向量自回归估计

样本(调整)：1991 2012

包含样本容量：调整之后22

[]中为t统计量

BEFFCH

FIR

FDE

FDS

BEFFCH(−1)

0.228901

−1.666974

35.31859

7.054439

[0.87908]

[−0.15912]

[3.34928]

[1.80543]

BEFFCH(−2)

−0.289105

−7.301691

3.781049

4.197344

[−1.10515]

[−0.69373]

[0.35690]

[1.06925]

FIR(−1)

0.008704

0.577525

0.190636

0.126503

[1.55044]

[2.55691]

[0.83852]

[1.50170]

FIR(−2)

0.004164

−0.242867

0.104106

−0.101840

[0.87163]

[−1.26363]

[0.53814]

[−1.42071]

FDE(−1)

−0.002772

0.247309

0.484144

−0.100811

[−0.46482]

[1.03079]

[2.00480]

[−1.12661]

FDE(−2)

−0.012697

−0.006404

0.428798

0.090833

[−1.89591]

[−0.02377]

[1.58107]

[0.90388]

FDS(−1)

0.039023

1.176036

−0.448684

0.967722

[2.21757]

[1.66105]

[−0.62960]

[3.66479]

FDS(−2)

−0.023432

−0.059423

−2.273720

−0.707690

[−0.98775]

[−0.06226]

[−2.36672]

[−1.98804]

C

1.067544

8.734340

−38.06217

−10.98858

[2.97365]

[0.60470]

[−2.61798]

[−2.03979]

调整拟合度R²

0.887677

0.566890

0.958620

0.899903

F统计量

21.74520

4.435817

61.81167

24.59946

似然值对数

103.0826

21.79881

21.65519

43.49700