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1、孑时做说瓶厚与疣耐偿浣本科教学实验讲义(实验)课程名称:时间序列分析贵州财经学院教务处制2013年9月实验项目一:时间序列的预处理1960 1965 1970 1975 1980 1985 1990 1995 2000year二、检验1964年1999年中国纱年产量序列的纯随机性Date: 03/15/09 Time: 22:17Sample: 1964 1999Included observations: 36AutocorrelationPartial CorrelationACPACQ-StatProbl*|0.9140.91432.6460.000.I . I 20.8430.0506
2、1.2680.000|.*l I 30.767-0.06585.6680.000!* I I 40.695-0.021106.340.000I* *| .|50.609 -0.129122.700.000I* I I 60.5440.065136.180.000I* I I 70.476-0.034146.880.000I*l - I 80.395-0.139154.520.000 I I.I I 90.321-0.019159.740.000. I” I.*l . I 100.242-0.094162.820.000-r. i.*l . I 110.147-0.166164.000.000.
3、i . i.I I 120.058-0.038164.190.000 i - i.| 13-0.033-0.116164.250.000 *i i I I 14-0.1080.010164.980.000 *i i I I 15-0.1680.053166.830.000“I . i I I 16-0.215-0.015169.990.000实验项目二:平稳时间序列分析选择合适的模型ARMA拟合1950年1998年北京市城乡居民定期储蓄比例序列。序列自相关和偏自相关图Date: 03/15/09 Time: 22:24Sample: 1950 1998Included observations
4、: 49AutocorrelationPartial CorrelationACPAGQ-StatProb| 0.7020.70225.6900.000I*. I I 20.5950.20144.5380.000I*I- I 30.4780.00556.9470.000I*J .|40.328 -0.12662.9240.000I* r i 50.3560.22770.1130.000. I II- I 60.3030.01275.4580.000r iI. I 70.2910.03080.5010.000 i*| .|80.160-0.26282.0690.000. i. i.*l . I
5、90.060-0.06282.2930.000 i. i*l- I 10-0.037 -0.10582.3830.000.*i. i.l*. I 11-0.0770.07982.7740.000 i. il. I 12-0.0370.05582.8660.000.i i |*.| 130.0080.13082.8700.000. i. iI 140.007 -0.08582.8730.000 i. i.I*.| 150.0110.07682.8820.000 i. iI- I 16-0.019-0.03682.9100.000 i. il. I 17-0.0560.00083.1580.000
6、j- iI- I 18-0.039-0.05183.2840.000. i. i|.|19-0.049-0.04983.4860.000 i. i_.*| .| _20-0.033-0.06683.5820.000确定1950年1998年北京市城乡居民定期储蓄比例序列拟合模型的口径拟合模型:AR(1)Dependent Variable: XMethod: Least SquaresDate: 03/15/09 Time: 22:29Sample(adjusted): 1951 1998Included observations: 48 after adjusting endpointsCon
7、vergence achieved after 3 iterationsVariableCoefficientStd. Error t-StatisticProb.c81.320341.97627741.148250.0000AR(1)0.7033320.1046606.7201870.0000R-squared0.495398Mean dependent var81.48333Adjusted R-squared0.484428S.D.dependent var5.652276S.E. of regression4.058523Akaike info criterion5.680289Sum
8、 squared resid757.6939Schwarz criterion5.758256Log likelihood-134.3269F-statistic45.16091Durbin-Watson stat1.640227Prob(F-statistic)0.000000Inverted AR Roots_.70模型的检验Date: 03/15/09 Time: 22:33Sample: 1951 1998Included observations: 48Q-statistic probabilities adjusted for 1 ARMA term(s)Autocorrelati
9、onPartial CorrelationACPAGQ-StatProb.*l.1.*l.11-0.086-0.0860.3748J*.1 I*.120.1150.1091.06910.301 1*.1 I*.130.1230.1431.86980.393.*l.1.*1.14-0.174 -0.1713.51410.319 I*.1. I*.150.1560.1044.86720.301.1.1.1.160.0160.0654.88160.431. I 1. 1170.2190.2527.69550.261J. 1. I. 180.005-0.0417.69680.360 I. 1 I. 1
10、90.007-0.0197.70020.463*l.1*l.110-0.091-0.1698.21770.512.*l.1111-0.134-0.0849.38250.496 I- 1.*l.112-0.024-0.0889.42180.583J. 1 I*.1130.0630.1209.69230.643 I. 1 I. 114-0.005-0.0579.69420.719 I. 1 I. 1150.0520.0609.89210.770.1.1.1.1160.0100.0119.89930.826.*l.1!117-0.0860.04110.4670.841J. 1. I. 1180.02
11、30.02110.5080.881 I. 1 1-119-0.0400.01310.6440.909 I. 1.*l.1_200.004-0.07510.6450.935实验项目三:非平稳序列的随机分析对1952年1988年中国农业实际国民收入指数序列建模agr ic 280 - 260 - 240- 220 - 200 - 180- 160- 140- 120- 100-80-1950 1955 1960 1965 1970 1975 1980 1985 1990t ime一阶差分序列时序图t ime一 阶差分序列自相关、偏自相关图Date: 03/15/09 Time: 22:42Samp
12、le: 1952 1988Included observations: 36AutocorrelationPartial CorrelationACPACQ-StatProb.* II*|0.5380.53811.3040.001 I I*l I 20.208-0.11513.0390.001 r- i I I 30.0900.03913.3760.004 *i - i,*| .|4-0.142-0.27014.2420.007 *i i r- i 5-0.1010.16214.6940.012 *i . i.*l I 6-0.118-0.17815.3300.018 *i i.| .|7 -0.1480.03116.3610.022-r. i.I*.|80.0910.21016.7640.033. i I I 90.1660.02918.1560.033 i - i.*| .| 10-0.012-0.25818.1630.052