时间序列建模案例.doc

国际航线月度旅客1949.1—1960.12 genr d1b=@d(b,1) graph it Correlogram d1b genr d12b=@d(d1b,12) Null Hypothesis: D12B has a unit root Exogenous: None Lag Length: 12 (Automatic based on SIC, MAXLAG=12) t-Statistic ??Prob.* Augmented Dickey-Fuller test statistic -19.53160 ?.0000 Test critical values: 1% level -2.584707 5% level -1.943563 10% level -1.614927 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(D12B) Method: Least Squares Date: 03/26/10 Time: 18:32 Sample (adjusted): 27 144 Included observations: 118 after adjustments D12b correlogram ls d(log(b),1,12) ma(1) ma(3) ar(3) sma(1) sma(2) sar(1) sar(2)