时间序列分析61640

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1、在统计年鉴上下载河南省口1978年之后的每年的国民生产总値的数据。如下表1表1河南省各年GDP数据（单位：亿元）年份GDP年份GDP1978162.9219963634.691979190.0919974041.091980229.1619984308.241981249.6919994517.941982263.320005052.991983327.9520015533.011984370.0420026035.481985451.7420036867.71986502.9120048553.791987609.

2、6200510587.421988749.09200612362.791989850.71200715012.461990934.65200818018.5262419911045.73200919480.4552119921279.75201023092.3619931660.18201126931.031619942216.83201229599.3119952988.37资料来源：河南统计年鉴2013•中国统计岀版社-数据的处理及平稳性的判定对yt做线形图如下图130,000YT图2对GDP取对数后的折线图从l

3、og(yt)的线形图可以看出，该图形有明显的上升趋势,对a进行ADF检验NullHypothesis:AhasaunitrootExogenous:ConstantLagLength:1(AutomaticbasedonSIC,MAXLAG=8)AugmentedDickey-Fullerteststatistic-0.4765170.8835Testcriticalvalues:1%level-3.6463425%level-2.95402110%level-2.615817t-StatisticProb.**Ma

4、cKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(A)Method:LeastSquaresDate:06/09/14Time:10:29Sample(adjusted):19802012Ineludedobservations:33afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.A(-1)-0.0033870.007107-0

5、.4765170.6372D(A(-1))0.4561770.1646182.7711290.0095C0.1085240.0609811.7796480.0853R-squared0.207480Meandependentvar0.152970AdjustedR-squared0.154645S・D.dependentvar0.066788S・E.ofregression0.061407Akaikeinfocriterion-2.656081Sumsquaredresid0.113124Schwarzcriteri

6、on-2.520034Loglikelihood46.82533HarmarbQuinncriter.-2.610305F-statistic3.926966Durbin-Watsonstat1.893242Prob(F-statistic)0.030560由上图可以看出,p=0.8835>0.05,因此a存在单位根，对log(yt)做一阶差分得到b的图形如下图2图2—阶差分后图形从上图中可以看出，处理后的b=log(yt)-log(yt(-1))已经没有非常明显的趋势性。对b的ADF检验也证明了这一点NullHyp

7、othesis:BhasaunitrootExogenous:ConstantLagLength:3(AutomaticbasedonAIC,MAXLAG=8)t-StatisticProb.*AugmentedDickey-Fullerteststatistic-3.4828420.0156Testcriticalvalues:1%level-3.6701705%level-2.96397210%level-2.621007*MacKinnon(1996)one-sidedp-values.AugmentedDic

8、key-FullerTestEquationDependentVariable:D(B)Method:LeastSquaresDate:06/10/14Time:21:11Sample(adjusted):19832012Includedobservations:30afteradjustmentsVariableCoefficientStd.