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A = 0.00576GDPt1 (21.9.6)
t = (5.7980) R2 =0.0152 d = 1.34
t
P GD
=
+ =
p
i
t i t t
u Y Y
1
|
17
Properties of AR Models:
1. 0 ) ( ) ( ) (
1 1
= = =
+ t t t
Y E Y E Y E
2. Cov(
2
1
0 ) , ( o =
t t
Y Y
The MA(1) Model:
The simplest, pure statistical time series models is that of order one, ot the MA(1) , hich
has the form :
1
+ =
t t t
u u Y u
The implication behind the MA(1) model is that Yt depends on the value of the
immediate past error, which is known at time t.
The MA(q) Model: A generalization of the AR(1) model is the AR(1) model. It will be
autoregssive model of order p, and will have p lagged terms as in the following
q t p t t t t
u u u u Y
+ + + + = u u u ..........
2 2 1 1
Or suing the summation symbol:
=
=
q
i
j t j t
u Y
1
u
ARMA models:
The combinations of AR(p) and MA(q) is known as the ARMA(p,q) models. The general
form of the ARMA (p,q) model is and ARMA(p,q) of the following form:
+ + + + + =
t p t p t t t
u Y Y Y Y | | | ..........
2 2 1 1 q t p t t
u u u
+ + + + u u u ..........
2 2 1 1
Which can be written, using the summations, as:
= =
+ + =
p
i
q
j
j t j t i t i t
u u u Y
1 1
u |
18
BOX-Jenskins Model Selection:
A fundamental idea in the Box-Jenkins approach is the principal of parsimony.
Parsimony (meaning sparseness or stinginess) should come as second nature to
economists and financial analyst. Incorporating additional coefficients will necessarily
increase the fit of the regression equation (i.e. the value of the
2
R will increase), but the
cost will be a reduction of the degrees of freedom. Box and Jenkins argue that the
parsimonious models produce better forecasts than overparameterized models.
In general Box and Jenkins popularized athree-stage method aimed at selecting an
appropriate (parsimonus) ARIMA model for the purpose of estimating and forecasting a
univariate time series. The three stages are:
1. Identification
2. Estimation
3. Diagnostic checking.
Please see the details: In the photocopied sheet
Example: The Box-Jenkins Approach
File: ARIMA.wf1
Date: 11/12/12 Time: 22:17
Sample: 1980Q3 1998Q2
Included observations: 72
Autocorrelation Partial Correlation AC PAC Q-Stat Prob
. |******* . |******* 1 0.958 0.958 68.932 0.000
. |******* .*| . | 2 0.913 -0.067 132.39 0.000
. |******| . | . | 3 0.865 -0.050 190.23 0.000
. |******| . | . | 4 0.817 -0.030 242.57 0.000
. |******| . | . | 5 0.770 -0.013 289.73 0.000
. |***** | . | . | 6 0.723 -0.032 331.88 0.000
. |***** | . | . | 7 0.675 -0.024 369.26 0.000
. |***** | . | . | 8 0.629 -0.022 402.15 0.000
. |**** | . | . | 9 0.582 -0.030 430.77 0.000
. |**** | . | . | 10 0.534 -0.035 455.31 0.000
19
Date: 11/12/12 Time: 22:17
Sample: 1980Q3 1998Q2
Included observations: 72
Autocorrelation Partial Correlation AC PAC Q-Stat Prob
. |*** | . |*** | 1 0.463 0.463 16.112 0.000
. |*. | . | . | 2 0.206 -0.011 19.342 0.000
. |** | . |** | 3 0.289 0.252 25.814 0.000
. |** | . | . | 4 0.251 0.033 30.749 0.000
. |** | . |*. | 5 0.220 0.103 34.592 0.000
. |** | . | . | 6 0.225 0.061 38.671 0.000
. | . | .*| . | 7 0.027 -0.198 38.729 0.000
.*| . | .*| . | 8 -0.074 -0.102 39.187 0.000
. | . | .*| . | 9 -0.041 -0.068 39.327 0.000
. | . | . | . | 10 -0.041 -0.019 39.473 0.000
.
Dependent Variable: DLGDP
Method: Least Squares
Date: 11/12/12 Time: 22:20
Sample: 1980Q3 1998Q2
Included observations: 72
Convergence achieved after 14 iterations
MA Backcast: 1979Q4 1980Q2
Variable Coefficient Std. Error t-Statistic Prob.
C 0.006814 0.001547 4.403203 0.0000
AR(1) 0.714711 0.100576 7.106173 0.0000
MA(1) -0.452598 0.150094 -3.015439 0.0036
MA(2) -0.196976 0.128418 -1.533867 0.1298
MA(3) 0.293634 0.118360 2.480865 0.0156
R-squared 0.336044 Mean dependent var 0.005942
Adjusted R-squared 0.296405 S.D. dependent var 0.006687
S.E. of regression 0.005609 Akaike info criterion -7.461977
Sum squared resid 0.002108 Schwarz criterion -7.303875
Log likelihood 273.6312 Hannan-Quinn criter. -7.399036
F-statistic 8.477592 Durbin-Watson stat 1.890012
Prob(F-statistic) 0.000013
Inverted AR Roots .71
Inverted MA Roots .54+.43i .54-.43i -.62
20
Dependent Variable: DLGDP
Method: Least Squares
Date: 11/12/12 Time: 22:32
Sample (adjusted): 1980Q3 1998Q2
Included observations: 72 after adjustments
Convergence achieved after 9 iterations
MA Backcast: 1980Q2
Variable Coefficient Std. Error t-Statistic Prob.
C 0.006809 0.001464 4.650788 0.0000
AR(1) 0.742293 0.101179 7.336398 0.0000
MA(1) -0.471429 0.161392 -2.921010 0.0047
R-squared 0.279356 Mean dependent var 0.005942
Adjusted R-squared 0.258468 S.D. dependent var 0.006687
S.E. of regression 0.005758 Akaike info criterion -7.435603
Sum squared resid 0.002288 Schwarz criterion -7.340742
Log likelihood 270.6817 Hannan-Quinn criter. -7.397839
F-statistic 13.37388 Durbin-Watson stat 1.876207
Prob(F-statistic) 0.000012
Inverted AR Roots .74
Inverted MA Roots .47
21
Modeling the variance: ARCH-GARCH Models
Dependent Variable: R_FTSE
Method: Least Squares
Date: 11/13/12 Time: 10:30
Sample: 1/01/1990 12/31/1999
Included observations: 2610
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000363 0.000184 1.975016 0.0484
R_FTSE(-1) 0.070612 0.019538 3.614090 0.0003
R-squared 0.004983 Mean dependent var 0.000391
Adjusted R-squared 0.004602 S.D. dependent var 0.009398
S.E. of regression 0.009376 Akaike info criterion -6.500477
Sum squared resid 0.229287 Schwarz criterion -6.495981
Log likelihood 8485.123 Hannan-Quinn criter. -6.498849
F-statistic 13.06165 Durbin-Watson stat 1.993272
Prob(F-statistic) 0.000307
22
Heteroskedasticity Test: ARCH
F-statistic 46.84671 Prob. F(1,2607) 0.0000
Obs*R-squared 46.05506 Prob. Chi-Square(1) 0.0000
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/13/12 Time: 10:47
Sample (adjusted): 1/02/1990 12/31/1999
Included observations: 2609 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 7.62E-05 3.76E-06 20.27023 0.0000
RESID^2(-1) 0.132858 0.019411 6.844466 0.0000
R-squared 0.017652 Mean dependent var 8.79E-05
Adjusted R-squared 0.017276 S.D. dependent var 0.000173
S.E. of regression 0.000171 Akaike info criterion -14.50709
Sum squared resid 7.64E-05 Schwarz criterion -14.50260
Log likelihood 18926.50 Hannan-Quinn criter. -14.50546
F-statistic 46.84671 Durbin-Watson stat 2.044481
Prob(F-statistic) 0.000000
Heteroskedasticity Test: ARCH
F-statistic 37.03529 Prob. F(6,2597) 0.0000
Obs*R-squared 205.2486 Prob. Chi-Square(6) 0.0000
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/13/12 Time: 10:58
Sample (adjusted): 1/09/1990 12/31/1999
Included observations: 2604 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 4.30E-05 4.46E-06 9.633006 0.0000
RESID^2(-1) 0.066499 0.019551 3.401305 0.0007
RESID^2(-2) 0.125443 0.019538 6.420328 0.0000
RESID^2(-3) 0.097259 0.019657 4.947847 0.0000
RESID^2(-4) 0.060954 0.019658 3.100789 0.0020
RESID^2(-5) 0.074990 0.019539 3.837926 0.0001
RESID^2(-6) 0.085838 0.019551 4.390579 0.0000
23
R-squared 0.078821 Mean dependent var 8.79E-05
Adjusted R-squared 0.076692 S.D. dependent var 0.000173
S.E. of regression 0.000166 Akaike info criterion -14.56581
Sum squared resid 7.16E-05 Schwarz criterion -14.55004
Log likelihood 18971.68 Hannan-Quinn criter. -14.56010
F-statistic 37.03529 Durbin-Watson stat 2.012275
Prob(F-statistic) 0.000000
Dependent Variable: R_FTSE
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 11/13/12 Time: 11:01
Sample: 1/01/1990 12/31/1999
Included observations: 2610
Convergence achieved after 8 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2
Variable Coefficient Std. Error z-Statistic Prob.
C 0.000401 0.000178 2.257632 0.0240
R_FTSE(-1) 0.075196 0.019209 3.914518 0.0001
Variance Equation
C 7.39E-05 2.11E-06 35.07451 0.0000
ARCH(1) 0.161294 0.020232 7.972289 0.0000
R-squared 0.004944 Mean dependent var 0.000391
Adjusted R-squared 0.004563 S.D. dependent var 0.009398
S.E. of regression 0.009377 Akaike info criterion -6.524781
Sum squared resid 0.229296 Schwarz criterion -6.515789
Log likelihood 8518.839 Hannan-Quinn criter. -6.521523
Durbin-Watson stat 2.001997
24
Dependent Variable: R_FTSE
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 11/13/12 Time: 11:03
Sample: 1/01/1990 12/31/1999
Included observations: 2610
Convergence achieved after 15 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 + C(6)*RESID(-3)^2
+ C(7)*RESID(-4)^2 + C(8)*RESID(-5)^2 + C(9)*RESID(-6)^2
Variable Coefficient Std. Error z-Statistic Prob.
C 0.000399 0.000162 2.455934 0.0141
R_FTSE(-1) 0.069681 0.019753 3.527547 0.0004
Variance Equation
C 3.52E-05 2.58E-06 13.65496 0.0000
ARCH(-1)^2 0.080467 0.014866 5.412946 0.0000
ARCH(-2)^2 0.131236 0.024881 5.274448 0.0000
ARCH(-3)^2 0.107555 0.022741 4.729569 0.0000
ARCH(-4)^2 0.081070 0.022648 3.579493 0.0003
ARCH(-5)^2 0.089833 0.022985 3.908289 0.0001
ARCH(-6)^2 0.123531 0.023890 5.170768 0.0000
R-squared 0.004968 Mean dependent var 0.000391
Adjusted R-squared 0.004586 S.D. dependent var 0.009398
S.E. of regression 0.009376 Akaike info criterion -6.610798
Sum squared resid 0.229290 Schwarz criterion -6.590567
Log likelihood 8636.092 Hannan-Quinn criter. -6.603469
Durbin-Watson stat 1.991464
25
GARCH Model
Dependent Variable: R_FTSE
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 11/13/12 Time: 11:07
Sample: 1/01/1990 12/31/1999
Included observations: 2610
Convergence achieved after 13 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.000433 0.000158 2.732030 0.0063
R_FTSE(-1) 0.062548 0.020697 3.022112 0.0025
Variance Equation
C 8.22E-07 2.42E-07 3.392464 0.0007
RESID(-1)^2 0.050868 0.006659 7.639165 0.0000
GARCH(-1) 0.940258 0.007973 117.9339 0.0000
R-squared 0.004868 Mean dependent var 0.000391
Adjusted R-squared 0.004486 S.D. dependent var 0.009398
S.E. of regression 0.009377 Akaike info criterion -6.648590
Sum squared resid 0.229314 Schwarz criterion -6.637351
Log likelihood 8681.411 Hannan-Quinn criter. -6.644519
Durbin-Watson stat 1.977746
Dependent Variable: R_FTSE
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 11/13/12 Time: 11:08
Sample: 1/01/1990 12/31/1999
Included observations: 2610
Convergence achieved after 40 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 + C(6)*RESID(-3)^2
+ C(7)*RESID(-4)^2 + C(8)*RESID(-5)^2 + C(9)*RESID(-6)^2 + C(10)
*GARCH(-1) + C(11)*GARCH(-2) + C(12)*GARCH(-3) + C(13)*GARCH(
-4) + C(14)*GARCH(-5) + C(15)*GARCH(-6)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.000434 0.000157 2.765434 0.0057
R_FTSE(-1) 0.068390 0.020316 3.366263 0.0008
Variance Equation
C 2.07E-06 1.93E-05 0.106965 0.9148
RESID(-1)^2 0.023716 0.016300 1.455038 0.1457
26
RESID(-2)^2 0.075183 0.127784 0.588359 0.5563
RESID(-3)^2 0.010935 0.432076 0.025308 0.9798
RESID(-4)^2 0.010192 0.265912 0.038327 0.9694
RESID(-5)^2 0.014333 0.168467 0.085076 0.9322
RESID(-6)^2 -0.011530 0.156800 -0.073533 0.9414
GARCH(-1) 0.510498 4.959440 0.102935 0.9180
GARCH(-2) -0.459335 0.194327 -2.363726 0.0181
GARCH(-3) 0.579821 2.185128 0.265349 0.7907
GARCH(-4) -0.234038 1.834222 -0.127595 0.8985
GARCH(-5) 0.843345 0.280605 3.005451 0.0027
GARCH(-6) -0.385907 4.042993 -0.095451 0.9240
R-squared 0.004922 Mean dependent var 0.000391
Adjusted R-squared 0.004541 S.D. dependent var 0.009398
S.E. of regression 0.009377 Akaike info criterion -6.648366
Sum squared resid 0.229301 Schwarz criterion -6.614647
Log likelihood 8691.117 Hannan-Quinn criter. -6.636151
Durbin-Watson stat 1.988911
Dependent Variable: R_FTSE
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 11/13/12 Time: 11:13
Sample: 1/01/1990 12/31/1999
Included observations: 2610
Convergence achieved after 13 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.000433 0.000158 2.732030 0.0063
R_FTSE(-1) 0.062548 0.020697 3.022112 0.0025
Variance Equation
C 8.22E-07 2.42E-07 3.392464 0.0007
RESID(-1)^2 0.050868 0.006659 7.639165 0.0000
GARCH(-1) 0.940258 0.007973 117.9339 0.0000
R-squared 0.004868 Mean dependent var 0.000391
Adjusted R-squared 0.004486 S.D. dependent var 0.009398
S.E. of regression 0.009377 Akaike info criterion -6.648590
Sum squared resid 0.229314 Schwarz criterion -6.637351
Log likelihood 8681.411 Hannan-Quinn criter. -6.644519
Durbin-Watson stat 1.977746
27
Dependent Variable: R_FTSE
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 11/13/12 Time: 11:11
Sample: 1/01/1990 12/31/1999
Included observations: 2610
Convergence achieved after 13 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
@SQRT(GARCH) 0.098607 0.080727 1.221495 0.2219
C -0.000347 0.000659 -0.526540 0.5985
R_FTSE(-1) 0.061636 0.020704 2.976991 0.0029
Variance Equation
C 8.68E-07 2.56E-07 3.392693 0.0007
RESID(-1)^2 0.052405 0.006845 7.655931 0.0000
GARCH(-1) 0.938191 0.008273 113.4009 0.0000
R-squared 0.005109 Mean dependent var 0.000391
Adjusted R-squared 0.004346 S.D. dependent var 0.009398
S.E. of regression 0.009378 Akaike info criterion -6.648400
Sum squared resid 0.229258 Schwarz criterion -6.634913
Log likelihood 8682.162 Hannan-Quinn criter. -6.643514
Durbin-Watson stat 1.976261
28
Grangerer Causalty:
Date: 11/13/12 Time: 11:28
Sample: 1 40
Lags: 2
Null Hypothesis: Obs F-Statistic Prob.
M1 does not Granger Cause R 38 3.22343 0.0526
R does not Granger Cause M1 12.9266 7.E-05
Pairwise Granger Causality Tests
Date: 11/13/12 Time: 11:30
Sample: 1 40
Lags: 2
Null Hypothesis: Obs F-Statistic Prob.
R does not Granger Cause M1 38 12.9266 7.E-05
M1 does not Granger Cause R 3.22343 0.0526