目录实验一回归方程的拟合实验二邹检验及虚拟变量实验三线性回归中的问题实验四随机时间序列的特征观察实验五单位根检验实验六ARMA模型运用实验四随机时间序列的特征观察实验属性综合型实验时间2018.5.26实验目的1.准确掌握随机过程的平稳性和非平稳性的特征和判断方法。
2.熟练掌握运用自相关分析判断随机过程的平稳性。
3.学会利用自相关分析图判断序列的季节性。
4.熟练掌握运用相关分析图判断齐次非平稳序列平稳化需要的差分次数。
实验内容实验步骤1.根据数据频率和时间范围，创建EVIEWS工作文件2.录入数据，并对序列进性初步分析。
绘制财政存款余额数据原始序列和对数序列的折线图，分析序列的基本趋势。
3.利用相关分析图观察对数序列的随机特征。
分别观察对数序列和一次差分后的对数序列的相关分析图，判断序列平稳性和季节性。
4.对财政存款余额对数序列进性季节调整，再观察相关分析图。
分别观察季节调整后的对数序列和一次差分后序列的相关分析图，判断序列平稳性和平稳化需要的差分次数。
实验结果分析8910111213LNSAVE40,00080,000120,000160,000200,000金融机构储蓄存款（人民币）_月末数(亿元)指导教师批阅（1）实验态度：不认真（），较认真（），认真（）（2）实验目的：不明确（），较明确（），明确（）（3）实验内容：不完整（），较完整（），完整（）（4）实验步骤：混乱（），较清晰（），清晰（）（5）实验结果：错误（），基本正确（），正确（）（6）实验结果分析：无（），不充分（），较充分（），充分（）（7）其它补充：总评成绩：评阅教师（签字）：实验五单位根检验实验属性综合型实验时间2018.5.26实验目的1.准确掌握单位根检验方程的形式和检验原理。
2.学会利用单位根检验方法对样本序列进行平稳性检验。
实验内容实验步骤1.根据数据频率和时间范围，创建EVIEWS工作文件2.录入数据，并对序列进行初步分析。
分别绘制上证综指和深证综指序列的折线图以及组形式的折线图，分析序列的基本趋势，以及两者的关系。
运用ADF检验对上证综指和深证综指序列进行单位根检验。
分别做原序列和差分序列的单位根检验，并判断单整的阶数。
根据序列的折线图选择检验方程程式，根据AIC准则选择ADF检验时的最大滞后阶数p。
1、折线图上证指数2011201220132014201520025030035040045050020112012201320142015B 股指数2、 单位根检验a) 上证指数Null Hypothesis: SZ has a unit root Exogenous: ConstantLag Length: 0 (Automatic - based on SIC, maxlag=0)t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.821843 0.8054Test critical values:1% level -3.546099 5% level -2.91173010% level-2.593551*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test Equation Dependent Variable: D(SZ) Method: Least Squares Date: 05/26/18 Time: 10:35Sample (adjusted): 2011M02 2015M12Included observations: 59 after adjustmentsVariableCoefficient Std. Error t-Statistic Prob.SZ(-1) -0.035718 0.043461 -0.821843 0.4146C 104.7672 115.3055 0.908606 0.3674R-squared 0.011711 Mean dependent var 12.68627 Adjusted R-squared -0.005628 S.D. dependent var 208.6358S.E. of regression 209.2220 Akaike info criterion 13.55798 Sum squared resid 2495110. Schwarz criterion 13.62840 Log likelihood -397.9604 Hannan-Quinn criter. 13.58547F-statistic 0.675425 Durbin-Watson stat 1.130185 Prob(F-statistic) 0.414591b)B股指数Null Hypothesis: BZ has a unit rootExogenous: ConstantLag Length: 0 (Automatic - based on SIC, maxlag=0)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -0.927937 0.7725 Test critical values: 1% level -3.5460995% level -2.91173010% level -2.593551*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(BZ)Method: Least SquaresDate: 05/26/18 Time: 10:39Sample (adjusted): 2011M02 2015M12Included observations: 59 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.BZ(-1) -0.060600 0.065306 -0.927937 0.3574C 18.44405 18.05093 1.021779 0.3112 R-squared 0.014882 Mean dependent var 2.033220Adjusted R-squared -0.002401 S.D. dependent var 27.73204 S.E. of regression 27.76532 Akaike info criterion 9.518763 Sum squared resid 43942.03 Schwarz criterion 9.589188 Log likelihood -278.8035 Hannan-Quinn criter. 9.546254 F-statistic 0.861066 Durbin-Watson stat 1.179314 Prob(F-statistic)0.3573531,0002,0003,0004,0005,00020112012201320142015Null Hypothesis: B has a unit root Exogenous: ConstantLag Length: 2 (Automatic - based on SIC, maxlag=10)t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.000675 0.7474Test critical values:1% level -3.550396 5% level -2.91354910% level-2.594521*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(B)Method: Least SquaresDate: 05/26/18 Time: 10:55Sample (adjusted): 2011M04 2015M12Included observations: 57 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.B(-1) -0.066407 0.066362 -1.000675 0.3215D(B(-1)) 0.547197 0.128837 4.247219 0.0001D(B(-2)) -0.351425 0.138779 -2.532264 0.0143C 19.48832 18.09630 1.076923 0.2864R-squared 0.287792 Mean dependent var 1.911579 Adjusted R-squared 0.247478 S.D. dependent var 28.20860 S.E. of regression 24.47040 Akaike info criterion 9.300397 Sum squared resid 31736.42 Schwarz criterion 9.443769 Log likelihood -261.0613 Hannan-Quinn criter. 9.356116 F-statistic 7.138824 Durbin-Watson stat 2.001913 Prob(F-statistic) 0.000409B 1_level difference:Null Hypothesis: D(B) has a unit rootExogenous: ConstantLag Length: 1 (Automatic - based on SIC, maxlag=10)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -6.114032 0.0000 Test critical values: 1% level -3.5503965% level -2.91354910% level -2.594521*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(B,2)Method: Least Squares Date: 05/26/18 Time: 10:59Sample (adjusted): 2011M04 2015M12 Included observations: 57 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.D(B(-1)) -0.880668 0.144041 -6.114032 0.0000 D(B(-1),2)0.406046 0.127596 3.182279 0.0024 C1.6732813.2447600.515687 0.6082R-squared0.409900 Mean dependent var 0.751579 Adjusted R-squared 0.388044 S.D. dependent var 31.28141 S.E. of regression 24.47070 Akaike info criterion 9.284026 Sum squared resid 32336.03 Schwarz criterion 9.391555 Log likelihood -261.5947 Hannan-Quinn criter. 9.325816 F-statistic 18.75493 Durbin-Watson stat 2.057590Prob(F-statistic) 0.000001-100-75-50-25025507510020112012201320142015D(B)Null Hypothesis: S has a unit rootExogenous: ConstantLag Length: 1 (Automatic - based on SIC, maxlag=10)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -1.719933 0.4161 Test critical values: 1% level -3.5482085% level -2.91263110% level -2.594027*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(S)Method: Least SquaresDate: 05/26/18 Time: 10:56Sample (adjusted): 2011M03 2015M12Included observations: 58 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.S(-1) -0.069190 0.040228 -1.719933 0.0911D(S(-1)) 0.463652 0.121921 3.802887 0.0004C 183.8161 106.2189 1.730541 0.0891R-squared 0.218032 Mean dependent var 10.93328 Adjusted R-squared 0.189597 S.D. dependent var 210.0192 S.E. of regression 189.0643 Akaike info criterion 13.37239 Sum squared resid 1965993. Schwarz criterion 13.47896 Log likelihood -384.7993 Hannan-Quinn criter. 13.41390 F-statistic 7.667681 Durbin-Watson stat 1.828385 Prob(F-statistic) 0.0011551_level differenceNull Hypothesis: D(S) has a unit rootExogenous: ConstantLag Length: 0 (Automatic - based on SIC, maxlag=10)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -4.791818 0.0002 Test critical values: 1% level -3.5482085% level -2.91263110% level -2.594027*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(S,2)Method: Least SquaresDate: 05/26/18 Time: 10:58Sample (adjusted): 2011M03 2015M12Included observations: 58 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.D(S(-1)) -0.580826 0.121212 -4.791818 0.0000C 6.201530 25.29271 0.245190 0.8072R-squared 0.290794 Mean dependent var -0.355000 Adjusted R-squared 0.278129 S.D. dependent var 226.3827 S.E. of regression 192.3415 Akaike info criterion 13.39030 Sum squared resid 2071733. Schwarz criterion 13.46135 Log likelihood -386.3186 Hannan-Quinn criter. 13.41797 F-statistic 22.96152 Durbin-Watson stat 1.800422 Prob(F-statistic) 0.000013-800-600-400-200020040060080020112012201320142015D(S)Null Hypothesis: USD_URD has a unit root Exogenous: ConstantLag Length: 0 (Automatic - based on SIC, maxlag=10)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -1.225177 0.6569Test critical values:1% level -3.562669 5% level -2.91877810% level-2.597285*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test Equation Dependent Variable: D(USD_URD)Method: Least SquaresDate: 05/26/18 Time: 12:01Sample (adjusted): 2 53Included observations: 52 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.USD_URD(-1) -0.061077 0.049851 -1.225177 0.2262C 0.043776 0.035712 1.225823 0.2260R-squared 0.029146 Mean dependent var 4.77E-05 Adjusted R-squared 0.009729 S.D. dependent var 0.008680 S.E. of regression 0.008638 Akaike info criterion -6.627630 Sum squared resid 0.003731 Schwarz criterion -6.552582 Log likelihood 174.3184 Hannan-Quinn criter. -6.598858 F-statistic 1.501058 Durbin-Watson stat 1.794929 Prob(F-statistic) 0.226249Null Hypothesis: D(USD_URD) has a unit rootExogenous: ConstantLag Length: 0 (Automatic - based on SIC, maxlag=10)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -6.638373 0.0000 Test critical values: 1% level -3.5654305% level -2.91995210% level -2.597905*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(USD_URD,2)Method: Least SquaresDate: 05/26/18 Time: 12:01Sample (adjusted): 3 53Included observations: 51 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.D(USD_URD(-1)) -0.938021 0.141303 -6.638373 0.0000C 0.000213 0.001225 0.174272 0.8624R-squared 0.473503 Mean dependent var 0.000109 Adjusted R-squared 0.462758 S.D. dependent var 0.011933 S.E. of regression 0.008747 Akaike info criterion -6.601842 Sum squared resid 0.003749 Schwarz criterion -6.526084 Log likelihood 170.3470 Hannan-Quinn criter. -6.572892 F-statistic 44.06800 Durbin-Watson stat 1.996560 Prob(F-statistic) 0.000000Null Hypothesis: D(USD_URD) has a unit rootExogenous: ConstantLag Length: 0 (Automatic - based on SIC, maxlag=10)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -6.638373 0.0000Test critical values: 1% level -3.5654305% level -2.91995210% level -2.597905*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(USD_URD,2)Method: Least SquaresDate: 05/26/18 Time: 12:04Sample (adjusted): 3 53Included observations: 51 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.D(USD_URD(-1)) -0.938021 0.141303 -6.638373 0.0000C 0.000213 0.001225 0.174272 0.8624R-squared 0.473503 Mean dependent var 0.000109 Adjusted R-squared 0.462758 S.D. dependent var 0.011933 S.E. of regression 0.008747 Akaike info criterion -6.601842 Sum squared resid 0.003749 Schwarz criterion -6.526084 Log likelihood 170.3470 Hannan-Quinn criter. -6.572892 F-statistic 44.06800 Durbin-Watson stat 1.996560 Prob(F-statistic) 0.000000实验结果分析指导教师批阅（1）实验态度：不认真（），较认真（），认真（）（2）实验目的：不明确（），较明确（），明确（）（3）实验内容：不完整（），较完整（），完整（）（4）实验步骤：混乱（），较清晰（），清晰（）（5）实验结果：错误（），基本正确（），正确（）（6）实验结果分析：无（），不充分（），较充分（），充分（）（7）其它补充：总评成绩：评阅教师（签字）：实验六ARMA模型运用实验属性综合型实验时间2018.5.26实验目的1.准确掌握ARIMA(p,d,q)模型的各种形式和基本原理。