Monetarism.Ru Ошибки Рейтинги Книги Цены
 акций ММВБ
 трейдеров CTA
 акций NYSE
 акций РТС

 SP 500/M2/PE
 деньги и цены


 Зал славы
Пользовательского поиска

График коинтеграции USDJPY

USDJPY CPI USA JAPAN cointegration test 1975-2006

Step 3: cointegrating regression

Cointegrating regression - 
OLS estimates using the 412 observations 1971:01-2005:04
Dependent variable: l_exjpus


       const            5,60902          0,0176436   317,906  <0,00001 ***
     cpi_diff           1,64565          0,0493659    33,336  <0,00001 ***

  Unadjusted R-squared = 0,730488
  Adjusted R-squared = 0,729831
  Durbin-Watson statistic = 0,020749
  First-order autocorrelation coeff. = 0,981198

Step 4: Dickey-Fuller test on residuals

Augmented Dickey-Fuller tests, order 12, for uhat
sample size 399
unit-root null hypothesis: a = 1

   test without constant 
   estimated value of (a - 1): -0,022759
   test statistic: t = -3,00329
   asymptotic p-value 0,02689

P-values based on MacKinnon (JAE, 1996)

There is evidence for a cointegrating relationship if:
(a) The unit-root hypothesis is not rejected for the individual variables.
(b) The unit-root hypothesis is rejected for the residuals (uhat) from the 
    cointegrating regression.
  Теханализ - это наука или искусство... шарлатанства? Elite
All trademarks and copyrights on this page are owned by their respective owners. Comments are owned by the Poster.
[ главная | задать вопрос | поиск в архиве | опросы | о сайте | авторы | настройки ]