协整检验、格兰杰因果检验怎么做啊,我在写论文,年份199920002001200220032004200520062007200820092010Y3643.724026.64493.25227.258506485.27238.18172.59645.411020.1412021.4813190.43X1197.441517.571987.42636.222655.913116.083698.864361

协整检验、格兰杰因果检验怎么做啊,我在写论文,年份199920002001200220032004200520062007200820092010Y3643.724026.64493.25227.258506485.27238.18172.59645.411020.1412021.4813190.43X1197.441517.571987.42636.222655.913116.083698.864361
协整检验、格兰杰因果检验怎么做啊,
我在写论文,
年份
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Y
3643.72
4026.6
4493.2
5227.2
5850
6485.2
7238.1
8172.5
9645.4
11020.14
12021.48
13190.43
X
1197.44
1517.57
1987.4
2636.22
2655.91
3116.08
3698.86
4361.78
5447.16
6804.29
7606.68
9130.62
这是数据,能帮忙做一下平稳性检验、协整检验、格兰杰因果检验吗?我没学过,一窍不通啊,

协整检验、格兰杰因果检验怎么做啊,我在写论文,年份199920002001200220032004200520062007200820092010Y3643.724026.64493.25227.258506485.27238.18172.59645.411020.1412021.4813190.43X1197.441517.571987.42636.222655.913116.083698.864361
平稳性检验就是单位根检验
先来看一下序列X是否平稳
Null Hypothesis: X has a unit root
Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=2)

 t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 9.533462 1.0000
Test critical values: 1% level-2.792154
 5% level-1.977738
 10% level-1.602074


原假设是存在单位根,序列是不平稳的.看是我们看ADF统计量值9.53,比10%水平下的值都要大,所以是接受原假设的,所以序列X是不平稳的.
再来看序列Y
 t-Statistic Prob.*

Augmented Dickey-Fuller test statistic3.826736 0.9990
Test critical values: 1% level-2.847250
 5% level-1.988198
 10% level-1.600140
同X一样,序列Y也是非平稳的.
协整检验就有点麻烦,先要对X和Y做差分,我这里是做了二阶差分才发现X,Y是平稳的,二阶差分后的序列定义为iix和iiy
对x和y序列做普通最小二乘回归
ls y c x
然后对残差序列做单位根检验
Null Hypothesis: E has a unit root
Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=2)

 t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.236694 0.1853
Test critical values: 1% level-2.792154
 5% level-1.977738
 10% level-1.602074
可以看出,检验统计量-1.24大于10%水平下的-1.6,可以认为残差序列为非平稳序列,所以x和y不具有协整关系.
最后来看格兰杰因果检验
Pairwise Granger Causality Tests
Date: 06/06/12 Time: 09:20
Sample: 1999 2010
Lags: 2

Null Hypothesis:Obs F-StatisticProb.

Y does not Granger Cause X 10 0.608440.5801
X does not Granger Cause Y 0.831180.4879
可以看出F统计量是不显著的,X、Y不存在格兰杰成因.