时间序列分析(1).doc

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1、時間序列分析作業二1•檢定是否有結構改變？（列示過程）如果有結構改變，請指出時間改變點？並列出最後完整的方程式?（1）用目視法輔助判斷首先將Y變數繪圖來看（如圖一），可以發現在匸150附近可能出現結構性改變，但確切發生的時間點應透過移動性Chow檢定來得之。〈圖一〉⑵用ACF和PACF來輔助判斷變數的DGPConeiogramofYDate:04/28/10Time2046Sample1400Includedobservations400Corr^ogramofResiduaisDate04/28/10Tim

2、e:2049Sample6400Includedobservations395AutocorrelationPartialCorrelationACPACQ-StatProbAutocorrelationPartialCorreiattonACPACQ-StatProb10.9870.987392.43209780.15877880309710.1191161140.964-0.0121538.35095800521911660950-0.0232280.370943-0.0252644080935-0.01

3、93002790927-0.0223356/10919-00183704309120027404790904-0.006438680895-00514719908880.0285048.3088000075372008740030569160866-00386006.20858-0005631590850-0.0066620908430006692130835-0008721710827-0.0137508.20819-0017779440811-0004807590804000383527079600158

4、6253078900098893.707830030915850775•0.037941870767-0.0229674407600019992610753-0.01710174.0745000210417.0738-000110656.0730-0.03410891.07230003111220.000000000000.00000000.000000000000.000000000000.00000000.000000000000.0000000000000000000000000000000000000

5、00000000000000000000000000000000000.0000000•p10.0130013006620.7972002500250313008553001300120377709454007900792910105735-0009-00122946107086-0.087-00926017904217001500166114005278013401351341600989-0021-0022135940138100008001313618019111-0003-00101362202551

6、20080005316235018113-0031-00251663302仃14-0085-00701962901421500110007196750185160064004821361016517•0015•000621455020718-0064-005323168018419-0051-0060242610.186200012•001924321022921•0053•003125497022622004500852634202372300220025265550275240004•0029265600

7、32525-0014-00142®644037426-0024-00102688804152700590063283580393280046005229263039929•0055•0043305450387300037-004931124040931•0005-001331.135045932-0018-00343127805033300100034313230551340058007732792052735-0022-0053330010“上3600830079359810470〈圖二〉圖二是Y變數的Q檢

8、定，圖三是對Y變數估出基本模型（如表一）後的Q檢定，可以看出殘差沒有自我相關。（3砧計出勢模型〈表一〉DependentVariable:YMethod:LeastSquaresDate:04/28/10Time:20:54Sample(adjusted):6400Includedobservations:395afteradjustmentsVariableCoefficientStd.Error