如何用EViews或EXCEL进行两组数据相关性检验
现在有两组数据：年份营业收入（万元）全年成交额（百万美元）2009547,95756,7002008517,35469,7802007645,70273,84020065...
现在有两组数据：
年份 营业收入（万元） 全年成交额（百万美元）
2009 547,957 56,700
2008 517,354 69,780
2007 645,702 73,840
2006 536,524 66,280
2005 566,976 58,660
2004 472,602 51,710
2003 467,088 24,910
2002 534,584 35,320
2001 524,979 29,141
2000 / 28,602
1999 / 24,279
用EViews计算出相关系数为0.6
可是单是相关系数，似乎不足以验证两组数据的相关性
请问各位高手，
应该如何检验单位根，以及如何建立模型和方程？
我毕业论文需要分析这些数据，身边有没有学经济的同学 T_T
CFVB
1999
2000 0.189
2001 0.05
2002 0.201
2003 -0.322
2004 0.887
2005 0.137
2006 0.027
2007 0.035
2008 -0.075
2009 -0.035
GHTS
1999
2000
2001
2002 0.018
2003 -0.126
2004 0.012
2005 0.2
2006 -0.054
2007 0.203
2008 -0.199
2009 0.059
两组数据一阶差分结果显示平稳。
如何利用Engle-Granger两步检验法对一阶单整的序列进行协整检验？
从而构建模型方程，并对方程的残差进行ADF检验？
谢谢鳄鱼姐姐的帮忙…… 展开
年份 营业收入（万元） 全年成交额（百万美元）
2009 547,957 56,700
2008 517,354 69,780
2007 645,702 73,840
2006 536,524 66,280
2005 566,976 58,660
2004 472,602 51,710
2003 467,088 24,910
2002 534,584 35,320
2001 524,979 29,141
2000 / 28,602
1999 / 24,279
用EViews计算出相关系数为0.6
可是单是相关系数，似乎不足以验证两组数据的相关性
请问各位高手，
应该如何检验单位根，以及如何建立模型和方程？
我毕业论文需要分析这些数据，身边有没有学经济的同学 T_T
CFVB
1999
2000 0.189
2001 0.05
2002 0.201
2003 -0.322
2004 0.887
2005 0.137
2006 0.027
2007 0.035
2008 -0.075
2009 -0.035
GHTS
1999
2000
2001
2002 0.018
2003 -0.126
2004 0.012
2005 0.2
2006 -0.054
2007 0.203
2008 -0.199
2009 0.059
两组数据一阶差分结果显示平稳。
如何利用Engle-Granger两步检验法对一阶单整的序列进行协整检验？
从而构建模型方程，并对方程的残差进行ADF检验？
谢谢鳄鱼姐姐的帮忙…… 展开
1个回答
展开全部
营业收入x；成交额y
对xy先ADF检验平稳性，结果不成立，取log一阶差分，接受。
然后OLS，对残差检验平稳，若平稳，二者存在协整关系
Dependent Variable: X
Method: Least Squares
Date: 04/04/11 Time: 21:17
Sample (adjusted): 2001 2009
Included observations: 9 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
Y 1.729571 0.895824 1.930704 0.0948
C 445244.0 48849.27 9.114651 0.0000
R-squared 0.347479 Mean dependent var 534862.9
Adjusted R-squared 0.254261 S.D. dependent var 52873.62
S.E. of regression 45659.64 Akaike info criterion 24.48895
Sum squared resid 1.46E+10 Schwarz criterion 24.53277
Log likelihood -108.2003 Hannan-Quinn criter. 24.39437
F-statistic 3.727616 Durbin-Watson stat 2.713020
Prob(F-statistic) 0.094824
Null Hypothesis: DLOGY has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.203801 0.0134
Test critical values: 1% level -4.420595
5% level -3.259808
10% level -2.771129
*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 9
Dependent Variable: DLOGX
Method: Least Squares
Date: 04/04/11 Time: 21:27
Sample (adjusted): 2002 2009
Included observations: 8 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
DLOGY 0.127386 0.172514 0.738411 0.4881
C 0.005244 0.053907 0.097282 0.9257
R-squared 0.083305 Mean dependent var -0.005355
Adjusted R-squared -0.069478 S.D. dependent var 0.142113
S.E. of regression 0.146967 Akaike info criterion -0.784905
Sum squared resid 0.129595 Schwarz criterion -0.765044
Log likelihood 5.139619 Hannan-Quinn criter. -0.918855
F-statistic 0.545250 Durbin-Watson stat 3.248157
Prob(F-statistic) 0.488131
我eviews不稳定……该算残差单位根了。。。你要是需要再喊我算
对xy先ADF检验平稳性，结果不成立，取log一阶差分，接受。
然后OLS，对残差检验平稳，若平稳，二者存在协整关系
Dependent Variable: X
Method: Least Squares
Date: 04/04/11 Time: 21:17
Sample (adjusted): 2001 2009
Included observations: 9 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
Y 1.729571 0.895824 1.930704 0.0948
C 445244.0 48849.27 9.114651 0.0000
R-squared 0.347479 Mean dependent var 534862.9
Adjusted R-squared 0.254261 S.D. dependent var 52873.62
S.E. of regression 45659.64 Akaike info criterion 24.48895
Sum squared resid 1.46E+10 Schwarz criterion 24.53277
Log likelihood -108.2003 Hannan-Quinn criter. 24.39437
F-statistic 3.727616 Durbin-Watson stat 2.713020
Prob(F-statistic) 0.094824
Null Hypothesis: DLOGY has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.203801 0.0134
Test critical values: 1% level -4.420595
5% level -3.259808
10% level -2.771129
*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 9
Dependent Variable: DLOGX
Method: Least Squares
Date: 04/04/11 Time: 21:27
Sample (adjusted): 2002 2009
Included observations: 8 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
DLOGY 0.127386 0.172514 0.738411 0.4881
C 0.005244 0.053907 0.097282 0.9257
R-squared 0.083305 Mean dependent var -0.005355
Adjusted R-squared -0.069478 S.D. dependent var 0.142113
S.E. of regression 0.146967 Akaike info criterion -0.784905
Sum squared resid 0.129595 Schwarz criterion -0.765044
Log likelihood 5.139619 Hannan-Quinn criter. -0.918855
F-statistic 0.545250 Durbin-Watson stat 3.248157
Prob(F-statistic) 0.488131
我eviews不稳定……该算残差单位根了。。。你要是需要再喊我算
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问题贴出来吧，我有空做下
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