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

BTFP

FIR

FDE

FDS

BTFP(−1)

0.265039

2.045474

3.195812

0.826654

[1.23436]

[2.24591]

[2.20466]

[1.79230]

BTFP(−2)

0.536132

−3.300729

−0.399672

0.234382

[2.29925]

[−3.33726]

[−0.25389]

[0.46794]

FIR(−1)

0.033411

0.705874

0.151351

0.098258

[0.85366]

[4.25194]

[0.57280]

[1.16874]

FIR(−2)

0.052382

−0.336704

0.118297

−0.083821

[1.55462]

[−2.35590]

[0.52005]

[−1.15811]

FDE(−1)

0.061887

0.184294

0.576521

−0.079605

[1.58449]

[1.11242]

[2.18642]

[−0.94882]

FDE(−2)

−0.092318

0.170437

−0.164843

−0.099818

[−2.01985]

[0.87915]

[−0.53423]

[−1.01671]

FDS(−1)

−0.189571

1.331077

−0.157703

0.968003

[−1.54003]

[2.54933]

[−0.18977]

[3.66090]

FDS(−2)

−0.075860

−0.913144

−0.122371

0.054271

[−0.48231]

[−1.36872]

[−0.11524]

[0.16063]

C

0.305544

1.145995

−2.123817

−0.899701

[1.27617]

[1.12846]

[−1.31396]

[−1.74940]

调整拟合度R²

0.962129

0.768377

0.944668

0.901304

F统计量

67.68927

9.708073

45.81582

24.97174

似然值对数

60.47242

28.68350

18.45904

43.65205