Eviews处理多元回归分析操作步骤

操作步骤1.建立工作文件（1）建立数据的exel电子表格回licrosof-tExcel-数据文件0）编辑⑥视因辺插入0）格式©工具0）数据⑪I窗口迪帮助0）：」」卫丄］刍m—_j＞送▼讥：u血妙二宋体 ,L7 - AABcDEFGH1TIMECOILFUTUFDOWSHINDEXUEUROPEMBOPECNAGAS21999M0112.499358.831134.670.868.2829470.61.8531999M0212.029306.581090.08'0.898.2829980.64l.W41999M0314.689786.161158.050•範8.2829786.981.7951999M0417.310789.041120.930；壽8.2828531.252.1561999M0517.7710559.741279.330.948.2828467.632.2671999M0617.9210970.81689.430.968.2827906.052.3181999M0720.110655.151601.460.968.2828452.982.3191999M0821.2810829.281627.120.948.2828692.842.79101999M0923.7910336.951570.70.958.2828727.562.54111999M1022.6710729.861504.560.938.2828792.282.73121999M1124.7710877.811434.970•飾8.2828247.222.36131999M1226.0911497.121366.580.998.2827381.772.36142000M0127.0110940.5315350.998.2828522.222.42152000M0229.310128.311714.581.028.2829165.22.66162000M0329.8910921.921800.231.048.2829098.472.7917?nnriMndKRd1H733qi1如391HA只gRlWI37qnd（2）将电子表格数据导入eviewsFile-open-foreigndataasworkfile,得到数据的Eviews工作文件和数据序列表。Views

®EViersFileEditObjectViewProcQmckOptionsW1ndowHelpOlorkfile:数据口Group:UNTITLED—ZESIView]Proc|Object|Print|ScView|Proc|ObjectPrint|Name|Freezej|Default ▼iSort|TransposeEdit+/-1Smpl+/-1TitlRange:1999M012008bSample:1999M012008bObSTIMECOILFUTUREDOWSHINDEXUEUROP1999M011999M0112.499358.831134.67k⑥c0coilfuture0dow0nagas0opec0resid0shindexlabeltime0ueurope0urmb1999M021999M0212.029306.581090.08词1999M031999M0314.689786.161158.051999M041999M0417.3010789.041120.931999M051999M0517.7710559.741279.331999M061999M0617.9210970.801689.431999M071999M0720.1010655.151601.461999M081999M0821.2810829.281627.121999M091999M0923.7910336.951570701999M101999M1022.6710729.861504.561999M111999M1124.7710877.811434.971999M121999M1226.0911497.121366.582000M012000M0127.0110940.531535.002000M022000M0229.3010128.311714.582000M032000M0329.8910921.921800.232000M042000M0425.5410733.911836.322000M052000M0528.8110522.331894.55C>\Untitled/NewPac2000M062000M0631.5310447.891928.112000M072000M07297210521.982023.54|v|2000M08<J F J>2.计算变量间的相关系数在窗【I中4谕入命令：corcoilfuturedowshindexnagasopecueuropeurmb,点击回车键，得到各序列之间的相关系数。结果表明Coilfuture数列与其他数列存在较好的相关关系。□Croup:UBTITLEDforkfile:Jfc#::Untitled\yiew|Prodob血t|Prnt]Nane|Fieeze|刃mpte|Sheet|Sials|Spec|CorrelationCOILFUTUREoevySHINDEXNAGASOPECUEUROPEURMBCOILFUTURE1.0000000.6454250.5707940.7766690.905918-0774546-0.913769aDCW0.6464261oooooo07642540.3963450596469-0526129-0688624SHINDEX6.5787840.7542541.oooooo0.2727380.344266-0.391706•0737722NAGAS0.7766690.3963450.2727381.0000000778117-0.6^2346-0.595023OPEC0.8059180.5994690.3442660.7781171oooooo-0718323-0.606976 .UEUROPE-0774548-0.526139-0.391706•0.642346-07183231.0000000.671706URMB-0912763-0.688624-0727722-0596023.060EQ7606717061oooooovuin.]>3•时间序列的平稳性检验观察coilfuture序列趋势图在eviews中得到时间序列趋势图，在quick菜单中单击graph,在serieslist对话框中输入序列名称coilfuture,其他选择默认操作。图形表明序列随时间变化存在上升趋势。

（2）对原序列进行ADF平稳性检验quick-seriesstatistics-unitroottest,在弹出的seriesname对话框中输入需要检验的序列的名称，在testforunitrootin选择框中选择level,得到原数据序列的ADF检验结果，其他保持默认设置。

OSeries:COILFUTURE Workfile:数据，:Unti-tled\|ViewIProc|Object|Properties|Print|Name|FreezeSample|Genr|Sheet|Graph|Stats|Ident|AugmentedDiekey-FullerUnitRootTestonCOILFUTURENullHypothesis:COILFUTUREhasaunitrootExogenous:ConstantLagLength:0(AutomaticbasedonSIC,MAXLAG=12)t-StatisticProb*AuamentedDickey-Fullerteststatistic0.9700920.9961Testcriticalvalues:1%level5%level10%level-3.488063-2.386732-2.580281^MacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(COILFUTURE)Method:LeastSquaresDate:12/26/11Time:21:37Sample(adjusted):1999M022008M08Includedobservations:115afteradjustments得到序列的ADF平稳性检验结果，检测值0.97大于所有临界值，则表明序列不平稳。以此方法，对各时间序列依次进行ADF检验，将检验值与临界值比较，发现所有序列的检验值均大于临界值，表明各原序列都是非平稳的。（3）时间序列数据的一阶差分的ADF检验quick-seriesstatistics-unitroottest,在seriesname对话框中输入需要检验的序列的名称，在testforunitrootin选择框中选择Inddifference,对其一阶差分进行平稳性检验，其他保持默认设置。ITinitRootTestTesttype|AugmentedDickey-FullerTestforunitrootin广LevelTestforunitrootin广Level金1stdifference2nddifferenceIneludeintestequation介Intercept广Trendandintercept1NoneLaglength©Automaticselection:15chwarzInfoCriterionMaximuml^gs:|12「Userspecified:OKCancelOKOSeries:COILFUTURE Workfile:数据，:Unti-tled\|ViewIProc|Object|Properties|Print|Name|FreezeSample|Genr|Sheet|Graph|Stats|Ident|AugmentedDickey-FullerUnitRootTestonD(COILFUTURE)NullHypothesis:D(COILFUTURE)hasaunitrootExogenous:ConstantLagLength:0(AutomaticbasedonSIC,MAXLAG=12)t-StatisticProb*AuamentedDickey-Fullerteststatistic-7.3034410.0000Testcriticalvalues:1%level5%level10%level-3.488585-2.886959-2.580402^MacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(COILFUTURE,2)Method:LeastSquaresDate:12/26/11Time:21:46Sample(adjusted):1999M032008M08Includedobservations:114afteradjustments得到序列的ADF平稳性检验结果，检测值・7.8远小于所有临界值，则表明序列一阶差分平稳。以此方法，对各时间序列的一阶差分依次进行ADF检验，将检验值与临界值比较，发现所有序列的检验值均小于临界值，表明各序列一阶差分都是平稳的。由此可知，以上时间序列均为一阶单整时间序列。Granger因果检验quick-groupstatistics-grangercausalitytest,出现如下对话框,输入各序列名称，点击oic以此得到输入序列之间的单项或双向因果关系。滞后阶数釆用Eviews推荐的滞后阶数LagSpecification得到与coilfuture序列相关的Granger因果检验结果。存在dow到coilfuture的单向因果关系；存在shindex到原油期货价格的单向因果关系；存在原油期货价格到nagas的双向因果关系;存在原油期货价格到OPEC产量的单向因果关系;存在ueurope到原油期货价格的单向因果关系；存在ermb到原油期货价格的单向因果关系。PairwiseGrangerCausalityTestsDate:12/26/11Time:21:55Sample:1999M012008M08Lags:2NullHypothesis;ObsF-StatisticProb.DOWdoesnotGrangerCauseCOILFUTURECOILFUTUREdoesnotGrangerCauseDOW1144.518320.605B30.01300.5476SHINDEXdoesnotGrangerCauseCOILFUTURECOILFUTUREdoesnotGrangerCauseSHINDEX1143.508131.102090.03340.3358NAGASdoesnotGrangercauseCOILFUTURECOILFUTUREdoesnotGrangerCauseNAGAS1141.606462.451890.20530.0909OPECdoesnotGrangerCauseCOILFUTURECOILFUTUREdoesnotGrangerCauseOPEC1140.109093.707610.89670.0277UEUROPEdoesnotGrangerCauseCOILFUTURECOILFUTUREdoesnotGrangerCauseUEUROPE1142.551650.231810.08260.7935URMBdoesnotGrangerCauseCOILFUTURECOILFUTUREdoesnotGrangerCauseURMB1142.544540.992810.08320.3739协整检验对上述的7个单整时间序列采用EG(Engle-Granger)两步法进行协整检验。(1)在工作表窗口选取coilfuture、dow、shindexnagas、opec>ueuropeurmb,然后单击右键，选择open,点击asgroup,得到所有序列数据。IlliIlliIlliIlli□回冒obsCOILFUTUREDOWNAGAS□回冒obsCOILFUTUREDOWNAGASOPECSHIND1999M0112.499358.831.8529470.598仏］1999M0212.029306.5817829980.63610L•1999M0314.689786.1617929786.981111999M0417.3010789.042.1528531.247111999M0517.7710559.742.2628467.634121999M0617.9210970.802.3127906.045161999M0720.1010655.152.3128452.981161999M0821.2810829.2827928692.838161999M09237910336.952.5428727.563151999M1022.6710729.862.7328792.283151999M1124.7710877.812.3628247.224141999M1226.0911497.122.3627381.769132000M0127.0110940.532.4228522.222152000M0229.3010128.312.6629165.204172000M0329.8910921.9227929098.470182000M0425.5410733.913.0430031.366182000M0528.8110522.333.5830608.279182000M0&31.5310447.894.2930211.616192000M0729.7210521.983.9630530.53120v2000M08\<| | <H» |View1ProcIObjectIPrintNam&lFreezeEdit+/-|Smpl+A|Titl□Group:OTTITLEDlorkfilef -WifledX在新窗口中点击proc,选择makeequation,使用Engle-Granger(EG)两步检验法进行回归,得到回归结果：OEquation:UHTITLEDWorkfilesgSWistijrtit..View!Proc|ObjectIPrintjName|Freese,EstimateForecast|Stats]Resids|DependentVariable:COILFUTUREMethod:LeastSquaresDate:12/26/11Time:22:37Sample;1999M012008M08Includedobservations:116VariableCoefficientStd.Errort-StatisticProb.DOW-0.0008160.000786-1.0388770.3012MAGAS1.4903800.3755823.9681870.0001OPEC0.0035680.0005586.3919910.0000SHINDEX-0.0014660.001022■1.4352840.1541UEUROPE-12.246635.870970-2.0859630.0393URMB-49.591243.055834-16.228380.0000C351.383530.2871711.601730.0000R・squared0.952580Meandependenivar46.0B198AdjustedR-squared0.949970S.D.dependentvar26.64445S.E.ofregression5.959677Akaikeinfocriterion6.466357Sumsquaredresid3871.434Schwarzcriterion6.632522InnlikPlihnnrirtd!?7H^nnqn-Quinnrrit^rfimimi（3）在新窗口中点击proc,选择makeresidualseries,得到残差项时间序列RESIDOloOSeries:RESID01 Workfile: :UntilledXViewIProc|Object|Properti«|Print|Name|Freeze(Default▼Sort|Edit+/-1Srnpk/-1LatRESID01Lastupdated:12/26/11-22:40T1Modified:1999M01200SM08//makeresid口1999M01-16.345871999M02-18.271891999M03-14.077381999M04-6.6271661999M05-5.9265381999M06-2.6655861999M07-2.8235741999M08-3.2799001999M09-0.8832941999M10-2.5386201999M112.5660441999M127.6239122000M014.1783002000M023.7844232000M03?nnnhrtnd•圈|>（4）对该序列RESID01进行ADF检验（如上所述）。若残差项平稳，则存在协整关系。否则，不存在。山结果可知，检验值-5.298明显小于所有临界值，则残差项RESID01平稳，即原油期货价格与选定的相关连续经济变量存在着长期均衡关系。OSeries:RESID0LMe训Object Print|Name|Freeze|(DefaultTSort|Edit4卜|Smpl+卜|LatAugmerrtedDickey-FullerUnitRootTestonRESID01NullHypothesis:RESID01hasaunitrootExogenous:ConstantLagLength:1(AutomaticbasedonSIC,MAXLAG=12)t-StatisticProb*AuamentedDickey-Fullerteststatistic-5.2979070.0000Testcriticalvalues:1%level5%level10%level-3.488585-2.886959-2.580402*Mackinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(RESID01)Method:LeastSquaresDate:12/26/11Time:22:43Sample(adjusted):1999M032008M08Includedobservations:114afteradjustments

误差修正模型(1)对所有的时间数列取对数，消除异方差问题，得到一组新数列，并命名为Pl=log(coilfuture),P2=log(dow),P3=log(shindex)5P4=log(nagas),P5=Iog(opec),P6=log(ueurope),P7=log(unirb)o可在eviews中输入Genr命令，自动产生对数数列。[_1worm丄e:球临ic:\aocinieiitsMiasett•・・卄lj讣We丽Proc|Object|Print|SaveDetmik+卜|ShowFetchStore,Delete|GenrjSample]Range:1999M012008M08-11Sobs DisplayFilter"Sample:1999M012008M08--11Sobsfg]c 叵urmbMcoilfulure呵dowPInagasMopec0P20P3Mp4EPS0P6EP70residDresidd叵shindexlabeltime巨ueuropeUnfitled/(NewPage/(2)对数据重新建立回归模型。单击quick里estimateequation,输入回归参数，Pl,P2,P3,P4,P5,P6,P7,得到旦归结果OEquation:UHTITLEDWorkfile: !Untit..IEstimateForecast|Stats|ResidsIViewIProcjObject|PrintjNameIFr&eseIEstimateForecast|Stats|ResidsIDependentVariable:P1Method:LeastSquaresDate:12/26/11Time:23:58Sample;1999M012008M08Includedobservations:116VariableCoefficientStd.Errort-StatisticProb.P20.3483690.2163911.6099060.1103P3-0.0363260.066067-0.5498370.5835P40.5053410.04678710.800970.0000P50.8179490.2322573.5217470.0006P6-0.3896020.164048-2.3749260.0193P7-4.1119880.605287-6.7934510.0000R-squared0.908163M€andependenivar3.684604AdjustedR-squared0.903989S.D.dependentvar0.533049S.E.ofregression0.165169A