Proces aleator de tip Zgomot Alb:

- general: - Gaussian: ;

a. Simulare Eviews (250 observaii) distribuie Student cu 5grade libertate create u 250 series y=@rtdist(5 b. Reprezentare grafic: distribuie normal cu create u 250 series y=1.5*nrnd i

c. Indicatori statistici i histograma

d. Corelograma:

e. Teste Unit Root:

Proces aleator de tip Mers la ntmplare:

-fr deriv: -cu deriv: ;

a. Simulare Eviews (250 observaii): series eps=1.5*nrnd smpl 1 1 series y=1 smpl 2 250 series y=y(-1)+eps b. graficul procesului: series eps=1.5*nrnd smpl 1 1 series y=1 smpl 2 250 series y=a+y(-1)+eps

c. indicatori statistici i histograma

d. Corelograma total i parial:

e. Teste Unit Root

Proces stohastic de tip MA(1):

- forma 1: - forma 2: ;

a. Program Eviews (250 observaii): create u 250 series eps=1.5*nrnd series y_MA_1=3+eps+0.85*eps(-1) b. Reprezentarea grafic: create u 250 series eps=1.5*nrnd series z_MA_1=3+eps-0.85*eps(-1)

c. Indicatori statistici i histogram:

d. Corelogram:

e. Teste Unit Root:

Proces stohastic de tip MA(2)

- forma 1: - forma 2: ,

a. Simulare Eviews (250 observaii): create u 250 series eps=2*nrnd series y_MA_2=3+eps+0.85*eps(-1)+0.65*eps(-2) b. Reprezentare grafic: create u 250 series eps=2*nrnd series z_MA_2=3+eps+0.85*eps(-1)-0.65*eps(-2)

c. Indicatori statistici i histogram:

Corelograma:

Testul unit root:

Modelul 3: Dependent Variable: D_CAC

Method: Least Squares Date: 08/05/06 Time: 14:26 Sample (adjusted): 2 1160 Included observations: 1159 after adjustments Variable C CAC(-1) T R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-W atson stat Coefficient 14.93911 -0.008447 0.002103 0.003870 0.002147 20.62640 491818.4 -5150.845 1.867318 Std. Error 7.437617 0.004113 0.001896 t-Statistic 2.008589 -2.053788 1.108866 Prob. 0.0448 0.0402 0.2677

Mean dependent var 0.417204 S.D. dependent var 20.64858 Akaike info criterion 8.893606 Schwarz criterion 8.906691 F-statistic 2.245643 Prob(F-statistic) 0.106321

Deoarece statistica t, calculat pentru coeficientul variabilei trend t, are o probabilitate mare, respectiv 0,2677, se poate considera c acest coeficient nu este semnifcativ diferit de zero, astfel nct se respinge ipoteza c procesul este de tip TS. De asemenea, valoarea statisticii , calculat pentru coeficientul variabilei , este egal cu -2,052788, iar valoarea lui t stabilit de DF pentru o probabilitate de 5% i luat din tabele, este egal cu -3,41. Deoarece: , se accept ipoteza nul: , ceea ce nseamn c procesul are o rdcin egal cu unitatea, adic nu este staionar.

Modelul 2: Dependent Variable: D_CAC Method: Least Squares Date: 08/06/06 Time: 10:09 Sample (adjusted): 2 1160 Included observations: 1159 after adjustments Variable C CAC(-1) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-W atson stat Coefficient 13.63563 -0.007093 0.002811 0.001949 20.62845 492341.5 -5151.461 1.867860 Std. Error 7.344864 0.003928 t-Statistic 1.856485 -1.805839 Prob. 0.0636 0.0712

Mean dependent var 0.417204 S.D. dependent var 20.64858 Akaike info criterion 8.892943 Schwarz criterion 8.901667 F-statistic 3.261054 Prob(F-statistic) 0.071203

Analiza probabilitilor p-value, evideniaz faptul c termenul liber nu este semnificativ diferit de zero, astfel nct se respinge ipoteza unui proces cu deriv. De asemenea, deoarece valoarea calculat a statisticii t pentru coeficientul variabilei , este mai mare dect valoarea DF tabelat, respectiv: , se accept ipoteza nul: 9

, ceea ce nseamn c procesul are o rdcin egal cu unitatea, adic nu este staionar. Modelul 3: Dependent Variable: D_CAC Method: Least Squares Date: 08/06/06 Time: 10:09 Sample (adjusted): 2 1160 Included observations: 1159 after adjustments Variable CAC(-1) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Coefficient 0.000174 -0.000160 -0.000160 20.65023 493808.1 -5153.184 Std. Error 0.000324 t-Statistic 0.536641 Prob. 0.5916

Mean dependent var 0.417204 S.D. dependent var 20.64858 Akaike info criterion 8.894192 Schwarz criterion 8.898554 Durbin-W atson stat 1.875893

Deoarece valoarea calculat a statisticii t pentru coeficientul variabilei respectiv: , se accept ipoteza nul: , ceea ce nseamn c procesul are o rdcin egal cu unitatea, adic nu este staionar. Calcul automat:

, este mai mare dect valoarea DF tabelat,

respectiv: se poate considera c

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