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От
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Alexandre Putt
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К
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Иванов (А. Гуревич)
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Дата
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23.10.2007 15:07:30
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Рубрики
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Крах СССР; Хозяйство; Теоремы, доктрины;
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Я же говорю, большой специалист Иванов (+)
Линейная регрессия, составленная за 15 минут, даёт R^2 0.68.
Надо понимать, что такое белый шум Иванов тоже не знает?
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Dependent Variable is Var1
Observations 1-40 used for estimation.
Estimation Method: Conditional ML (Time Domain)
Gaussian Likelihood
ARIMA(3,0,0)
Strong convergence
iteration time: 5.36
Estimate Std. Err. t Ratio p-Value
Intercept 0.05865 0.00866 6.773 0
Trend -0.00088 0.00045 -1.954 0.059
Var2 -0.07075 0.00847 -8.353 0
Var3 0.07524 0.00994 7.57 0
Var4 -0.01354 0.0093 -1.456 0.155
AR1 -0.35487 0.20147 -1.762 0.088
AR2 -0.28585 0.16805 -1.701 0.098
AR3 0.16586 0.11871 1.397 0.172
Error Variance^(1/2) 0.01898 0.0026 ------ ------
Log Likelihood = 101.812
Schwarz Criterion = 85.2115
Hannan-Quinn Criterion = 90.0636
Akaike Criterion = 92.8115
Sum of Squares = 0.0144
R-Squared = 0.6143
Residual SD = 0.0215
Residual skewness = -0.1756
Residual kurtosis = 3.4747
Jarque-Bera Test = 0.5811 {0.747}
Box-Pierce (residuals): Q(12) = 6.0951 {0.911}
Box-Pierce (squared residuals): Q(12) = 6.5548 {0.885}
AR Roots
Real | Imaginary | Moduli
-0.34063 0.62624 0.71288
-0.34063 -0.62624 0.71288
0.32639 0.00000 0.32639
Covariance matrix from robust formula.
...Run completed in 6.05
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