)hasaunitrootExogenous:ConstantLagLength:0(Automatic-basedonSIC,maxlag=4)t-Statistic

Prob.*AugmentedDickey-Fullerteststatistic-0.6839040.8280Testcriticalvalues:1%level5%level10%level

-3.831511-3.029970-2.655194*MacKinnon(1996)one-sidedp-values.Warning:Probabilitiesandcriticalvaluescalculatedfor20observationsandmaynotbeaccurateforasamplesizeof19NullHypothesis:D(INC)hasaunitrootExogenous:Constant,LinearTrendLagLength:0(Automatic-basedonSIC,maxlag=4)t-Statistic

Prob.*AugmentedDickey-Fullerteststatistic-1.8150550.6571Testcriticalvalues:1%level5%level10%level*MacKinnon(1996)one-sidedp-values.

-4.532598-3.673616-3.277364

Warning:Probabilitiesandcriticalvaluescalculatedfor20observationsandmaynotbeaccurateforasamplesizeof19NullHypothesis:D(INC)hasaunitrootExogenous:NoneLagLength:0(Automatic-basedonSIC,maxlag=4)t-Statistic

Prob.*AugmentedDickey-Fullerteststatistic0.7335730.8646Testcriticalvalues:1%level5%level10%level

-2.692358-1.960171-1.607051*MacKinnon(1996)one-sidedp-values.Warning:Probabilitiesandcriticalvaluescalculatedfor20observationsandmaynotbeaccurateforasamplesizeof19再進(jìn)行二階差分檢驗值0.0009，值小，收入是二階非平穩(wěn)序列。NullHypothesis:D(INC,2)hasaunitrootExogenous:NoneLagLength:0(Automatic-basedonSIC,maxlag=4)AugmentedDickey-FullerteststatisticTestcriticalvalues:1%level5%level10%level

t-Statistic-3.727139-2.699769-1.961409-1.606610

Prob.*0.0009*MacKinnon(1996)one-sidedp-values.Warning:Probabilitiesandcriticalvaluescalculatedfor20observationsandmaynotbeaccurateforasamplesizeof18二在費(fèi)與收入之間是否可以建立協(xié)整模型？對消費(fèi)、收入進(jìn)行回歸。對殘差序列的平穩(wěn)性進(jìn)行檢驗p值較大，不在單位根NullHypothesis:rehasaunitrootExogenous:ConstantLagLength:0(Automatic-basedonSIC,maxlag=4)t-Statistic

Prob.*AugmentedDickey-Fullerteststatistic-1.6880060.4210Testcriticalvalues:1%level5%level

-3.831511-3.029970

10%level-2.655194*MacKinnon(1996)one-sidedp-values.原始數(shù)據(jù)收入、消費(fèi)不存在協(xié)整關(guān)系。對原數(shù)據(jù)進(jìn)行處理x=log(inc)y=log(cons)對殘差序列的平穩(wěn)性進(jìn)行檢驗p值很小，存單位根NullHypothesis:REhasaunitr