文档介绍：
VAR模型应用实例
众所周知，经济的发展运行离不开大量能源的消耗，尤其是在现代经济发展的过程中，
能源的重要性日益提升。我国自改革开放以来，经济发展取得长足的进步，经济增长率一直
处于较高的速度，经济的高速增长，作十
A Im ilr-n ifF典 wi+
rv<r! n c
A 51/白 4T
图 经济增速（GDP的单位根检验
Series: NYSC Workfle： UT^TITLED:：IJntitled\ u | 8 ।
'/ievv Proc Object Properties Print Nsme Freeze Sample Genr Sheet Graph
Augmenled Oickey-Fuller Unit Root Test on MVSC
hull Hypothesis： NYSC has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic- basM on SIC,rna)(lag=9)
t-Statistic Prob *
Au(niMt€d Die足y-FuI幅「Mst st部Stic T9茹9g7 。用045
Test critical values: 1% level -
5% 怙* -2 945S42
10% level -
*MacKinnon (1996) one-sided fbvaljes.
Augrnented Dicke>-FullerTest Equation
Dependent Variable: D(NYSC)
Method: Least Squares
Date: 05/17/17 Time; 1(X58
Sample [adjusted); 1930 2015
Included onsenations: 36 afteradjustm&nts
Variable Coeficierit Std Error t-Statistic Prob.
hYSCM)
-
-3935987
0 0004
D(NYSC(-1H
0 430549
2 922585
0 0062
C
2 746938
0357266 3 204300
0 0030
R-squared
Q343068
M&an dependentvar
-0 069444
.Adjusted R-squared
S D dependent war
3 510704
. of regression
2 930431
Akaike info criterion
5067831
Sum sqii3「eci resid
Schwarz criterion
Log likelihood
-
Hannan-Quinn criter.
F-statistic
8.&16746
Durbin-Wstsor stat
Prob iF-slati Stic)
图能源生产增速（nysc）的单位根检验
经过检验，在1%勺显著性水平上，gdp和nysc两个时间序列都是平稳的，符合建模的
条件，我们建立一个无约束的 VAR莫型。
.VAR模型的估计
Vi«w
Proc Object Print
Nams Fr"决
Estimate
Farecait
Vector Autoregression Estimates
Vedor Autor&gression Estimates
Date: 05/17/17 Time: 11:03
Sample (adjusted), 1980 2015
IndLided oDserations: 36 after adjustments
Standarfl errors in() & i-statistics in[]
GDP NYSC
GDP(-1}
(> ]
()
[]
GDP(-2j
- (015625) [-]
-0 292356
(0 237601
[T 22942]
NYSC(-1}
- () 卜口 .451