方程第5题arima模型-例5.9建立中国gdp对数序列的arima模型

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1、5.ARIMA模型第一步：gdp序列的平稳性检验。用ADF单位根检验：NullHypothesis:GDPhasaunitrootExogenous:Constant,LinearTrendLagLength:4(Automatic-basedonSIC,maxlag=4)t-Statistic  Prob.*AugmentedDickey-Fullerteststatistic 1.993937 1.0000Testcriticalvalues:1%level-4.3943095%level-3.61219910%level-3.243079*MacKinnon(1996)one-side

2、dp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(GDP)Method:LeastSquaresDate:01/07/14Time:10:03Sample(adjusted):19832006Includedobservations:24afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.  GDP(-1)0.0692060.0347081.9939370.0625D(GDP(-1))1.0788250.2399344.4963420.0003D(

3、GDP(-2))-0.8609460.406194-2.1195450.0491D(GDP(-3))0.7283860.5018471.4514110.1649D(GDP(-4))-0.8137880.350036-2.3248690.0327C-402.47001591.446-0.2528960.8034@TREND(1980)161.2485214.69150.7510710.4629R-squared0.944348    Meandependentvar8564.483AdjustedR-squared0.924706    S.D.dependentvar7687.518S.E.

4、ofregression2109.437    Akaikeinfocriterion18.38472Sumsquaredresid75645293    Schwarzcriterion18.72832Loglikelihood-213.6167    Hannan-Quinncriter.18.47588F-statistic48.07816    Durbin-Watsonstat2.069518Prob(F-statistic)0.000000gdp序列以最大的p值，即100%的显著性接受原假设，即存在单位根。第二步检验gdp一阶差分的平稳性，结果如下：NullHypothesis:

5、GDPhasaunitrootExogenous:Constant,LinearTrendLagLength:4(Automatic-basedonSIC,maxlag=4)t-Statistic  Prob.*AugmentedDickey-Fullerteststatistic 1.993937 1.0000Testcriticalvalues:1%level-4.3943095%level-3.61219910%level-3.243079*MacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDepend

6、entVariable:D(GDP)Method:LeastSquaresDate:01/07/14Time:10:03Sample(adjusted):19832006Includedobservations:24afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.  GDP(-1)0.0692060.0347081.9939370.0625D(GDP(-1))1.0788250.2399344.4963420.0003D(GDP(-2))-0.8609460.406194-2.1195450.0491D(GDP(-3))

7、0.7283860.5018471.4514110.1649D(GDP(-4))-0.8137880.350036-2.3248690.0327C-402.47001591.446-0.2528960.8034@TREND(1980)161.2485214.69150.7510710.4629R-squared0.944348    Meandependentvar8564.483AdjustedR-squa