金融計(jì)量學(xué)實(shí)驗(yàn)報(bào)告-在線瀏覽
2025-07-10 18:19本頁(yè)面
【正文】 rrelation LM Test:Fstatistic Prob. F(2,15)Obs*Rsquared Prob. ChiSquare(2)Test Equation:Dependent Variable: RESIDMethod: Least SquaresDate: 04/19/13 Time: 12:12Sample: 1978 1997Included observations: 20Presample missing value lagged residuals set to zero.VariableCoefficientStd. ErrortStatisticProb. CX2X1RESID(1)RESID(2)Rsquared Mean dependent varAdjusted Rsquared . dependent var. of regression Akaike info criterionSum squared resid Schwarz criterionLog likelihood HannanQuinn criter.Fstatistic DurbinWatson statProb(Fstatistic)，即輔助回歸方程總體線性顯著性檢驗(yàn)在1%的置信度下通過(guò)?？偨Y(jié)以上兩點(diǎn)我們可以得出拒絕約束條件為真的原假設(shè)，表明存在序列相關(guān)。這也與DW檢驗(yàn)的結(jié)果相一致。即F大于了相應(yīng)的臨界值，則我們拒絕原假設(shè)（沒(méi)有發(fā)生結(jié)構(gòu)性變化），認(rèn)為發(fā)生了結(jié)構(gòu)性變化，也即參數(shù)在整個(gè)區(qū)間上是不穩(wěn)定的。附錄一實(shí)驗(yàn)一原始數(shù)據(jù)月線上證指數(shù)050201160706210001270005時(shí)間收盤(pán)價(jià)無(wú)風(fēng)險(xiǎn)利率博時(shí)價(jià)值嘉實(shí)滬深金鷹成份廣發(fā)聚豐200704200705200706200707200708200709200710200711200712200801200802200803200804200805200806200807200808200809200810200811200812200901200902200903200904200905200906200907200908200909200910200911200912201001201002201003201004201005201006201007201008201009201010201011201012201101201102201103201104201105201106201107201108201109201110201111201112201201201202201203201204201205201206201207201208201209201210201211201212201301201302表1月線360001377020483003519015519021時(shí)間光大量化上投內(nèi)需工銀精選海富通精選國(guó)泰金鼎200704200705200706200707200708200709200710200711200712200801200802200803200804200805200806200807200808200809200810200811200812200901200902200903200904200905200906200907200908200909200910200911200912201001201002201003201004201005201006201007201008201009201010201011201012201101201102201103201104201105201106201107201108201109201110201111201112201201201202201203201204201205201206201207201208201209201210201211201212201301201302表2預(yù)處理數(shù)據(jù)RMRfR1RfR2RfR3RfR4Rf200705200706200707200708200709200710200711200712200801200802200803200804200805200806200807200808200809200810200811200812200901200902200903200904200905200906200907200908200909200910200911200912201001201002201003201004201005201006201007201008201009201010201011201012201101201102201103201104201105201106201107201108201109201110201111201112201201201202201203201204201205201206201207201208201209201210201211201212201301201302R5RfR6RfR7RfR8RfR9Rf
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