时间序列实验报告4

时间序列分析实验报告

Problem 1 : check whether the series in test1.xls is stationary or not by ADF-test ,if the series is nonstationary, then consider the nonstationarity and establish suitable model

①.create a new integer-data workfile named test1; import data series named y

②.Check series-- long-run trend----unit root test(trend stationary or unit root

process)

③.Uint root test—ADF, give your reason or how do you get your result

④.If the series y is nonstationary , please eliminate the nonstarionarity and

establish suitable model for original series , the equation should be stored in the

workfile and give name eq01

⑤.write out the equation in lag operator：

Problem2: check whether the series in test22.xls is stationary or not by ADF-test,if the series is nonstationary, then consider the nonsationarity and establish suitable model

①.create a new integer-data workfile named test22; import data series named y

②.Check series is stationary, trend stationary or unit root process by ADF-test,

give your reason or how do you get your result

③.Establish suitable model（eq01）for original series y based on your conclusion

in question 2

④.Write out the model in lag operator

实验报告结果

Problem1

In ADF test ,the trend t is under the a=0.05 in regression equation. The p value in ADF test is 0.0000

So Yt=8.991+0.01t+Xt

So Xt=0.282Xt-1 – 0.573Xt-2 + 0.797Ut-1 + Ut

Yt=8.991+0.01t+0.282Xt-1 – 0.573Xt-2 + 0.797Ut-1 + Ut Problem 2

The p value is 0.9975

The p is 0.5730

P is 0.2458

Y1=d(y)

Xt=50.95+0.886Xt-1 – 0.665Ut-1 + Ut

(1-0.886L)Xt=(1-0.665L)Ut +50.95 , Xt=d(y)