[原创]R语言恩格尔-格兰杰检验Engle-Granger 多元garch VAR 脉冲模型分析报告附代码数据

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# 软件：R语言

# 主要内容：分析汇率和股价指数的联系，用格兰杰因果检验和脉冲响应函数 # 基本思路是：

topix=read.csv(\,header=F)

\日元兑人民币汇率（2012）.csv\ ## [1] \日元兑人民币汇率（2012）.csv\ 汇率=read.csv(\日元兑人民币汇率（2012）.csv\)

# （一）描绘时序图→ 单位根检验（ADF检验）→平稳性检验，不平稳的话进行协整检验→

格兰杰因果检验

plot(topix[,1],topix[,2],type=\,xlab=\,ylab=\股价指数\ )

plot(汇率[,1],汇率[,2],type=\,xlab=\,ylab=\汇率\ )

##平稳性检验

# install.packages(\ library(urca)

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library(lmtest)

## 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)

##

## ############################################### ## # 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

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## -94.672 -7.561 0.450 8.866 93.071 ##

## Coefficients:

## Estimate Std. Error t value Pr(>|t|) ## (Intercept) 5.904667 2.796226 2.112 0.0349 * ## z.lag.1 -0.005841 0.003228 -1.809 0.0706 . ## tt 0.003041 0.002508 1.212 0.2256 ## z.diff.lag1 0.010590 0.028745 0.368 0.7126 ## z.diff.lag2 0.037838 0.028758 1.316 0.1885 ## z.diff.lag3 -0.044856 0.028735 -1.561 0.1188 ## z.diff.lag4 -0.049196 0.028726 -1.713 0.0871 . ## z.diff.lag5 0.010258 0.028746 0.357 0.7213 ## z.diff.lag6 -0.026627 0.028745 -0.926 0.3545 ## ---

## 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 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 5.34 library(\)

## Loading required package: timeDate ## Loading 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 Rmetrics Association Zurich

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## Educational Software for Financial Engineering and Computational Science

## Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY. ## https://www.rmetrics.org --- Mail to: info@rmetrics.org ##

## Attaching package: 'fUnitRoots'

## The following objects are masked from 'package:urca': ##

## punitroot, qunitroot, unitrootTable unitrootTest(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

##恩格尔-格兰杰检验Engle-Granger

# 第一步：建立两变量（y1,y2）的回归方程，

# 第二部：对该回归方程的残差(resid)进行单位根检验其中， # 原假设两变量不存在协整关系，备择假设是两变量存在协整关系。

# 利用最小二乘法对回归方程进行估计，从回归方程中提取残差进行检验。

##检验协整关系

library(\) adf.test(topix[,2])

##

## Augmented Dickey-Fuller Test ##

## data: topix[, 2]

## Dickey-Fuller = -1.9275, Lag order = 10, p-value = 0.609 ## alternative hypothesis: stationary adf.test(汇率[,2])