1 EViews 4 2007 7 4 7 ( 2 7.1 Workfile............................................ 2 7.2........................................... 4 8 6 8.1................................................. 6 8.2................................................ 8 8.3................................... 10 8.4........................................ 12 9 14 9.1................................ 14 9.2 AR(1) -................................ 16 9.3........................................... 18 一橋大学経済研究所 konishi@ier.hit-u.ac.jp 一橋大学経済学研究科博士課程 2 年 ed061001@srv.cc.hit-u.ac.jp
7 ( 7 ( Workfile 2003 7 1 2003 9 19 1 Excel hatuden 1000kWh kion_average kion_max kion_min date holiday *1 obon 7.1 Workfile 1. Workfile File - New - Workfile *1 2003 2/19
7 ( 7.1 Workfile 2. 2003 7 1 2003 9 19 Workfile Workfile structure type Dated-regular frequency Frequency Daily - 7 day week Start date 2003/7/1 End data 2003/9/19 3. OK Workfile Range:7/01/2003 9/19/2003 Sample:7/01/2003 9/19/2003 3/19
7 ( 7.2 7.2 7.2.1 & 1. Workfile Quick - Empty Group (Edit Series) 2. Excel C1 I82 * 2 3. EViews Excel obs 7/01/2003 Paste *2 Excel EViews 4/19
7 ( 7.2 7.2.2 1. Workfile Proc - Import - Read Text-Lotus-Excel Excel denki_789.xls 2. Excel hatuden, kion_average, kion_max, kion_min, date, holiday, obon 7 Data order By Observation - series in columns * 3 Upper-left data cell C2 * 4 Name of series 7 Excel 5+ sheet name * 5 *3 *4 ( Excel spreadsheet ) 1 *5 Excel sheet sheet sheet 5/19
8 8 8.1 hatuden kion_average hatuden t = c + βkion_average t + ε t (1) 1. OLS Workfile Quick - Estimate Equation OK Equation specification hatuden c kion_average 2. 6/19
8 8.1 3. Name eq01 OK Workfile eq01 Object 4. fit View - Actual, Fitted, Residual - Actual, Fitted, Residual Graph 5. Jarque-Bera Test View - Residual Tests - Histogram-Normality 7/19
8 8.2 8.2 1. Workfile Ctr hatuden kion_average - Open - as Group Group 2. Series spreadsheet 3. Group Name Group group01 Workfile group01 8/19
8 8.2 4. Group group01 View - Graph - Scatter - Scatter with Regression OK 9/19
8 8.3 8.3 1. Workfile genr * 6 Enter equation sat=@weekday=6 2. Workfile genr Enter equation sun=@weekday=7 *6 @weekday=x x 7 1= 2= 3= 4= 5= 6= 7= 10/19
8 8.3 3. Workfile san sun 11/19
8 8.4 8.4 hatuden kion_average sat sun holiday obon hatuden t = c + β 1 kion_average t + β 2 sat t + β 3 sun t + β 4 holiday t + β 5 obon t + ε t (2) 1. Equation specification hatuden c kion_average sat sun holiday obon 2. 12/19
8 8.4 3. Name eq02 OK Workfile eq02 Object 4. View - Actual, Fitted, Residual - Actual, Fitted, Residual Graph 5. Jarque-Bera Test View - Residual Tests - Histogram-Normality 13/19
9 9 9.1 9.1.1 Durbin-Watson Test Durbin-Watson 1.29 2 hatuden t = c + β 1 kion_average t + β 2 sat t + β 3 sun t + β 4 holiday t + β 5 obon t + u t (3) u t = ρu t 1 + ε t, ρ < 1 (4) Durbin-Watson 5% H 0 : ρ = 0, H 1 : ρ 0 5 81 Durbin-Watson d U 81,5,0.025 1.71 d81,5,0.025 L 1.45 Durbin-Watson < d81,5,0.025 L H 0 * 7 9.1.2 1. eq02 View - Residual Tests - Correlogram - Q-statistics 36 OK 2. AC Autocorrelation PAC Partial Autocorrelation Q-Stat Ljung-Box Prob Ljung-Box P *7 Durbin-Watson 2 14/19
9 9.1 9.1.3 Breusch-Godfrey LM test 1. Breusch-Godfrey LM test eq02 View - Residual Tests - Serial Correlation LM Test 2 OK 15/19
9 9.2 AR(1) - 9.2 AR(1) - 1 (autoregressive) (AR(1) ) hatuden t = c + β 1 kion_average t + β 2 sat t + β 3 sun t + β 4 holiday t + β 5 obon t + u t (5) u t = ρu t 1 + ε t, ρ < 1 (6) 1. AR(1) Workfile Quick - Estimate Equation OK Equation specification hatuden c kion_average sat sun holiday obon ar(1) * 8 2. AR(1) (6) ρ *8 AR(1) - AR(1) HATUDEN C KION_AVERAGE SAT SUN HOLIDAY OBON AR(1) AR(2) 2 AR(2) 16/19
9 9.2 AR(1) - 3. View - Actual, Fitted, Residual - Actual, Fitted, Residual Graph 4. Jarque-Bera Test View - Residual Tests - Histogram-Normality 17/19
9 9.3 9.3 hatuden t = c + β 1 kion_average t + β 2 sat t + β 3 sun t + β 4 holiday t + β 5 obon t + β 6 hatuden t 1 + u t (7) 1. Workfile Quick - Estimate Equation OK Equation specification hatuden c kion_average sat sun holiday obon hatuden(-1) * 9 2. *9 hatuden(-1) hatuden 1 18/19
9 9.3 3. View - Actual, Fitted, Residual - Actual, Fitted, Residual Graph 4. Jarque-Bera Test View - Residual Tests - Histogram-Normality 19/19