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.
  Пока убеждали себя,что развиваемся по спирали,не заметили,что бегаем по кругу. (Михаил Мамчич)
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 ]