单方程第跑6题误差修正模型ecm-例5.10财政支出和财政收入的协整关系检验.docxVIP

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 root Exogenous: Constant Lag Length: 11 (Automatic - based on SIC, maxlag=14) t-Statistic Prob.* Augmented Dickey-Fuller test statistic 17.49149 1.0000 Test critical values: 1% level -3.462412 5% level -2.875538 10% level -2.574309 Null Hypothesis: D(F_EX) has a unit root Exogenous: Constant, Linear Trend Lag Length: 13 (Automatic - based on SIC, maxlag=14) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.595468 0.0014 Test critical values: 1% level -4.004365 5% level -3.432339 10% level -3.139924  Null Hypothesis: F_IN has a unit root Exogenous: Constant, Linear Trend Lag Length: 11 (Automatic - based on SIC, maxlag=14) t-Statistic Prob.* Augmented Dickey-Fuller test statistic 8.434406 1.0000 Test critical values: 1% level -4.003675 5% level -3.432005 10% level -3.139728 Null Hypothesis: D(F_IN) has a unit root Exogenous: Constant, Linear Trend Lag Length: 12 (Automatic - based on SIC, maxlag=14) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.682684 0.0010 Test critical values: 1% level -4.004132 5% level -3.432226 10% 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: None None Linear Linear Quadratic Test Type No Intercept Intercept Intercept Intercept Intercept No Trend No Trend No Trend Trend Trend Trace 2 2 2 1 1 Max-Eig 2 2 2 1 1 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 Tests Date: 01/04/14 Time: 19:37 Sample: 1990M01 2007M12 Lags: 2 ?Null Hypothesis: Obs F-Statistic Prob.? ?F_EX does not Granger Cause F_IN ?214 ?51.5493 6.E-19 ?F_IN does not Granger Cause F_EX ?63.3241 3.E-22 接下来要对f_ex和f_in进行差分。把这两个变量作为一个组打开，点击Default选项下的log，把数据复制到excel中，重新命名ln(f_ex)和