单方程第6题误差修正模型ECM-例510财政支出和财政收入的协整关系检验.docx

财政收入和财政支出的关系图：新建workfile，注意开始日期和截止日期： 把数据载入workfile中，取名：f_ex 和 f_in.把两个变量作为一个组打开，点击view/garph画图，直接点击ok。 单位根检验表面：财政支出和财政收入都是一阶单整，可以探讨两者的协整关系。具体操作步骤： 先单独打开f_ex,点击view/unit root test.然后点击ok。如下图所示。接下来，要再次重复这个动作，只是选项中药选择1 st difference。如下图所示点击ok。 单位根检验如下表： Null Hypothesis: F_EX has a unit rootExogenous: ConstantLag Length: 11 (Automatic - based on SIC, maxlag=14)t-StatisticProb.*Augmented Dickey-Fuller test statistic17.491491.0000Test critical values:1% level-3.4624125% level-2.87553810% level-2.574309 Null Hypothesis: D(F_EX) has a unit rootExogenous: Constant, Linear TrendLag Length: 13 (Automatic - based on SIC, maxlag=14)t-StatisticProb.*Augmented Dickey-Fuller test statistic-4.5954680.0014Test critical values:1% level-4.0043655% level-3.43233910% level-3.139924 Null Hypothesis: F_IN has a unit rootExogenous: Constant, Linear TrendLag Length: 11 (Automatic - based on SIC, maxlag=14)t-StatisticProb.*Augmented Dickey-Fuller test statistic8.4344061.0000Test critical values:1% level-4.0036755% level-3.43200510% level-3.139728 Null Hypothesis: D(F_IN) has a unit rootExogenous: Constant, Linear TrendLag Length: 12 (Automatic - based on SIC, maxlag=14)t-StatisticProb.*Augmented Dickey-Fuller test statistic-4.6826840.0010Test critical values:1% level-4.0041325% level-3.43222610% level-3.139858把f_ex和f_in以一个group打开，点击view/contegration test/Johansen system…..然后点击ok。 两者之间的协整关系检验如下表： Data Trend:NoneNoneLinearLinearQuadraticTest TypeNo InterceptInterceptInterceptInterceptInterceptNo TrendNo TrendNo TrendTrendTrendTrace22211Max-Eig22211再次点击view/granger causality 两者之间格兰杰因果关系检验如下表： Pairwise Granger Causality TestsDate: 01/04/14