《时间序列平稳性检验及ARIMA模型的应用》由会员分享，可在线阅读，更多相关《时间序列平稳性检验及ARIMA模型的应用（9页珍藏版）》请在金锄头文库上搜索。
1、时间序列模型的应用以2000年第一季度-2016年第四季度中国国内生产总值统计数据为例，建立ARIMA 模型。所有数据按当年价格计算，共有68个观测值。年份季度GDP （亿元）年份季度GDP （亿元）2000121329.92009174053.1224043.4283981.3325712.5390014.1429194.34101032.82001124086.42010187616.7226726.6299532.4328333.33106238.7431716.84119642.5200212629520111104641.3229194.82119174.3331257.331269
2、81.6434970.34138503.32003129825.520121117593.9232537.32131682.5335291.93138622.2439767.44152468.92004134544.620131129747偻攵据来源：http:/ :TChKrriPrint LManeFreessanp eGrm5tnr Sheet 匚 hEMtz der0 Series GDP Workfilr UN TITLEDilJntrtledV-B xAugm*nt*d Dicke AFuller Unit Root Tsl on GQPAStatisticProb1Auarncn
3、icd Dickcv Fuller test Giotstc1 6530420 0997Test c ntr fll valueslevel-3 E401985 怙 level2 909200ID% tevel2 582215JJI Hypothesis: GEP has a unit rootIzKogenQus DonslartLength. 5 ； ALtu nalic -bdM on SIC. tridxlay-lO)l/acKinnor (1A9A) one-sided p-vNues.图1-1.GDP单位根检验结果（有截距项无趋势项）0Seifes:GDPWorkhle: UNTi
4、nED:Unlitled n xVlEWL Proc :ObjectPre pertie* Pnnt Nme Fr?p?e Samplr GenirSheet Graph Jit 北 IrkAugmented Diekty Fuller Unrt Root Test on GDPNull l-Aipcthesis: GDP has a unrt ractExDflenous: Constant Lrear TrendLag LerAti. 5 (AutomAic - based on SIC. maxlagAW)t-Siatistic Prob *Aanenred dickcy Fuior t
5、est staiistc2.34 ?71U0/1027Tea critical va ues:1 % level亏 levtl 10% 创4.113017-3.A3970-m 171071AMxKinron (1S&5) sne-sided p-values图1-2.GDP单位根检验结果（有截距项有趋势项）Mull -lycoAesis： GUP has a jnt raoiExogenous- NoneL 自 g Length 5 lALitcmatic - tased ort SlQ rriaKlag=lO)t-SldiilicProb.Auamented Diclev Fuller le
6、st statistc2202674.9929Test critical values:1% levelZ6027Q45% level1 0A6161 -1613396rh/j e- -es： COP VVrxkfi r LNTlTl FD :l)ntitirAl.1 1X包叫 Proc Object PropertiesPrim Name Fr&ez Samp e G&nrShAet Grapti=hdtr1 J1,Augmented Dicky-Fuller Unrt Root Test on GDP*kgr Krunn (19 胎* nnp-sided p-v16Test critica
7、l values1 h level-23027945 利 levelA1.9A-16110% level1.613398MacKinnon (199气 one-sided p-values图1-4.GDP 一阶差分单位根检验结果(无截距项无趋势项)可以看出一阶差分后，d (GDP)序列是不平稳的。阶差分结果如下：它 Series： GDP Wtorkfile： UhJTlTLE&： Untitled-nVew Proc Object 3roperties Pr nt Ndrre freeze Sairipk Genr Sheet GraphStatsAugmented Dlcky-Fullr
8、Unit Root T&s( on D|GDP,2)Null Hypothesis: D(GDP,2) has a unit rootExogenous MarieLag Lsigtt) 3 (AiMomAtx - based on SIC, rrudag=1D) t-Statistic Prob Ajcmcntcd Dickqy Fuller test static斗 A&277 d 0900Test urgl values1 % level5 珂 level&416110% levelI 613398Tt-1ac Kj n non (19&6 ore-3 ice d p-values.图1
9、-5.GDP二阶差分单位根检验结果(无截距项无趋势项)因此，二阶差分平稳。2、确定模型形式检查GDP二阶差分序列的自相关函数和偏自相关函数:Corr*kgrim of D(GDPDate： 01 D718 Time : 12：八5SdiTf) l 2C-MQ1 201 吧 4Inc udec ot seAvaiiori. -.6Auto correlationF*uai C orrelationACFACQ SuitPTcb11 =1:120688 3390568JU19230 77336 032Q.05Q o ODau11q忖-oft) t H勺122 970000 o.ooa 011140
10、八890.03_160 17SHQ 13O&i11160 302 -0.0301S5 95oooa111110 w讣(KBfTTUSoon1B 77B-0J30224 aaoooa匚_11iry讣a. 2/o-0 031?710 001l1w-0 0042b2.b30_ODO1=1l11-0 4购0Q24270 50OOQO|12130 J/2J.D420 4554)0183d IJ 3?5 55O.OOQ OOdQ111 1 l11OI1140 238o.oor33。450 00011iII15-04104)010145 25 ODOHi14 173 582甜40.J100.0193龌0Q.QOO DODO111i1I10 206 41(X3333 760 0tf=1l15 -0 屈0.027405 360 000IIlfl20 0 4EM
