Eviews 格兰杰 用EViews做granger检验的时候选项的 lags填多...
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\u9ed8\u8ba42\uff0c\u8ba1\u7b97VAR\u540e\uff1aview-->lag structure-->lag lengh criteria
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对A:
Null Hypothesis: A has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.742457 0.3682
Test critical values: 1% level -5.119808
5% level -3.519595
10% level -2.898418
*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20
observations and may not be accurate for a sample size of 6
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(A)
Method: Least Squares
Date: 05/26/09 Time: 12:16
Sample (adjusted): 2 7
Included observations: 6 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
A(-1) -0.826297 0.474214 -1.742457 0.1564
C 6016.624 3471.361 1.733218 0.1581
R-squared 0.431508 Mean dependent var -29.66667
Adjusted R-squared 0.289385 S.D. dependent var 284.4536
S.E. of regression 239.7887 Akaike info criterion 14.05860
Sum squared resid 229994.5 Schwarz criterion 13.98918
Log likelihood -40.17579 F-statistic 3.036155
Durbin-Watson stat 1.908169 Prob(F-statistic) 0.156388
对GDP:
Null Hypothesis: GDP has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 1.128155 0.9863
Test critical values: 1% level -5.604618
5% level -3.694851
10% level -2.982813
*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20
observations and may not be accurate for a sample size of 5
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(GDP)
Method: Least Squares
Date: 05/26/09 Time: 12:19
Sample (adjusted): 3 7
Included observations: 5 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
GDP(-1) 0.223835 0.198408 1.128155 0.3764
D(GDP(-1)) -0.688864 0.655547 -1.050823 0.4036
C -3.980363 509.7428 -0.007809 0.9945
R-squared 0.439979 Mean dependent var 421.7700
Adjusted R-squared -0.120042 S.D. dependent var 179.3353
S.E. of regression 189.7941 Akaike info criterion 13.61347
Sum squared resid 72043.63 Schwarz criterion 13.37913
Log likelihood -31.03367 F-statistic 0.785647
Durbin-Watson stat 1.448043 Prob(F-statistic) 0.560021
因果检验：
Pairwise Granger Causality Tests
Date: 05/26/09 Time: 12:22
Sample: 1 7
Lags: 1
Null Hypothesis: Obs F-Statistic Probability
A does not Granger Cause GDP 6 0.55546 0.51017
GDP does not Granger Cause A 0.57889 0.50209
用Eviews5.0 先建workfile 录入数据 选中后 进入VIEW选项 直接点 adf检验 granger检验 就可以做了
A和GDP谁是因变量谁是自变量应该说吧？
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