单方程第5题ARIMA模型-例59建立中国GDP对数序列的ARIMA模型.docx

ARIMA模型 第一步：gdp序列的平稳性检验。用ADF单位根检验： Null Hypothesis: GDP has a unit rootExogenous: Constant, Linear TrendLag Length: 4 (Automatic - based on SIC, maxlag=4)t-Statistic??Prob.*Augmented Dickey-Fuller test statistic?1.993937?1.0000Test critical values:1% level-4.3943095% level-3.61219910% level-3.243079*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(GDP)Method: Least SquaresDate: 01/07/14 Time: 10:03Sample (adjusted): 1983 2006Included observations: 24 after adjustmentsVariableCoefficientStd. 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))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????Mean dependent var8564.483Adjusted R-squared0.924706????S.D. dependent var7687.518S.E. of regression2109.437????Akaike info criterion18.38472Sum squared resid????Schwarz criterion18.72832Log likelihood-213.6167????Hannan-Quinn criter.18.47588F-statistic48.07816????Durbin-Watson stat2.069518Prob(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： Null Hypothesis: GDP has a unit rootExogenous: Constant, Linear TrendLag Length: 4 (Automatic - based on SIC, maxlag=4)t-Statistic??Prob.*Augmented Dickey-Fuller test statistic?1.993937?1.0000Test critical values:1% level-4.3943095% level-3.61219910% level-3.243079*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(GDP)Method: Least SquaresDate: 01/07/14 Time: 10:0