bbe6a5443f4e654d5818b0c06a56d501.zip 18.85KB

weixin_57950773

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bbe6a5443f4e654d5818b0c06a56d501.zip 大约有2个文件

实训三数据.csv 6.93KB
时间序列分析-实训练习3.docx 18.84KB

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bbe6a5443f4e654d5818b0c06a56d501.zip

<link href="/image.php?url=https://csdnimg.cn/release/download_crawler_static/css/base.min.css" rel="stylesheet"/><link href="/image.php?url=https://csdnimg.cn/release/download_crawler_static/css/fancy.min.css" rel="stylesheet"/><link href="/image.php?url=https://csdnimg.cn/release/download_crawler_static/89591487/raw.css" rel="stylesheet"/><div id="sidebar" style="display: none"><div id="outline"></div></div><div class="pf w0 h0" data-page-no="1" id="pf1"><div class="pc pc1 w0 h0"><img alt="" class="bi x0 y0 w1 h1" src="/image.php?url=https://csdnimg.cn/release/download_crawler_static/89591487/bg1.jpg"/><div class="t m0 x1 h2 y1 ff1 fs0 fc0 sc0 ls0 ws0">实训练习<span class="_ _0"> </span><span class="ff2">3-VAR<span class="_ _0"> </span></span>模型<span class="ff2">(Eviews<span class="_ _0"> </span></span>操作<span class="ff2">)</span></div><div class="t m0 x1 h3 y2 ff3 fs1 fc0 sc0 ls0 ws0">一、<span class="_ _1"> </span>在<span class="_ _2"> </span><span class="ff4">Eviews<span class="_ _2"> </span></span>软件中打<span class="_ _3"></span>开分析数<span class="_ _3"></span>据<span class="ff4">“</span>实训<span class="_ _2"> </span><span class="ff4">3<span class="_"> </span></span>数据<span class="ff4">.xlsx”<span class="_ _4"></span><span class="ff3">，数据：<span class="_ _4"></span>【<span class="ff4">x1:</span>股</span></span></div><div class="t m0 x2 h3 y3 ff3 fs1 fc0 sc0 ls0 ws0">票<span class="_ _2"> </span><span class="ff4">1<span class="_"> </span></span>的股价<span class="_ _3"></span>数据<span class="_ _3"></span>，<span class="ff4">x2<span class="_ _3"></span></span>：股<span class="_ _3"></span>票<span class="_ _2"> </span><span class="ff4">2<span class="_"> </span></span>的股价<span class="_ _3"></span>数据<span class="_ _3"></span>】<span class="_ _4"></span>，根据<span class="_ _5"> </span><span class="ff4">VAR<span class="_"> </span></span>模型的</div><div class="t m0 x2 h3 y4 ff3 fs1 fc0 sc0 ls0 ws0">原理进行建模分析。<span class="_ _6"></span>【以下分析均</div><div class="t m1 x3 h4 y4 ff5 fs2 fc0 sc0 ls0 ws0">以<span class="_ _2"> </span><span class="ff6">0.1<span class="_"> </span></span>作为显著性水平</div><div class="t m0 x4 h3 y4 ff3 fs1 fc0 sc0 ls0 ws0">】</div><div class="t m0 x1 h5 y5 ff2 fs1 fc0 sc0 ls0 ws0">1<span class="ff1">、检验时<span class="_ _3"></span>间序列的平<span class="_ _3"></span>稳性，保证<span class="_ _3"></span>建模数据均为<span class="_ _3"></span>平稳时间序<span class="_ _3"></span>列数据或</span></div><div class="t m0 x1 h5 y6 ff1 fs1 fc0 sc0 ls0 ws0">为协整数据<span class="ff3">：</span></div><div class="t m0 x1 h3 y7 ff3 fs1 fc0 sc0 ls0 ws0">通过<span class="_ _2"> </span><span class="ff4">Eviews<span class="_ _2"> </span></span>软件，<span class="_ _7"></span>首先画出变量<span class="_ _2"> </span><span class="ff4">x1,x2<span class="_ _2"> </span></span>的时序图，<span class="_ _7"></span>大致观测数据是否</div><div class="t m0 x1 h3 y8 ff3 fs1 fc0 sc0 ls0 ws0">为平稳时间序列数据，并进一步对变量<span class="_ _2"> </span><span class="ff4">x1,x2<span class="_ _2"> </span></span>进行单位根检验判断数</div><div class="t m0 x1 h3 y9 ff3 fs1 fc0 sc0 ls0 ws0">据是否平稳，若<span class="_ _2"> </span><span class="ff4">x1,x2<span class="_ _2"> </span></span>为非平稳时间序列，则分析两变量是否存在协</div><div class="t m0 x1 h3 ya ff3 fs1 fc0 sc0 ls0 ws0">整关系，<span class="_ _3"></span>通过以<span class="_ _3"></span>上检验<span class="_ _3"></span>后进行下<span class="_ _3"></span>一步分<span class="_ _3"></span>析。<span class="_ _6"></span>【<span class="_ _3"></span>如若进行<span class="_ _3"></span>协整检<span class="_ _3"></span>验，请</div><div class="t m0 x1 h3 yb ff3 fs1 fc0 sc0 ls0 ws0">通过<span class="_ _2"> </span><span class="ff4">E-G<span class="_ _2"> </span></span>两步法进行检验】</div><div class="t m0 x1 h3 yc ff3 fs1 fc0 sc0 ls0 ws0">实训结果：</div><div class="t m0 x1 h3 yd ff3 fs1 fc0 sc0 ls0 ws0">（此处附输出结果）</div><div class="t m0 x1 h3 ye ff3 fs1 fc0 sc0 ls0 ws0">实训结果分析：</div><div class="t m0 x1 h3 yf ff3 fs1 fc0 sc0 ls0 ws0">（针对输出结果，在此处进行分析）</div></div><div class="pi" data-data='{"ctm":[1.611830,0.000000,0.000000,1.611830,0.000000,0.000000]}'></div></div><div id="pf2" class="pf w0 h0" data-page-no="2"><div class="pc pc2 w0 h0"><img class="bi x0 y0 w1 h1" alt="" src="/image.php?url=https://csdnimg.cn/release/download_crawler_static/89591487/bg2.jpg"><div class="t m0 x1 h5 y10 ff2 fs1 fc0 sc0 ls0 ws0">2<span class="ff1">、对变量进行格兰杰因果检验，分析变量间的因果关系：</span></div><div class="t m0 x5 h3 y11 ff3 fs1 fc0 sc0 ls0 ws0">当时间序列数据通过第一步检验后，<span class="_ _8"></span>可以进一步的分析变量间的</div><div class="t m0 x1 h3 y12 ff3 fs1 fc0 sc0 ls0 ws0">因果关系。</div><div class="t m0 x1 h3 y13 ff3 fs1 fc0 sc0 ls0 ws0">实训结果：</div><div class="t m0 x1 h3 y14 ff3 fs1 fc0 sc0 ls0 ws0">（此处附输出结果）</div><div class="t m0 x1 h3 y15 ff3 fs1 fc0 sc0 ls0 ws0">实训结果分析：</div><div class="t m0 x1 h3 y16 ff3 fs1 fc0 sc0 ls0 ws0">（针对输出结果，在此处进行分析）</div><div class="t m0 x1 h5 y17 ff2 fs1 fc0 sc0 ls0 ws0">3<span class="ff1">、构建<span class="_ _2"> </span></span>VAR<span class="_ _2"> </span><span class="ff1">模型：</span></div><div class="t m0 x5 h3 y18 ff3 fs1 fc0 sc0 ls0 ws0">分析变量均为平稳时间序列或存在协整关系的情况下，<span class="_ _8"></span>可以尝试</div><div class="t m0 x1 h3 y19 ff3 fs1 fc0 sc0 ls0 ws0">构建<span class="_ _2"> </span><span class="ff4">VAR(p,p)</span>模型，<span class="_ _9"></span>其中滞后阶数<span class="_ _2"> </span><span class="ff4">p<span class="_ _2"> </span></span>可以通过比较模型的<span class="_ _2"> </span><span class="ff4">BIC<span class="_ _a"> </span></span>值或考</div><div class="t m0 x1 h3 y1a ff3 fs1 fc0 sc0 ls0 ws0">虑系数的显著性来进行确定，请写出最后的模型方程。</div><div class="t m0 x1 h3 y1b ff3 fs1 fc0 sc0 ls0 ws0">实训结果：</div></div><div class="pi" data-data='{"ctm":[1.611830,0.000000,0.000000,1.611830,0.000000,0.000000]}'></div></div>

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