Построение модели отклонения ошибок ecm
∆ ln ftt = α ∆ ln micext +βet-1 + c + εt
В командную строку вводим: ls d(ft) d(micex) e(-1) c
Dependent Variable: D(FT) |
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Method: Least Squares |
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Date: 11/30/11 Time: 22:44 |
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Sample (adjusted): 2008M08 2011M10 |
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Included observations: 39 after adjustments |
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Variable |
Coefficient |
Std. Error |
t-Statistic |
Prob. |
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D(MICEX) |
1.460123 |
0.248866 |
5.867117 |
0.0000 |
E(-1) |
-0.475531 |
0.140068 |
-3.395005 |
0.0017 |
C |
2.975123 |
27.53966 |
0.108030 |
0.9146 |
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R-squared |
0.622522 |
Mean dependent var |
1.396410 |
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Adjusted R-squared |
0.601551 |
S.D. dependent var |
272.4135 |
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S.E. of regression |
171.9551 |
Akaike info criterion |
13.20615 |
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Sum squared resid |
1064468. |
Schwarz criterion |
13.33411 |
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Log likelihood |
-254.5199 |
Hannan-Quinn criter. |
13.25206 |
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F-statistic |
29.68489 |
Durbin-Watson stat |
1.608631 |
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Prob(F-statistic) |
0.000000 |
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∆ ln ftt = 1.460123 ∆ ln micext +-0.475531et-1 + c + εt
Проверим остатки на автокорреляцию:
Breusch-Godfrey Serial Correlation LM Test: |
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F-statistic |
0.545050 |
Prob. F(5,31) |
0.7407 |
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Obs*R-squared |
3.151491 |
Prob. Chi-Square(5) |
0.6766 |
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Test Equation: |
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Dependent Variable: RESID |
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Method: Least Squares |
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Date: 11/30/11 Time: 22:45 |
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Sample: 2008M08 2011M10 |
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Included observations: 39 |
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Presample missing value lagged residuals set to zero. |
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Variable |
Coefficient |
Std. Error |
t-Statistic |
Prob. |
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D(MICEX) |
-0.084950 |
0.267127 |
-0.318014 |
0.7526 |
E(-1) |
0.287520 |
0.704719 |
0.407993 |
0.6861 |
C |
0.893073 |
28.51533 |
0.031319 |
0.9752 |
RESID(-1) |
-0.158661 |
0.732905 |
-0.216482 |
0.8300 |
RESID(-2) |
-0.356211 |
0.420366 |
-0.847383 |
0.4033 |
RESID(-3) |
-0.230447 |
0.303754 |
-0.758662 |
0.4538 |
RESID(-4) |
0.007612 |
0.233890 |
0.032545 |
0.9742 |
RESID(-5) |
-0.144567 |
0.201079 |
-0.718958 |
0.4776 |
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R-squared |
0.080807 |
Mean dependent var |
-4.37E-15 |
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Adjusted R-squared |
-0.126752 |
S.D. dependent var |
167.3688 |
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S.E. of regression |
177.6596 |
Akaike info criterion |
13.37830 |
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Sum squared resid |
978450.7 |
Schwarz criterion |
13.71954 |
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Log likelihood |
-252.8768 |
Hannan-Quinn criter. |
13.50073 |
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F-statistic |
0.389322 |
Durbin-Watson stat |
1.935912 |
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Prob(F-statistic) |
0.901443 |
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Автокорреляции нет, так как prob>0,05
Хорошая модель получается, если:
Коэффициент при Res(-1) <0. В нашей модели β=-0.475531, β<0
C – не значима. В нашей модели С незначима
Нет автокорреляции. В нашей модели нет автокорреляции