1、(月平均交易额(元)、(月末货币供应量(亿元)(银行间天同业拆借利率)(黄金储备(百万盎司)(CPI)(工业增加值(亿元) (国九条颁布这个政策变量)说明:由于我们考虑的解释变量是上证综合指数,在微观层面上我们不可能将每一个公司的财务状况等因素拿来一一分析,只能从总体上来考虑。在我们看来,整个微观层面的综合也就是宏观状况了,因此我们没有在微观层面上寻找变量。其中x1 x3 x4 x5 x6 x7 反映宏观层面的,X2反映微观层面,X8是政策层面的。五、数据收集与模型初步设定:tyx1x2x3x4x5x6x7Dt2002011472.17257156.467583044807160576.12.
2、7116.19921582002021514.792757113334058702.92.7710018802002031628.060481.2842E+1059474.82.3924562002041636.692278368.567792254952060461.32.525692002051577.195583924104161284.92.1226172002061562.77951.153E+10631442.1627802002071695.699578956.3828396856363487.82.5125682002081660.59409498939759064868.82
3、.1826342002091619.584119095041667972.1928252002101527.1611110448.87395224290767100.32.4528302002111464.79546028180367992.82.3229492002121401.16636472658365370882.12.2419.332162003011428.166257985.433936000488772405.72.326622003021501.53767666116580169756.625472003031482.81886616044750771438.82.37101
4、31342003041549.824279065.51.6511E+1071321.22.0231972003051547.69561.2624E+1072777.82.1431902003061539.76376733973074375923.22.2136332003071502.7535710003.13641994809476152.82.3534102003081455.382334417455865770332.8134982003091406.18332511240989279163.92.8437042003101374.1880611843.8575215443680267.
5、13.2910237532003111360.75645913437182980814.93.1610339662003121471.368391.2608E+1084118.62.9443512004011589.9219042.5331.876E+1083805.93.223344.22004021681.168552.2155E+1083556.432.473709.22004031708.436831.5188E+1085815.572.764264.82004041689.5704110553.51.4582E+1085603.642.621044370.52004051556.75
6、088712698142686780.374309.612004061465.87695758853588888627.142.981054607.92004071422.1232711452.1696445292787982.22.9144092004081360.07955512385641189125.333.344544.52004091368.943451.0889E+10904394812.42004101347.2000614456.871.0663E+10907823.034885.22004111303.3513826187335492387.133.365083.92004
7、12547336265495970.82.315488.4数据来源:国研网中金网统计局注:GDP数据只有季度数据,没有月度数据,因此我们使用一次样条插值法估算出月度数据。由于国九条是在年月下旬颁布的,所以我们在做虚拟变量的取值时年月份以前全部取,剩下的取。根据第三部分的理论基础我们得出的初步模型为:六、模型估计与调整、被解释变量与所有的解释变量回归(政策变量除外)本文是对影响股票价格因素分析,所以首先对被解释变量与所有解释变量作回归分析,模型为:Eviews的最小二乘计算结果见下表:Dependent Variable: YMethod: Least SquaresDate: 06/09/06
8、 Time: 19:32Sample: 2002:01 2004:12Included observations: 36VariableCoefficientStd. Errort-StatisticProb. X1-0.0448740.015528-2.8898170.0074X29.85E-093.14E-093.1332060.0040X30.0056640.0063780.8880620.3821X4-78.9427348.23090-1.6367670.1129X5-45.7892515.38788-2.9756700.0060X6-3.12897716.86213-0.185562
9、0.8541X70.0269520.0666230.4045480.6889C2701.7431519.9461.7775250.0863R-squared0.703319 Mean dependent var1504.942Adjusted R-squared0.629149 S.D. dependent var114.8973S.E. of regression69.96967 Akaike info criterion11.52713Sum squared resid137081.1 Schwarz criterion11.87902Log likelihood-199.4884 F-s
10、tatistic9.482495Durbin-Watson stat1.328261 Prob(F-statistic)0.000005由此可见,该模型,可决系数较高,F检验值为9.482495,P值为0.000005。但是当=0.05时,,所以系数的T检验不显著,这表明很可能存在严重的多重共线性。2、逐步回归消除共线性 一元回归结果变量参数估计量-0.0389741.09E-08-0.004924-134.4999-32.83574-20.20857-0.061659t统计量-5.0570992.664869-3.092704-3.129166-2.765861-2.361294-3.257
11、185可决系数R20.4292840.1721800.2195540.2235970.1836730.1408870.237826修整可决系数0.4124980.1484500.1965990.2007610.1596640.1156190.215409其中,加入X1的方程修正后的可决系数最大,以X1为基础,顺次加入其他变量逐步回归。修正可决系数X1、X2-0.03665(0.0000)9.06E-09(0.006)0.520207X1、X3-0.044884(0.0012)0.001325(0.5570)0.401084X1、X4-0.033409(0.0008)-50.76925(0.24
12、64)0.419202X1、X5-0.034706(0.0004)-11.53902(0.3139)0.413292X1、X6-0.040765(0.0003)2.619711(0.7728)0.396245X1、X7-0.053480(0.0011)0.035919(0.2669)0.417218经比较,新加入X2的方程修正后的可决系数为0.520207,改进最大,而且各参数的t检验显著,选择保留X2,再加入其他新变量逐步回归。修正的可决系数X1、X2、-0.026917(0.0439)1.07E-08(0.0053)-0.002091(0.3714)0.5590X1、X2、X4-0.029
13、012(0.0010)9.81E-09(0.0027)-67.9690(0.085)0.5496X1、X2、X5-0.026411(0.0016)1.19E-08(0.0005)-25.73914(0.0162)0.5882X1、X2、X6-0.029834(0.0037)1.06E-08(0.0039)-9.387151(0.2990)0.5219X1、X2、X7-0.035732(0.0265)9.17E-09(0.0133)-0.002211(0.947)0.5053在X1、X2基础上加入X5后的方程修正可决系数明显增大,而且各个参数t检验都显著。所以保留X5,再加入其他新变量逐步回归X
14、1、X2、X5、X3-0.040090(0.0035)1.03E-080.004199(0.1885)-40.50447(0.0105)0.598309X1、X2、X5、X4-0.020991(0.0163)1.22E-08-55.97313(0.1319)-23.54910(0.0254)0.605365X1、X2、X5、X6-0.027367(0.0049) 1.17E-08-27.02653(0.0320)2.020866(0.8380)0.575464X1、X2、X5、X7-0.046978(0.0022)(0.0025)-37.48008(0.0038)0.060664 (0.095
15、3)0.611941 在X1,X2,X5基础上加入X7后方程修正可决系数明显增大,而且各个参数t检验都显著。所以保留X7,在加入其他新变量逐步回归X1、X2、X5、X7、-0.04696(0.0026)(0.0034)-0.000544(0.9227)-36.56789(0.0236)0.065836(0.3106)0.599133-0.04408(0.0028)1.04E-08(0.0015)-67.76967(0.0610)-36.92017(0.0031)0.071471(0.0454)0.643966-0.05182(0.0013)1.08E-08(0.0017)-35.07860(0
16、.0069)-1.159668(0.2553)0.094554(0.0470)0.616210加入X4后的方程可决系数明显增大,但X4和X7参数的t检验不显著说明X4引起严重的共线性,应予剔除。最后修正严重共线性影响的回归结果为: 22:030.014069-3.3390480.00223.12E-093.2968420.002511.97557-3.1297120.00380.0606640.0352571.7206020.09532354.644197.046211.949700.00000.65629071.5746211.50760158810.711.72754-202.136914.798101.0405490.000001回归模型:3、检验自相关由上表中的回归结果可知,该回归方程可决系数较高,回归系数基本显著。对样本量为36、4个解释变量、1%显著水平,查DW统计表可知,dL=1.043,dU=1.513,模型中DW 1.043, 可以确定模型中有正自相关。选用科克伦-奥克特迭代法进行自相关修正,对残差进行回归估计,得到回归方程:et = 0.4221et-1由该回顾方程可得到 = 0.4221,对原模型进行广义差分,得到广义差分方程:Yt-0.4221Yt-1 = 1(1-0.4221) + 2(X1-0.42
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