异方差/自相关/多重共线性/协整

from:《金融计量学-基于SAS的金融实证研究》chapter4

*异方差;proc reg data=capm.rip1outest=capm.beta;model meanrif=meanrmf;output out=capm.r r=e;/*把回归残差值赋给变量e*/by p;run;data capm.r;set capm.r;r2=e*e;where p=0；run;proc gplot data=capm.r;plot r2*meanrmf='*';/*r2为垂直坐标，meanrmf为横坐标，用*标记点*/run;proc reg data=capm.rip1outest=capm.beta;model meanrif=meanrmf/spec;/*spec对模型进行White检验*/by p;run;*autoreg语句;proc autoreg data=capm.rip1;   model meanrif=meanrmf /nlag=2 archtest dwprob;   output out=r r=yresid;run;*自相关;data capm.r;set capm.r;lagr=lag(e);/*生成残差的滞后序列lagr*/where p=0;run;proc gplot data=capm.r;plot e*lagr='*';/*e为纵坐标，lagr为横坐标*/run;/* Durbin-Watson检验  */proc reg data=capm.rip1outest=capm.beta;model meanrif=meanrmf/dw;by p;run;*or;proc autoreg data=capm.rip1outest=capm.beta;model meanrif=meanrmf/dw=2 dwprob;by p;run;/*多重共线性*//* 相关系数 */proc reg data=capm.rip1outest=capm.beta;model meanrif=meanrmf/corrb;/*输出参数估计的相关阵*/by p;run;/* VIF和TOL */proc reg data=capm.rip1outest=capm.beta;model meanrif=meanrmf/VIF TOL;/*输出VIF和TOL */by p;run;/* 逐步回归判别法  */proc reg data=capm.rip1outest=capm.beta;model meanrif=meanrmf/Selection=Stepwise Slentry=0.5;/*选用逐步回归判别法，显著性水平在0.5*/by p;run;

协整

libname econ 'f"\fe';/*Cointegration Tests*//*EG两步法*/proc arima data=ecom.cpi;identify var=cpi_cn0 stationarity=(adf=3);identify var=ppi_cn0 stationarity=(adf=3);identify var= cpi_cn0(1) stationarity=(adf=3);identify var= ppi_cn0(1) stationarity=(adf=3);run;quit;ods rtf file="F:\Results.doc";proc reg data=ecom.cpi;model cpi_cn0=ppi_cn0 / dw;output out=egres residual=res;run;quit;ods rtf close;proc arima data=egres;identify var=res stationarity=(adf=3);run;quit;/*Johansen Test*/data var;set ecom.cpi;rici2=rici/lag(rici)*100;ppi_us2=ppi_us/lag(ppi_us)*100;cpi_us2=cpi_us/lag(cpi_us)*100;rici1=rici/lag12(rici)*100;ppi_us1=ppi_us/lag12(ppi_us)*100;cpi_cn1=cpi_cn0/lag12(cpi_cn0)*100;run;data var;set var;where rici2^=. and ppi_us2^=.;run;proc varmax data=var;model rici ppi_us /p=3 cointtest=(johansen=(type=trace)) noint;run; quit;ods rtf file="F:\Results.doc";proc varmax data=var;model rici ppi_cn0 cpi_cn0/p=3 cointtest=(johansen=(type=trace)) ;run; quit;ods rtf close;