SPSS时间序列分析案例

要求：12CKKI0.0CI-KXKIOO.OO-BtKKKJ.OO-6MOO.OO-4{M<IO.OO-20000.00-o.oo-II要求：12CKKI0.0CI-KXKIOO.OO-BtKKKJ.OO-6MOO.OO-4{M<IO.OO-20000.00-o.oo-IIIIII II I I I I I I I I IQIQ3QIQ3QI03 Q1Q3 Q1 Q3 Q1 Q.3 QI Q3 Qi Q3 QI200220022003200320042Q04 2DD52005 2DD6 2006 2007 2007 20Q8 2008 2009 2DD9 2010用SPSS软件做时间序列分析，有某公司2002年一季度到2010年二季度的34个税后利润数据，要求预测出该公司2010年三季度和四季度的税后利润。画出序列趋势图绘制出自相关图和偏自相关图确定参数和模型给出预测值观测值序列图日期2税后盈利自相关图序列:税后盈利滞后自相关标准误差aBox-Ljung统计量值dfSig.b1.306.1643.4821.0622.198.1624.9872.0833.185.1596.3403.0964.542.15718.3424.0015.084.15418.6415.0026.067.15118.8366.0047.094.14919.2397.0078.458.14629.0938.0009.041.14329.1769.00110.016.14029.18910.00111.012.13729.19711.00212.236.13432.30812.00113-.092.13132.80613.00214-.094.12833.34514.00315-.079.12533.74515.00416.106.12134.51016.005a.假定的基础过程是独立性（白噪音）。b.基于渐近卡方近似。

偏自相关序列:税后盈利滞后偏白相关标准误差1.306.1712.115.1713.107.1714.503.1715-.279.1716-.010.1717.046.1718.268.1719-.130.17110-.054.17111-.053.17112-.081.17113-.040.17114-.051.17115-.027.17116-.062.171税后谁利1Z3456 7电910111213141516□.菜数—置信上限——置侑下限3、确定参数和模型时间序列建模程序模型描述模型类型模型ID 税后利润 模型1ARIMA(0,1,0)(0,1,0)模型摘要J^qurnN2MMC.0Q-IMOTO.aQ-IMOTO.at?-I IIII II I III I IJ^qurnN2MMC.0Q-IMOTO.aQ-IMOTO.at?-I IIII II I III I III IIQI Q3QI Q3Q1 Q3Q1 Q3 QI Q3 QI Q3 QI Q3Q1 Q3Q1 Q32002200220<132003200420(^200520052006200&200720072(}0820082{)00200920102010日期一观测值 椒台由一预利税后翁模网1模型拟合拟合统计量均值SE最小值最丈值百分位5102550759095平稔的R方5.502E-175.502E-175.502E-175.502E-175.502E-175.502E-175.502E-175.502E-175.502E-175.502E-17R方.831.831.831.831.031.831.831.831.831.831RMSE10472.30310472.30310472.30310472.30310472.30310472.30310472.30310472.30310472.30310472.303MAF'E23.20923.20923.20923.20923.20923.20923.20923.20923.20923.209Ma>：APE148.390148,390148.390148.390148.390148.390140,390148.390148.390148.390MAE7509.8157509.8157509.8157509.8157509.3157509.B157509.B157509.8157509.8157509.815M白明E27935.17727935.17727935.17727935.17727935.17727935.17727935.17727935.17727935.17727935.177正态化的BIC18.62918.62918.62918.62918.62918.62910.62918.62918.62918.629模型统计量模型预测变量数模型拟合统计量Ljung-BoxQ(18)离群值数平稳的R方统计量DFSig.税后利润-模型105.502E-1717.68818.47604、给出预测值2010年第三季度 139621.02万元2010年第四季度 170144.55万元剔除季节成分后，平滑处理及剔除循环波动因素的序列图“期SEASOZ“期SEASOZ3O口—rEULEQU4中税斯利性调SEASON、MOD_6、MUL、EQU、4中税后利润的季节性调整序列自相关图序列：SEASON、MOD6、MUL、EQU、4中税后利润的季节性调整序列滞后自相关标准误差aBox-Ljung统计量值dfSig.b1.728.16419.6331.0002.450.16227.3832.0003.310.15931.1693.0004.207.15732.9114.0005.219.15434.9415.0006.241.15137.4846.0007.243.14940.1687.0008.226.14642.5718.0009.183.14344.2139.00010.162.14045.55110.00011.093.13746.01211.00012.006.13446.01512.00013-.047.13146.14513.00014-.021.12846.17214.00015-.022.12546.20415.00016-.036.12146.29416.000a.假定的基础过程是独立性（白噪音）。自相关图序列：SEASON、MOD6、MUL、EQU、4中税后利润的季节性调整序列滞后自相关标准误差aBox-Ljung统计量值dfSig.b1.728.16419.6331.0002.450.16227.3832.0003.310.15931.1693.0004.207.15732.9114.0005.219.15434.9415.0006.241.15137.4846.0007.243.14940.1687.0008.226.14642.5718.0009.183.14344.2139.00010.162.14045.55110.00011.093.13746.01211.00012.006.13446.01512.00013-.047.13146.14513.00014-.021.12846.17214.00015-.022.12546.20415.00016-.036.12146.29416.000a.假定的基础过程是独立性（白噪音）。b.基于渐近卡方近似。SEASON.MOD6、MUL、EQU.4中税后利润的季节性调整序列偏自相关序列:SEASON、MOD_6、MUL、EQU、4中税后利润的季节性调整序列滞后偏自相关标准误差1.728.1712-.168.1713.108.1714-.053.1715.206.1716.000.1717.076.1718-.015.1719.014.17110.034.17111-.121.17112-.066.17113-.059.17114.115.17115-.134.17116.019.171SEASON.MOD6、MUL.EQU、4中税后利润的季节性调整序列1□茅数—1□茅数—置信上阻——置情下限6 7 $ 910111213141516模型描述模型类型模型IDSEASON、MOD_6、MUL、EQU、4模型」中税后利润的季节性调整序列ARIMA(0,1,0)(0,0,0)模型拟合拟合统计量均值SE最小值最大值百分位5102550759095平稳的R方-2.591E-16-2.591E-16-2.591E-16-2.591E-16-2.591E-16-2.591E-16-2.591E-16-2.591E-16-2.591E-16-2.591E-16R方.812.812.812.812.812.812,812.812.012.812RMSE10075.09610075.09610075.09610075.09610075.09610075.09610075.09610075.09610075.09610075.096MAPE18.15418.15418.15418.15418.15418.15418.15418.15418.15418.15455.07255.07255.07255.07255.07255.07255.07255.07255.07255.072MAE7584.7627584.7627534.7627504.7627584.7627584.7627504.7627584.7627584.7627584.762Ma：wAE35041.64935041.64935041.64935041.64935041.64935041.64935041.64935041.64935041.64935041.649正态化的BIC18.54218.54210.54218.54218.54218.54218.54218.54218.54218.542模型统计量模型预测变量数模型拟合统计量Ljung-BoxQ(18)离群值数平稳的R方统计量DFSig.SEASON、MOD_6、MUL、EQU、4中税后利润的季节性调整序列-模型10-2.5