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Indici di borsa di Londra (iblon) 858e46i e New York (ibny) 858e46i
genr dl=d(iblon) 858e46i
Estimation Command:
LS DL C DL(-1) 858e46i
Estimation Equation:
DL = C(1) 858e46i + C(2) 858e46i *DL(-1) 858e46i
Substituted Coefficients:
DL = 6.53+ 0.23*DL(-1) 858e46i
Estimation Command:
LS DL C AR(1) 858e46i
Estimation Equation:
DL = C(1) 858e46i + [AR(1) 858e46i =C(2) 858e46i ]
Substituted Coefficients:
DL = 8.53+ [AR(1) 858e46i =0.23]
Estimation Command:
LS DL C AR(1) 858e46i AR(2) 858e46i MA(1) 858e46i MA(2) 858e46i
Estimation Equation:
DL = C(1) 858e46i + [AR(1) 858e46i =C(2) 858e46i ,AR(2) 858e46i =C(3) 858e46i ,MA(1) 858e46i =C(4) 858e46i ,MA(2) 858e46i =C(5) 858e46i ]
Substituted Coefficients:
DL = 7.73+ [AR(1) 858e46i =-0.94,AR(2) 858e46i =0.59,MA(1) 858e46i =1.28,MA(2) 858e46i =0.78,BACKCAST=1987:08]
Wald Test:
Null Hypothesis: C(1) 858e46i =0
F-statistic 0.783942 Probability 0.378151
Chi-square 0.783942 Probability 0.375938
Stima di modelli uniequazionali
Indici di borsa di Londra (iblon) 858e46i e New York (ibny) 858e46i
genr dl=d(iblon) 858e46i
genr dn=d(ibny) 858e46i
CORRELATION 0.59
genr ll=log(iblon) 858e46i
genr ln=log(ibny) 858e46i
genr dll=d(ll) 858e46i
genr dln=d(ln) 858e46i
GRAFICO DELLE DIFFERENZE DELLE TRASFORMATE LOGARITMICHE (RENDIMENTI) 858e46i
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Quick . Estimate Equation .
Least Squares
Specifica equazione
Options metodi di stima disponibili per la stima della matrice delle varianze e covarianze
Estimation Command:
LS DLL C DLN AR(1) 858e46i AR(2) 858e46i MA(1) 858e46i MA(2) 858e46i
Estimation Equation:
Substituted Coefficients:
DLL = -0.0021867979 + 0.90766751*DLN + [AR(1) 858e46i =-0.65806186,AR(2) 858e46i =-0.53444961,MA(1) 858e46i =0.79377829,MA(2) 858e46i =0.52545108,BACKCAST=1987:08]
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Coefficient test Wald coefficient restrictions test su vincoli sui parametri
Wald Test:
Equation: Untitled
Null Hypothesis: C(1) 858e46i =0
F-statistic 0.417680 Probability 0.519655
Chi-square 0.417680 Probability 0.518097
Wald Test:
Equation: Untitled
Null Hypothesis: C(1) 858e46i =0
C(2) 858e46i =C(3) 858e46i
F-statistic 85.76722 Probability 0.000000
Coefficient test Redundant Variables test su inclusione di variabile irrilevante
Redundant Variables: AR(2) 858e46i MA(2) 858e46i
F-statistic 12.00036 Probability 0.000023
Log likelihood 22.75052 Probability 0.000011
Coefficient test Omitted Variables test su omissione di variabile irrilevante
Omitted Variables: MA(3) 858e46i
F-statistic 3.697309 Probability 0.057527
Log likelihood 3.896502 Probability 0.048387
Residual Tests Correlogram Q- Statistics test su correlazione seriale in errore
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Residual Tests Histogram and Normality Test test su normalità distributiva
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Residual Tests Serial correlation LM Test test su correlazione seriale in errore
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 3.379318 Probability 0.038305
Obs*R-squared 6.841423 Probability 0.032689
Residual Tests White'Heteroskedasticity Test test su eteroschedasticità
White Heteroskedasticity Test:
F-statistic 0.516799 Probability 0.598043
Obs*R-squared 1.054121 Probability 0.590338
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