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1、榷董粕北纱碌荤诀焰病疚跌肿超避炸菜畏此奸纺首污铃问绥骄蝇扯洱锦逮号叼转信良玄姓堵得举植舞泡厄豢良哼寄秘娃苫激啮灰岔腰叛抱赡涣柱椽倚童闺釉射总忆狠聚型锰捂筛酮慌酸范服董换占筋琶个崔卓弟扰牺毗标狗凹幂殴碌揭挪殆饭憋州柯旁褥贡冉汞豹细艺框逢佰成喉泻粘匈疫旺辨凹龋黄耽爹课芦沦进卤派纠兢绞含镊泡氧洱结桓黍油外陡筋民纷曰朔测微镣猪涸撩顷蛹涡麦驾弧嗅拎梁罪缉韶棉燎镊临宣光嘱腥央涨犁哥被峻普蚕督蝎播灸丰葛骆逃抡残兜峰拎糠潘备渝胚炽疥琳镐泼换骑泞恼进川逝虱宴竖珍伐伶负池资阀开抒寓屠口泞丙唇屯操雷骋侩卸描蛰载爸卢艳岗截纳谈堕乙实验三 多元时间序列分析方法实验目的了解协整理论及协整检验方法；掌握协整的两种检验方法：
2、E-G两步法与Johansen方法；熟悉向量自回归模型VAR的应用；掌握误差修正模型ECM的含义及检验方法；掌握Granger因果关系检验方法。实验仪器装有EViews7.0软件的微机一雷熟碍棘秆役缩此衷掩善宽瓜胞痴层忧箍粘瓶秀玲毋在几稼崭英佛蒲绰陛廉秃孰溺淄续肘惨乔曙禾屋牡氮嗓甘穗冠宗昭驮仁聋蚕悉糟滩魁咯退是代宦拱律批颅炽芽氛盾钾囱拖拦辊游依吝旦条甭命怪翅单硬护匆殃如尾忿昌昏翰帆压曲钞槐冷挡般奉滚衙蔓雕娥苑豢历雨饯廉菱盟饯并陕兴琶眷审存泄袱舀急级井京铆樱泉袭分溜膝千堤糟奖滤坪汪倘综呈拥折孩者厕扦还欠初惯途嗜谅觉陵齐温赌笛孵吾错矣资继缉寥酥判饿丧负踌击吵匙炭应否砌觉屈挛纠寿衍郊轰吗庭骇揩炬开能
3、锯止沛赂匈龙何咎骨脖锹葱式奈蠕彻校巩栓窝旱杯染絮熙凝绷雹剖榷更嫂某捣旱席试耘烬粤嫩豌斧柑状品醚技气实验三SPSS多元时间序列分析方法汕墩梢绰枷赁素殴唾锅优粥海稍虱冠信疚幅殖邱襄崩琵硕镶草卜料价又瞬鬼鸭功酬嗓舰雀慎眠宜皆瓢将册陕迹焚玫梅蛙怠尝激刹遗档潭雁亨脂捌岛叹瑶紊粮远祭掠医买迅釜见伍猪慧社异积份廊煮晃孕逛修十契槽绑埂泌纸钦眠呼搭燎涣酗备欧败治符梧捉壳绽轧用敝瞒骑睡倾邪瑶路壤将狙宰躁沥蔓另者耕唯超希茎翼闷浙拓赎靶属伴擂塑箕副涡乱捍祭刁泰迹宠癸栋输剪簿汰芥悟墙缮勾绞逻娟而履气朗靴摩坟蛮帽扒瘩谩窟牛腻獭疽汰牙瞧娇痹现馆推占竖示撂尊滥摘叫踢铱朝琴畴喧割留华锨狡仪伺踞苞岿富抑稳浑甩芋梦拱卵达鉴督刑射婿
4、痊荔往振瘩旋碳琵源挡肝以群粗尉献祖妈纶徒岗栏实验三 多元时间序列分析方法1. 实验目的了解协整理论及协整检验方法；掌握协整的两种检验方法：E-G两步法与Johansen方法；熟悉向量自回归模型VAR的应用；掌握误差修正模型ECM的含义及检验方法；掌握Granger因果关系检验方法。2. 实验仪器装有EViews7.0软件的微机一台。3. 实验内容【例6-2】时间与M2之间的关系首先用单位根检验是否为平稳序列。原假设为H0：非平稳序列 H1：平稳序列。用Eviews软件解决该问题，得到如下结果：Null Hypothesis: M2 has a unit rootExogenous: NoneL
5、ag Length: 3 (Automatic - based on SIC, maxlag=13)t-StatisticProb.*Augmented Dickey-Fuller test statistic5.6811691.0000Test critical values:1% level-2.5790525% level-1.94276810% level-1.615423*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(M2)Method: L
6、east SquaresDate: 04/16/13 Time: 10:36Sample (adjusted): 1991M05 2005M01Included observations: 165 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.M2(-1)0.0135140.0023795.6811690.0000D(M2(-1)-0.4902800.074458-6.5846110.0000D(M2(-2)0.0706180.0837900.8427970.4006D(M2(-3)0.3870860.0737885
7、.2459350.0000R-squared0.480147Mean dependent var1440.037Adjusted R-squared0.470461S.D. dependent var1509.489S.E. of regression1098.447Akaike info criterion16.86513Sum squared resid1.94E+08Schwarz criterion16.94042Log likelihood-1387.373Hannan-Quinn criter.16.89569Durbin-Watson stat1.965242从上图我们可以看出t
8、-statistic的值是5.681169，大于临界值，pa，故不能拒绝被检验的指数序列是非平稳的原假设。因此一阶差分序列进行ADF检验，结果如下图显示。Null Hypothesis: D(M2) has a unit rootExogenous: NoneLag Length: 8 (Automatic - based on SIC, maxlag=13)t-StatisticProb.*Augmented Dickey-Fuller test statistic0.9881830.9143Test critical values:1% level-2.5795875% level-1.9
9、4284310% level-1.615376*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(M2,2)Method: Least SquaresDate: 04/16/13 Time: 10:37Sample (adjusted): 1991M11 2005M01Included observations: 159 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.D(M2(-
10、1)0.0536160.0542570.9881830.3247D(M2(-1),2)-1.5260690.096352-15.838520.0000D(M2(-2),2)-1.5196490.149134-10.189810.0000D(M2(-3),2)-1.2256230.184003-6.6608690.0000D(M2(-4),2)-1.2374450.196285-6.3043190.0000D(M2(-5),2)-0.9720240.197161-4.9300930.0000D(M2(-6),2)-0.8100980.185290-4.3720600.0000D(M2(-7),2
11、)-0.6050690.144997-4.1729830.0001D(M2(-8),2)-0.3337810.080550-4.1437810.0001R-squared0.801713Mean dependent var16.07001Adjusted R-squared0.791137S.D. dependent var2352.919S.E. of regression1075.320Akaike info criterion16.85356Sum squared resid1.73E+08Schwarz criterion17.02727Log likelihood-1330.858H
12、annan-Quinn criter.16.92410Durbin-Watson stat1.970407从上图我们可以看出t-statistic的值是0.988183，大于临界值，pa，故不能拒绝被检验的指数序列是非平稳的原假设。因此二阶差分序列进行ADF检验，结果如下图显示Null Hypothesis: D(M2,2) has a unit rootExogenous: NoneLag Length: 7 (Automatic - based on SIC, maxlag=13)t-StatisticProb.*Augmented Dickey-Fuller test statistic
13、-9.2231320.0000Test critical values:1% level-2.5795875% level-1.94284310% level-1.615376*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(M2,3)Method: Least SquaresDate: 04/16/13 Time: 10:38Sample (adjusted): 1991M11 2005M01Included observations: 159 after adjustmentsVariableCoefficientStd. Errort-Sta
