利用eviews进行协整分析(国外英语资料).doc

利用eviews进行协整分析 The cointegration analysis of Eviews Use eviews for cointegration analysis 【 experiment 】 Grasp the software operation of cointegration analysis and related content [experimental content] The unit root inspection, the single integral test, the correlation test, the error correction model [experimental steps] The Augmented dickey-fuller Test (ADF) Test Consider the model (1) delta yt = delta yt = delta yt = delta yt = delta yt = delta yt = delta yt = delta The model (2) delta yt = eta + delta yt - 1 + sigma lambda j, delta yt - j + mu t The model (3) delta yt = eta + beta t + delta yt - 1 + sigma lambda j J = 1, 2, 3 The check steps for the unit root are as follows: Step 1: estimate the model (3). At the significant level of the ADF threshold, if the parameter delta is significantly less than zero, the sequence yt does not exist in the unit root, indicating that the sequence yt is stable and the test is finished. Otherwise, take the second step. Step 2: given delta = 0, if the parameter beta is significant not zero, at a given ADF threshold level, the third step is entered; Otherwise, the model does not contain the time trend and enters the fourth step. Step 3: apply the usual t distribution to check for delta = 0. If the parameter delta is significantly less than zero, the sequence yt does not exist in the unit root, indicating that the sequence yt is stable and the test is terminated. Otherwise, the sequence has a unit root, a non-stationary sequence, and an end test. Step 4: estimate the model (2). At the significant level of the ADF threshold, if the parameter delta is significantly less than zero, the sequence yt does not exist in the unit root, indicating that the sequence yt is stable and the test is terminated. Otherwise, move on. Step five: given that delta = 0, if the parameter delta is significantly less than zero given the significant level of the ADF threshold, it indicates that there is a constant term, which is the third step. Otherwise,