时序图判断平稳性

1、时序图判断平稳性，图形有明显的上升趋势，直观看该时间序列为非平稳序列。YDate: 05/29/17 Time: 09:35Sample: 1994 2014In eluded observatio ns: 21Autocorrelati onPartial Correlati onACPACQ-StatProb|*|I*I10.8640.86418.0390.000|* |.*I . I20.711-0.14330.8860.000|* |.*I . I30.546-0.13238.8890.000|* |.*I . I40.380-0.10942.9880.000I*.|.I . I50.

2、237-0.02344.6780.000I* . I.I . I60.109-0.06245.0570.000I . I.*I . I7-0.012-0.10045.0620.000.*1I.I . I8-0.108-0.03045.4940.000.*1I.I . I9-0.185-0.04846.8730.000.*|I.I . I10-0.247-0.06149.5620.000.*|I.I . I11-0.295-0.06153.7580.000.*|I.I . I12-0.328-0.05159.5340.000CGfretogram of YDate:05/29/17 Time09

3、:35Sample: 19942014Included observations 21Au acorre a i on rart)a Corre ationAC Pi.C Q-Sai ProbIn »|2 iIFI gI*匚Ii匚ri匚ii Ui»Ir11c111(111tL1n11i11iQ1»n1it11Q8&40 86418.C390.0000711-0.14330.686O.OGO0.546-0.13338,889O.OOQ0.3S0-0 109429980 0000 237-0 02344 6780 0000 109-0.062450570 DO

4、O-0.012-0.10045.C620 000-0108-0.03045 494a. oco-0 18& -0.043468730.000-0.247-0 00149.5620.000-0 29&0 001537560 DOC-0 326-D.05I59.5340 DOO12 3 4 5 6由上图知序列非平稳单位根检验Null Hypothesis: Y has a unit rootExogenous: ConstantLag Length: 3 (Automatic - based on SIC, maxlag=4)t-StatisticProb.*Augmented D

5、ickey-Fuller test statistic-4.0342160.0075Test critical values:1% level5% level10% level-3.886751-3.052169-2.666593*MacKinnon (1996) one-sided p-values.Warning: Probabilities and critical values calculated for 20 observationsand may not be accurate for a sample size of 17对原始数据进行处理 一阶差分的单位根检验Null Hyp

6、othesis: D(Y) has a unit rootExogenous: Constant, Linear TrendLag Length: 0 (Automatic - based on SIC, maxlag=4)t-StatisticProb.*Augmented Dickey-Fuller test statistic-1.7581290.6843Test critical values:1% level5% level10% level-4.532598-3.673616-3.277364*MacKinnon (1996) one-sided p-values.Warning:

7、 Probabilities and critical values calculated for 20 observationsand may not be accurate for a sample size of 19Null Hypothesis: D(Y ,2) has a unit rootExogenous: ConstantLag Length: 0 (Automatic - based on SIC, maxlag=4)t-StatisticProb.*Augmented Dickey-Fuller test statistic-4.3140010.0040Test crit

8、ical values:1% level-3.8573865% level-3.04039110% level-2.660551*MacKinnon (1996) one-sided p-values.Warning: Probabilities and critical values calculated for 20 observationsand may not be accurate for a sample size of 18二阶差分平稳生成y的一阶差分序列x x的一阶差分序列x1X的时序图800X14000-400-800-1,200Null Hypothesis: X1 has

9、 a unit rootExogenous: ConstantLag Length: 0 (Automatic - based on SIC, maxlag=3)t-StatisticProb.*Augmented Dickey-Fuller test statistic-4.3140010.0040Test critical values:1% level-3.8573865% level-3.04039110% level-2.660551*MacKinnon (1996) one-sided p-values.Warning: Probabilities and critical val

10、ues calculated for 20 observationsand may not be accurate for a sample size of 18X1的自相关和偏自相关图Date: 05/29/17Time: 10:02Sample: 1994 2014Included observations: 19AutocorrelationPartial CorrelationACPACQ-StatProb.*| . |.*| . |1-0.080-0.0800.14340.705.*| . |.*| . |2-0.320-0.3292.54660.280.|*. |.|*. |30.

11、3160.2885.03550.169.| . |.*| . |40.007-0.0755.03690.284*| . |.1* . |5-0.1050.1015.35410.374*| . |.*1 . |6-0.111-0.2805.73170.454| . |.| . |7-0.046-0.0235.80100.563| . |.*| . |8-0.049-0.2245.88670.660*| . |.| . |9-0.101-0.0046.29590.710| . |.*| . |10-0.050-0.1656.40830.780| . |.| . |11-0.0100.0236.41

12、300.844| . |.*| . |12-0.004-0.1126.41380.894Date： 05/20/17 Time： 1002Sample： 19942014Included oi3ser<ations 19Autocorrelation Partial Correlation AC PAC Q-Staf Prab1 11r11-0 090*0.C300.U34D.705'二F1i-12-0 320-0.329254660.26D11 *i130 3165.03550.1691)IEi40.007-临55.03690.2B41匚1115-Q10S01015.3M10.374* EI1匚16-0 1110 2S0573170.4