時(shí)間序列分析ARMA模型實(shí)驗(yàn)

時(shí)間序列分析ARMA模型實(shí)驗(yàn)析處理。通過對數(shù)化及差分處理后,將原本非平穩(wěn)的序列處理為近似數(shù)據(jù)見附錄表。社會(huì)融資規(guī)模指一定時(shí)期內(nèi)(每月、每季或每年)實(shí)體經(jīng)濟(jì)從金融體系獲得的全余額減去期初余額的差額，或當(dāng)期發(fā)行或發(fā)生額指標(biāo)，由實(shí)體經(jīng)濟(jì)仍存在一定的趨勢性，下面觀察lm的自相關(guān)圖表lm的自相關(guān)圖平穩(wěn)性。進(jìn)一步進(jìn)行單位根檢驗(yàn)，由于存在較弱的趨勢性且均值不為零，選擇存在趨勢表單位根輸出結(jié)果NullHypothesis:LMhasaunitrootExogenous:Constant,LinearTrendLagLength:0(Automatic-basedonSIC,maxlag=12)t-StatisticProb.*AugmentedDickey-FullerteststatisticTestcriticalvalues:1%level*MacKinnon(1996)one-sidedp-values.Date:11/02/14Time:22:35Sample:2005M112014M09Includedobservations:106AutocorrelationPartialCorrelationACPACQ-StatProb****|.|||****|.**|.*|.|||123*|.|*|.|||*|.|*|.||*|.||*|.||*|.|||**|.|**|.|||*|.||||||*|.|*|.|||**|.||||*|.|*|.|||||**|.|*|.|||*|.||||||*|.|||*|.||||||*|.|||||**|.|*|.|||Date:11/02/14Time:22:40Sample:2005M112014M09Includedobservations:94AutocorrelationPartialCorrelationACPACQ-StatProb****|.|****|.|.|.|***|.|.|.|**|.||.|.|**|.|.*|.||.*|.||.|.|.|.||.*|.|.|.|DependentVariable:SDLM||||||........*.........................*..***|.**.*|..|.**|.*.|.*.|..|..|.*.*|.*.|..|.*.*|..|..|..*|..|.*MA SARMA型估計(jì)結(jié)果MethodLeastSquaresDate1/02/14Time:22:50SampleadjustedM12014M09nsafteradjustmentsonvergenceachievedafteriterationsVariableCoefficientStd.Errort-StatisticProbCAR(1)quaredMeandependentvarAdjustedR-squaredntvarsionAkaikeinfocriterionquaredresidwarzcriterionoglikelihoodHannan-Quinncriter.statisticDurbin-WatsonstatProbF-statistic)InvertedARRoots.92+.25i..67+.67i...25+.92iSARMA12模型的殘差檢驗(yàn)結(jié)果AAIC(1,0)12(1,1)12(1,0)12(1,1)12(1,0)12(1,1)12(1,0)12(1,1)12SARMA(1,0)SARMA(1,0)SARMA(1,1)SARMA(1,1)SARMA(2,0)SARMA(2,0)SARMA(3,0)SARMA(3,0)平穩(wěn)性是是是是是是是是可逆性是是是是是是是是殘差是否滿足白噪聲SARMA行擬合是最優(yōu)SARMA模型估計(jì)結(jié)果DependentVariable:SDLMMethod:LeastSquaresDate:11/02/14Time:23:16Sample(adjusted):2008M012014M09Includedobservations:81afteradjustmentsConvergenceachievedafter13iterationsMABackcast:2006M122007M12VariableCoefficientStd.Errort-StatisticProbCAR(1)MA(1)quaredAdjustedR-squaredsionquaredresidoglikelihoodstatisticProbF-statistic)MeandependentvarntvarAkaikeinfocriterionwarzcriterionHannan-Quinncriter.Durbin-Watsonstat....62+.62iMARoots.49i...49+.86i.+.99ibiasproportion偏誤，即預(yù)測均值與真實(shí)均值的偏離程度，本例中biasn差占比越大，預(yù)測效果越好。本例中的協(xié)方差誤要小于方差誤，因此預(yù)測效果據(jù)社會(huì)融資規(guī)模地區(qū)全國頻度月位億元2002-01-4722002-022002-03362002-042002-052002-066212002-0732002-082002-09072002-102002-112002-12092003-01862003-0282003-0340412003-046222003-059712003-06422003-072003-08212003-0940402003-102003-1118322003-124982004-011142004-024382004-0365572004-047312004-054432004-06292004-072004-082004-099812004-104832004-1119772004-12862005-01202005-0242005-0341892005-042005-2005-052005-0647232005-072005-080972005-0960412005-10-9742005-113682005-125242006-0163232006-022006-0322006-04252006-05852006-06432006-072542006-08622006-09772006-1042006-117882006-12372007-0169082007-02832007-0363112007-0461032007-05242007-0622007-07002007-0869612007-09902007-10882007-11732007-1242812008-012008-0247312008-0363912008-0462008-05782008-06762008-0748902008-0845752008-09592008-102008-1145172008-1281642009-012009-022009-032009-042009-052009-062009-072009-082009-092009-102009-112009-122010-012010-022010-032010-042010-052010-062010-072010-082010-092010-102010-112010-122011-012011-022011-032011-042011-052011-062011-072011-082011-092011-102011-112011-122012-012012-022012-032012-042012-052012-062012-072012-082012-092012-102201152210678085950181002055028608646893427989581975496372012-11202012-112012-122013-012013-022013-032013-042013-052013-0625446255032014-032014-042014-052014-062014-072014-082014-09202013-072013-082013-092013-102013-112013-122014-012014-0281918645在收集數(shù)據(jù)時(shí)是否需要按照相關(guān)經(jīng)濟(jì)學(xué)知識判斷該變量是否存在自相關(guān)性在選取數(shù)據(jù)時(shí)只關(guān)注了原始數(shù)據(jù)的時(shí)序圖，選擇了大體呈現(xiàn)隨機(jī)波動(dòng)。然而具體進(jìn)行分析的時(shí)候卻遇到了很多問題，數(shù)據(jù)無法通過單位根檢驗(yàn)，或者由這樣的自相關(guān)圖該如何進(jìn)行分析表單位根輸出結(jié)果NullHypothesis:LMhasaunitrootExogenous:Cons