求教 格蘭杰因果關(guān)系檢驗(yàn)
做了格蘭杰因果關(guān)系檢驗(yàn) 得到的結(jié)果是這個(gè)。。。有點(diǎn)看不懂,跪求詳細(xì)分析。
人格擔(dān)保,最優(yōu)秀、詳細(xì)的解答懸賞50元電話充值卡。。。
var price bearish
Vector autoregression
Sample: 3 - 2832 No. of obs = 2830
Log likelihood = 8104.535 AIC = -5.720519
FPE = .0000112 HQIC = -5.712937
Det(Sigma_ml) = .0000112 SBIC = -5.699502
Equation Parms RMSE R-sq chi2 P>chi2
----------------------------------------------------------------
price 5 .00027 0.9990 2755050 0.0000
bearish 5 12.5024 0.9987 2255981 0.0000
----------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
price |
price |
L1. | 1.164178 .0185819 62.65 0.000 1.127759 1.200598
L2. | -.165647 .0186003 -8.91 0.000 -.2021029 -.129191
|
bearish |
L1. | 1.17e-06 3.95e-07 2.96 0.003 3.95e-07 1.94e-06
L2. | -1.11e-06 3.95e-07 -2.82 0.005 -1.89e-06 -3.39e-07
|
_cons | .0019072 .0014847 1.28 0.199 -.0010028 .0048172
-------------+----------------------------------------------------------------
bearish |
price |
L1. | 9765.044 861.5755 11.33 0.000 8076.387 11453.7
L2. | -9641.93 862.431 -11.18 0.000 -11332.26 -7951.596
|
bearish |
L1. | 1.129467 .0183289 61.62 0.000 1.093543 1.165391
L2. | -.1318181 .0183327 -7.19 0.000 -.1677495 -.0958866
|
_cons | -164.894 68.8414 -2.40 0.017 -299.8207 -29.96739
------------------------------------------------------------------------------
. vargranger
Granger causality Wald tests
+------------------------------------------------------------------+
| Equation Excluded | chi2 df Prob > chi2 |
|--------------------------------------+---------------------------|
| price bearish | 12.751 2 0.002 |
| price ALL | 12.751 2 0.002 |
|--------------------------------------+---------------------------|
| bearish price | 133.47 2 0.000 |
| bearish ALL | 133.47 2 0.000 |
+------------------------------------------------------------------+