1、取用房地产开发企业商 品房销售面积以及房地产开发企业商品房销售额的累计额,而由丁我国不单独对1月份统计数据进行 调查,1-2月份数据一起调査,一起发布。所以序列缺少每年一月份的相关数据,属于非随机、不可忽 略缺失,在此采用一二月平均值得到一月份的数据。补全数据后在每一年度进行差分处理得到当月量, 再把总销售额与总销售面积相除得到国内市场上商品房的平均价格序列P。由丁序列P有较强的趋势性,为了平滑房价的变动趋势,对P做对数化处理记为LP。由于现有数据仅为岀口额、进口额,故想减得到净出口值,并乘以当月汇率转化成人民币计量。此外为了平滑净出口的变动趋势,对X同样也做对数化处理记为LXo4. 1. 2
2、 CPI由丁CPI为相对数,为了减少基期的影响以及减少异方差性,对CPI进行对数化处理记为LC。4. 2单位根检验观察LC、LX、LP的图形,如下所示:图4.1 LC的曲线图LP11.2-11.0-10.8-10.6-10.4 -10.2.10.0.9.8-图4.2 LP的曲线图LX对三个变量选取相应的形式进行单位根检验.表4.1各变量单位根检验结果变量水平值检验结果一阶差分检验结果检验形式ADFPLC(C, 0, 12)-2.4015630.1428(0, 0, 11)-6.0470440.0000(C, T, 12)-2.3274470.4166-3.6182010.0004(C, 0,
3、1)-2.7725980.0645(C, 0, 0)20.98416综上,三个变量在5%的显著水平上都不平稳,但一阶差分平稳,因此三个序列都为一阶单整过程。4. 3协整检验由丁变量LP存在截距和趋势,因此选择第二类形式,11变量无明显的时间特征,因此选择第三种 形式作为协整检验形式。根据信息准则以及残差进行滞后阶数的确定,当滞后阶数为1时,AIU-7.137759, SC-6.790499;当滞后阶数为2时,AIC=-7.538003, SC= 6930299;当滞后阶数为3时,AIC= -7.679420, SC= -6.811272o故此处选择滞后二阶为最优滞后阶数。选择滞后阶数为2, 1
4、1第三种形式进行协整检验,检验结果如下:表4.2协整检验结果Date: 12/10/14 Time: 22:06Sample (adjusted): 1999M04 2014M10Included observations: 154 after adjustments Trend assumption: Linear deterministic trend Series: LOP LX LCLags interval (in first differences): 1 to 2Un restricted Cointegration Rank Test (Trace)HypothesizedNo
5、. of CE(s)Eige nv alueTraceStatistic0.05Critical ValueProb.*None *0.15105633.1684229.797070.0197At most 10.0501787.94898215.494710.4709At most 20.0001360.0210073.8414660.8847Trace test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level *#MacKin
6、non-Haug-Michelis (1999) p-valuesUnrestricted Cointegration Rank Test (Maximum Eigenvalue)Max-EigenProb?*25.2194321.131620.01257.92797514.264600.3861Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level A*MacKinnon-Haug-Micheli
7、s (1999) p-valuesUnrestricted Cointegrating Coefficients (normalized by b,#Sirb=l):LOP3.411003-1.86888620.027881.723127-0.20051946.265743.324745-0.2939120.064617Unrestricted Adjustment Coefficients (alpha):D(LOP)-0.0146380.0020270.000749D(LX)0.1916330.0132010.001944D(LC)3.22E-050.001393-3.99E-061 Co
8、integrating Equation(s):Log likelihood642.0482Normalized cointegrating coefficients (standard error in parentheses) LOP LX LCAdjustment coefficients (standard error in parentheses)-0.049930(0.02075)0.653660(0.13759)0.000110(0.00176)2 Cointegrating Equation(s): Log likelihood 646.0122Normalized coint
9、egrating coefficients (standard error in parentheses)1.0000000.00000035.67378(11.2063)75.82659(21.1778)-0.0464370.026950(0.02324)(0.01143)0.676407-0.360787(0.15410)(0.07579)0.002510-0.000339(0.00192)(0.00094)由上表可知,迹检验和极大特征值检验结果均显示存在一个协整关系。协整序列的图形和单位根 检验结果如下:表43协整序列的单位根检验结果Null Hypothesis: COINTEQ01
10、has a unit rootExogenous: NoneLag Length: 1 (Automatic - based on SIC, maxlag=l3)t-StatisticProbAugmented Dickey-Fuller test statistic-5.020825Test critical values:1% level-2.5818275% level-1.94315710% level-1.615178MacKinnon (1996) one-sided p-values.由上表可知,该协整序列是平稳的,即各变量之间存在协整关系。该协整方程具体为:LC 二0 17LP
11、 -0. 09LX + tLP与LC呈现正向波动,LX与LP及LX与LC呈现负向波动,即房地产价格与物价指数是正相关关系, 净出口与房价呈现负相关关系,净出口与国内物价水半呈现负相关关系,符合一般的经济学理论,故 该协整方程较为合理。4.3 VECM模型的估计估计结果如下:表4.4 VECM模型的估计结果Vector Error Correction Estimates44 154 after adjustmentsStandard errors in () & t-statistics in Cointegrating Eq:CointEqlLC(-1)LP(-1)LX(-1)C0.170313 (0.04957)3.43554 -0.093314 (0.01781) -5.23803 -4.731936Error Correction:D(LP)0.000645-0.2931653.837997(0.01032)(0.12185)(0.80788)0.06244-2.406
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