时间序列分析实验设计文档格式.docx

1、4912.952015-06-05,五5016.092015-06-08, 一5045.692015-06-09,二5145.982015-06-10,三5049.22015-06-11,四5101.442015-06-12,五5143.342015-06-15, 一5174.422015-06-16,二5004.412015-06-17,三4890.55 2015-06-18,四4942.522015-06-19,五4689.932015-06-23,二4471.612015-06-24,三4604.582015-06-25,四4711.762015-06-26,五4399.93请你（1）写

2、出一个恰当的模型 实现上述想法；（2）利用Eiews软件进行分析预测；（3）比较这个模型和其它模型 对数据拟合的差异，给出最优模型，并给出给出最小均方误差预测。0 Senes: OUTPUT Workfik:数摄:Un卅lT, - B XView Proc Object|PropertiesTTPrintName Freeze Default 存Sort Edit-A Smpi-Last updated: 06/28?15-23:33Imported from D:360曲ta唾要數据蛾的文档谶据WsjC5/22/20154584.985/25；20154660,085/26/20155/27

3、/20154932.B55/2 別 20154943745Z29/20156/01/20154633 106/02/20154&44.706/03/20156/04/20156/0520156/08720155045.696/09/20155145.986/10/20155049.206/11/20156/12/20156/15/20156/1620156/17/201590.556/18/201541 Ifl.1 时序图如下ViewProcObject PropertiesPrint Name FreezeDefault OptionsSample G图形一直呈增长趋势，无界且不规律，不为平

4、稳序列其自相关图如下View Proc Object Properties Print Name Freeze Sample Genr Sheet Graph StatsDate: Q6/29/15 Time: 00:00Sample: 5/25/2015 6/25/2015Included otiseRations: 25AutocorrelationPartial CorrelationAC PAC Q*Stat ProbII|11 0.654 0 654 12.020 0.0Q1 12 0.415 -0 021 17.079 0 000I-13 0 327 0 111 20359 0 0

5、00 11匚4 0 179 -0.130 21 384 0.0005 -0.003 -0158 21.384 0.0011 6 *0.133 *0.118 22.009 0.0011 口1 匚7 -0 265 -0.180 24.649 0.001U8 -0.348 -0.088 29.444 0.000二9 -0 395 -0112 36 036 0.000| n10 -0 413 -0 091 43 905 0 000|_11 -0.357 0.019 50045 0.000I 112 -0 294 -0 052 54544 0 000其自相关图不具有短期相关性，进一步说明其不平稳 下面进

6、行adf单位根检验：r3 Series: OUTPUT Workfile: St3s：:Untitledn xView Proc ObjectProperties | I Print | NameFreeze |SampleGenr SheetGraphStats IAugmented Dickeyuller Unit Root Test on OUTPUTNull Hypothesis: OUTPUT has a unit root Exogenous: ConstantLag Lengtfi: 4 （Automatic - based on SIC. maxiag=5）t-Statisti

7、cProb/Ajgme n憶 d Dickey-Fullertest statist）亡-D 64922108379Test critical values:1% level 5% level 10% level-3808546-30206862.650413MacKinnon （1996） one-sided p-values.Augmented Dickey-FullerTest Equation Dependent Variable: D（OUTPUT） Method: Least Squares 06/29/15 Time;01Sample （adjusted）: 5/29/2015

8、6/25/2015 included observations: 20 after adjustmentsVariableCoefficientStd. ErrorProbOUTPUTM-0 1695330261132-06492210.5267D（OUTPUT（-1）02047680 325980062816205400有单位根检验P 0.05，接受原假 设，不平稳1,2对该序列进行12步的差分的新序列画时序图，如下有图可看出一阶差分后其序列始 终围绕0波动，平稳Series: F Workfile Untitled _ B XVieiv Proc Object Properties Pri

9、nt Name Freeze Sample Genr Sheet Graph Stats IAugmented Dickey-Fuller Unit Root Test on F YF has a unit rootExogenous:Lag Length: 2 （Automatic - based on SIC, maxlag=2）Prob.*Augmented Dickey-Fuller test statistic-8.7948440.0000Test criti cal values:1% level5% level 10% level4,297073-3,212696-2747676

10、MacKinnon （1995） one-sided p-vaiues.Warning: Probabilities and critical values calculated for 20 observations and may not be accurate for a sample size of 10Augmented Dickey-FjiierTest EquationDependent Variable: D（YF）Method Least Squares 06/29/15 Time: Q0:24Sample （adjusted）： 5/12/2015 5/25/2015Inc

11、luded observations: 10 after adjustmentsVariable Coefficient Std Error VSiatistic Prob.Prob.YF（-1）-5.7114350649407-8 7948440.0001DYF（-D）2.3954060.4958344.82133600Q29D（YFH）05053250.1848&5273362100340C285.8B612911.2200.0982010.9250R*squared0 997962Mean dependentar*9021.978Adjusted R-squared0.990943S.D

12、. dependent war163702.6S,E of regression9051213Akaike info criterion21.34836Sum squared resid492E+0BSchwarz criterion21.46939Log likelihood-102741SHannan-Quinn criter21.21559F-statisflc979.3384Durbin-Watson stat1.845358Prot）（F-stati stic）0.000000一阶差分后的自相关图不具有短期自相关性下作 xf二yf-yf（-12）Equation: U1FT TILE

13、D Torkf ile: UNTITLED: tIL . _ XObjectPrintf-Jame iFreezeEstimateForec ast StatsResidsDependent Vanabfe:Method: 09:50 6/10/2015 6/25/2015Induded observations: 12 after adjustmentsConvergence achieved after 34 iterationsStd EfTor t-Statistic-10917.8816902M -0.0645920.9498AR（1）0.9901010154736 6.398669

14、R-squared080647SMean depen dent var-27.849170.787126S.D. dependent var384.2612S E. of regression1772914Akaike in1o citerian13.34448314322.313.42530Log liKeiitiood*79 06687Hannan-Quinn enter.13.31456F-statistic41.67383Durbi n-Watsmn stat1.517196Prob（F-statistic）0.000073Inverted AR Roots99预测未来两年的数值= E

15、tiuat ion： UHTITLED Torkf lie： 01TTITLED:U. X. e/ Proc Object Print FJamEeeze Estate ForestReside包逼:W AA匸 AARncKtainplCL S.lfil S 包戈创为015MfUMdi umplt 6.10/2015 6-2&201： 5JOSCODrKti-.E 12g l/ei-i Sks-aTM Ernr 刃7 W1桃紀畑心0住 153SC77AT 心 *沦 EW 3 m&Sipie 皆二卫国 OMn 0021632殉P呻2 a 35i即tr*x napowr 0 03353Cwa-ii-s Pro W C 6li3z-5由其可口呈增长趋势，说明其是单调减序列