Question

多变量的adf检验，协整检验，格兰杰因果检验

房价指数 人均收入 上一期上涨 利率 m2 实际汇率
100.9 1097.67 0.006 6.12 303571.7 100.85
100.7 1097.67 0.009 6.12 304516.3 104.04
100.3 1097.67 0.007 6.12 310490.7 101.58
100.4 901.23 0.003 6.39 313702.3 100.92
100.7 901.23 0.004 6.39 316709.8 99.33
100.7 901.23 0.007 6.39 322756.35 99.01
100.5 934.03 0.007 6.39 324010.76 98.85
100.4 934.03 0.005 6.84 327885.67 100.4
100.4 934.03 0.004 6.84 331865.36 102.8
100.4 986.9 0.004 6.84 332747.17 103.76
100.5 986.9 0.004 6.84 337504.15 102.33
100.6 986.9 0.005 6.84 345577.91 102.67
100.6 1311.63 0.006 6.84 351498.77 102.77
100.6 1311.63 0.006 6.84 358659.25 105.97
100.6 1311.63 0.006 7.11 364104.66 103.3
100.7 1039.03 0.006 7.11 367425.57 102.4
101 1039.03 0.007 7.2 369718.15 104.16
101 1039.03 0.01 7.2 377832.15 104.17
101.2 1098.07 0.01 7.38 383884.88 104.72
101.4 1098.07 0.012 7.56 387205.04 107.51
101.7 1098.07 0.014 7.83 393098.91 108.08
101.6 1146.53 0.017 7.83 394204.17 106.6
100.8 1146.53 0.016 7.83 399757.91 105.21
100.2 1146.53 0.008 7.83 403401.3 107.34
100.3 1461.87 0.002 7.83 417846.17 107.07
100.2 1461.87 0.003 7.83 421037.84 112.14
100.3 1461.87 0.002 7.83 423054.53 108.19
100.2 1226.47 0.003 7.83 429240.91 109.13
100.1 1226.47 0.002 7.83 436221.6 110.69
100 1226.47 0.001 7.83 443141.02 110.04
100.1 1266.67 0 7.83 446362.17 110.16
99.9 1266.67 0.001 7.83 448846.68 114.63
99.9 1266.67 -0.001 7.74 452898.71 118.5
99.6916 1305.33 -0.001 7.2 453133.32 122.99
99.4718 1305.33 -0.003084 6.12 458644.66 124.18
99.5391 1305.33 -0.005282 5.94 475166.6 121.16
99.8 1611.33 -0.004609 5.94 496135.31 120.89
99.8459 1611.33 -0.002 5.94 506708.07 126.05
100.1724 1611.33 -0.001541 5.94 530626.71 124.71
100.4087 1340.67 0.001724 5.94 540481.21 122.43
100.595 1340.67 0.004087 5.94 548263.51 119.97
100.8131 1340.67 0.00595 5.94 568916.2 116.35
100.9304 1372.33 0.008131 5.94 573102.85 116
100.9 1372.33 0.009304 5.94 576698.95 117.08
100.6721 1372.33 0.009 5.94 585405.34 116.92
100.7063 1400.57 0.006721 5.94 586643.29 115.17
101.1987 1400.57 0.007063 5.94 594604.72 113.39
101.4748 1400.57 0.011987 5.94 606225.01 115.11
101.3 1769.33 0.014748 5.94 625609.29 113.75
100.9 1769.33 0.013 5.94 636072.26 118.48
101.1 1769.33 0.009 5.94 649947.46 115.64
101.4 1483.04 0.011 5.94 656561.22 116.05
100.2 1483.04 0.014 5.94 663351.37 119.96
99.9 1483.04 0.002 5.94 673921.72 119.03
100 1525.57 -0.001 5.94 674051.48 117.91
100 1525.57 0 5.94 687506.92 118.68
100.5 1525.57 0 5.94 696471.5 119.67
100.2 1591.72 0.005 6.14 699776.74 117.98
100.3 1591.72 0.002 6.14 710339.03 118.55
100.3 1591.72 0.003 6.14 725851.8 119.94
告诉我方法也行，adf检验基本会了，结果是都是一阶差分平稳，j检验怎么做？格兰杰怎么做？

Answer 1

如果是一阶平稳，那就是用一阶差分滞后的序列做格兰杰，然后用原始序列做协整
你是用什么软件？用STATA的话就先用varsoc确定滞后阶数，然后做VAR的模型，再vargranger就做格兰杰检验了。然后vecrank做协整。
eviews里面差得也不多，就是几个指令的问题，你可以查看下软件的help文档

Answer 2

去找一份教材来看看