关于上证综指的时间序列模型分析(4)

C

R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)

26.14289 15.39969 1.697624 0.0902 -1.818745 35.19913 9.959271 9.975777 9.965740 2.011231

0.006463 Mean dependent var 0.004522 S.D. dependent var 35.11945 Akaike info criterion 631488.3 Schwarz criterion -2557.533 Hannan-Quinn criter. 3.330565 Durbin-Watson stat 0.068586

没有通过检验，进行一阶差分。 再单位根检验

Null Hypothesis: X1 has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=18)

t-Statistic -22.88063 -3.442869 -2.866954 -2.569715

Prob.* 0.0000

t-Statistic -22.88063 -1.231115

Prob. 0.0000 0.2188 -0.068922 50.06507 9.965044

Std. Error 0.044179 1.557134

Augmented Dickey-Fuller test statistic Test critical values:

1% level 5% level 10% level

*MacKinnon (1996) one-sided p-values.

Dependent Variable: D(X1) Method: Least Squares Date: 04/18/11 Time: 15:25

Sample (adjusted): 1/05/2011 12/21/2012 Included observations: 513 after adjustments

Variable X1(-1) C R-squared

Adjusted R-squared S.E. of regression

Coefficient -1.010846 -1.917011

Augmented Dickey-Fuller Test Equation

0.506053 Mean dependent var 0.505086 S.D. dependent var 35.22083 Akaike info criterion

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