SCR Stationaritate Ex
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Transcript of SCR Stationaritate Ex
Staionaritatea SCR (Exemplu)
Se cunosc urmtoarele date pentru perioada 2005-2012Timp20052006200720082009201020112012
yt24365789
Se cere s se stabileasc tipul de tendin al seriei i staionarizarea n funcie de acesta.
a. Reprezentare grafic
b. Testul Dickey-Fuller (DF-test)
Valori centrateTimpytyt-1tyt *= yt-6yt-1*= yt-1-5
20052--
200642-3-2-3
200734-2-3-1
200863-10-2
2009560-11
201075110
201187222
201298333
Total4435000
Medii5.5=650
Calcule matriciTimpyt *yt-1*yt-1*^2t*^2yt-1*t*yt-1* yt *t* yt *
2005-----
2006-2-399-666
2007-3-114-836
20080-241-300
2009-11100-10
20101001501
201122441444
201233992499
Total002828262126
Ipoteze
Testul t pentru eantioane de volum mic
Regiunea critic:
Respingem H0, deci , iar rezult serie de tip TSPCalcule y estimat i reziduu estimatTimpytyt-1tYestimat =
eestimateestimat^2
20052-----
200642-33.3910.373457
200734-23.4400.197531
200863-15.9400.003086
20095605.1900.034294
20107517.69-10.469479
20118727.7400.067215
20129838.6100.151235
Total4435001.296296
c. Staionarizarea seriei
Timpyttyt*tt^2yttrend =
yt-yttrend
20052-7-14492.17-0.17
20064-5-20253.120.88
20073-3-994.07-1.07
20086-1-615.020.98
200951515.98-0.98
2010732196.930.07
20118540257.880.12
20129763498.830.17
Total4408016844.000.00