平稳性检验部分.docVIP

二．模型设立与检验 M2CPI（前一年=100）利率外汇储备GDP199225402.2106.40.075619.44326923.48199334879.8114.70.09397521.19935333.92199446923.5124.10.109851.6248197.86199560750.5117.10.109873.59760793.73199676094.9108.30.0916725105.04971176.59199790995.3102.80.07125139.8978973.031998104498.599.20.05076144.95984402.281999119897.998.60.0292575154.67589677.052000138356.47100.40.0225165.57499214.552001158301.92100.70.0225212.165109655.172002185006.9799.20.02025286.407120332.692003221222.82101.20.0198403.251135822.762004253207.7103.90.02025609.932159878.342005298755.48101.80.0225818.872184937.372006345577.91101.50.02351251066.344216314.432007403401.3104.80.0305081528.249265810.312008475166.6105.90.0393751946.03314045.432009606225.0199.30.02252399.152340902.812010725851.79103.30.023082847.338401512.82011851590.9105.40.031253197.491473104.052012974200102.60.03353311.6519322 数据解释：数据如上表所示，由于货币需求量无法查到数据故用广义的货币供给量M2进行代替处理M2为累计数据；由于我国利率尚未市场化，故小组对于利率进行了处理，图示数据中利率数据以一年期存款利率为标准，由于利率存在调整故每年利率等于当年不同利率由其不同的期限进行加权得到一年利率；物价指数已上一年作为100得到如图数据。 模型设立 由图上提供的五个数据简单进行平稳性检测发现若设立模型Y=B1+B2X2+B3X3+B4X4+B5X5数据均为2阶差分平稳故从可行性和数据存在累计数据的角度出发设立模型如下，其中系数表示弹性： LNY=B0+B1LNX2+B2LNX3+B3LNX4+B4LNX5 其中Y为M2 X2为CPI X3为利率 X4为外汇储备 X5为GDP ①平稳性检验 （1）原始数据ADF平稳性检验 Null Hypothesis: LNY has a unit rootExogenous: ConstantLag Length: 0 (Automatic - based on SIC, maxlag=4)t-Statistic??Prob.*Augmented Dickey-Fuller test statistic-3.068888?0.0455Test critical values:1% level-3.8085465% level-3.02068610% level-2.650413*MacKinnon (1996) one-sided p-values. Null Hypothesis: LNX2 has a unit rootExogenous: ConstantLag Length: 4 (Automatic - based on SIC, maxlag=4)t-Statistic??Prob.*Augmented Dickey-Fuller test statistic-5.015538?0.0013Test critical values:1% level-3.920350