原創(chuàng)R語言恩格爾-格蘭杰檢驗Engle-Granger多元garchVAR脈沖模型分析報告附代碼數(shù)據(jù)

1、# 軟件：R語言# 主要內(nèi)容：分析匯率和股價指數(shù)的聯(lián)系，用格蘭杰因果檢驗和脈沖響應(yīng)函數(shù)# 基本思路是：topix= read.csv （"topix（2012）.csv", header= F）"日元兌人民幣匯率（2012） .csv"# # 1" 日元兌人民幣匯率（2012） .csv"匯率=read.csv （"日元兌人民幣匯率（2012） .csv"）# （一）描繪時序圖一單位根檢驗（ADF檢驗）-平穩(wěn)性檢驗，不平穩(wěn)的話進行協(xié)整檢驗 一 格蘭杰因果檢驗plot (topix, 1 ,topix, 2, typ

2、e= "b" , xlab= "year" , ylab="股價指數(shù)")g(D2012/1/10 2013/12/2 2014/3/5 20157 2016/7Myearplot (匯率,1,匯率,2, type= "b" , xlab= "year" , ylab="匯率")# #平穩(wěn)性檢驗# install.packages("urca")library (urca)O g 榭 LJO 寸2012/1/10 2013/12/2 2014/3/4 201

3、5/5M 2016/7Myearlibrary (Imtest)# # Loading required package: zoo# # # Attaching package: 'zoo'# # The following objects are masked from 'package:base':# # # as.Date, as.Date.numeric# attach(data)lc.df <- ur.df (y=topix, 2, lags= 6, type= 'trend' ) summary(lc.df)# # # # #

4、# Augmented Dickey-Fuller Test Unit Root Test # # # # Test regression trend# # # # Call:# # lm(formula = z.diff z.lag.1 + 1 + tt + z.diff.lag)# # # Residuals:# # Min 1Q Median 3Q Max# -94.672 -7.561 0.450 8.866 93.071# Coefficients:# Estimate Std. Error t value Pr(>|t|)# (Intercept) 5.9046672.796

5、2262.1120.0349# z.lag.1 -0.0058410.003228-1.8090.0706 .# tt0.003041 0.002508 1.212 0.2256# z.diff.lag1 0.0105900.0287450.3680.7126# z.diff.lag2 0.0378380.0287581.3160.1885# z.diff.lag3 -0.0448560.028735-1.5610.1188# z.diff.lag4 -0.0491960.028726-1.7130.0871# z.diff.lag5 0.0102580.0287460.3570.7213#

6、z.diff.lag6 -0.0266270.028745-0.9260.3545# # -# # Signif. codes: 0 '*' 0.001 '*' 0.01 '*' 0.05 '.' 0.1 ' ' 1# # # Residual standard error: 16.84 on 1210 degrees of freedom# # Multiple R-squared: 0.009994, Adjusted R-squared: 0.003448# # F-statistic: 1.527 on 8

7、 and 1210 DF, p-value: 0.1432# # # # Value of test-statistic is: -1.8094 1.8787 1.7898# # # Critical values for test statistics:# # 1pct 5pct 10pct# # tau3 -3.96 -3.41 -3.12# # phi2 6.09 4.68 4.03# # phi3 8.27 6.25 5.34library ("fUnitRoots" )# # Loading required package: timeDate# # Loadin

8、g required package: timeSeries# # # Attaching package: 'timeSeries'# # The following object is masked from 'package:zoo':# # # time<-# # Loading required package: fBasics# # # Rmetrics Package fBasics# # Analysing Markets and calculating Basic Statistics# # Copyright (C) 2005-2014

9、 Rmetrics Association Zurich# # Educational Software for Financial Engineering and Computational Sci ence# # Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.# # - Mail to: # # # Attaching package: 'fUnitRoots'# # The following objects a

10、re masked from 'package:urca':# # # punitroot, qunitroot, unitrootTableunitrootTest (topix, 2)# # # Title:# # Augmented Dickey-Fuller Test# # # Test Results:# # PARAMETER:# # Lag Order: 1# # STATISTIC:# # DF: 0.9535# # P VALUE:# # t: 0.91# # n: 0.9043# # # Description:# # Thu Mar 30 11:54:58 2017 by user: Administrator# #恩格爾-格蘭杰檢驗 Engle-Granger# 第一步：建立兩變量(y1,y2 )的回歸方程，# 第二部：對該回歸方程的殘差(resid)進行單位根檢驗其中，# 原假設(shè)兩變量不存在協(xié)整關(guān)系，備擇假設(shè)是兩變量存在協(xié)整關(guān)系。# 利用最小二乘法對回歸方程進行估計，從回歸方程中提取殘差進行檢驗。# #檢驗協(xié)整關(guān)系library ("tseries" )adf.test (topix