| 基于VAR模型的上证50指数与沪深300指数的协整分析与实证分析 |
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| 引用本文： | 翁东东. 基于VAR模型的上证50指数与沪深300指数的协整分析与实证分析[J]. 皖西学院学报, 2008, 24(5) |
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| 作者姓名： | 翁东东 |
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| 作者单位： | 泉州师范学院,福建泉州36200 |
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| 摘 要： | 运用证券软件搜集到最新的上证50和深证300指数的一年收盘数据,并运用计量经济学理论单位根检验、格兰杰因果检验、协整检验、脉冲反应和Eviews5.0软件对其分析,得出处理的数据结果,并对数据信息进行分析,得出相应的结论。
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| 关 键 词： | 股价指数 单位根检验 VAR模型 协整关系 格兰杰因果检验 |
The Shanghai 50 Index and the Shanghai and Shenzhen 300 index of Cointegration Analysis and Empirical Analysis Based on Var Model |
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| WENG Dong-dong. The Shanghai 50 Index and the Shanghai and Shenzhen 300 index of Cointegration Analysis and Empirical Analysis Based on Var Model[J]. Journal of Wanxi University, 2008, 24(5) |
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| Authors: | WENG Dong-dong |
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| Abstract: | In this paper,the use of securities to the software to collect up-to-date evidence on 50 and Shenzhen 300 Index closed the year,and the use of econometric theory unit root test,the Granger Causality Test,the co-integration testing,and pulse response Eviews 5.0 software Its analysis of the data processing and data analysis,the conclusion is also given. |
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| Keywords: | Stock price index unit root test VAR model co-integration test Granger causality test |
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