我遵循了VAR模型上的statsmodel tutorial，并对我获得的结果有一个问题(我的整个代码可以在本文末尾找到)。在
原始数据(存储在mdata)显然是非平稳的，因此需要使用以下行进行转换：data = np.log(mdata).diff().dropna()
如果绘制原始数据(mdata)和转换后的数据(data)，则绘图如下：
然后使用
^{pr2}$
如果我绘制原始对数差分数据与拟合值的对比图，则得到如下图：
我的问题是除了原始数据没有对数差分，如何得到相同的曲线图。如何将拟合值确定的参数应用于这些原始数据？有没有一种方法可以使用我获得的参数将拟合的对数差分数据转换回原始数据？如果是，如何实现这一点？在
以下是我的全部代码和我获得的输出：import pandas
import statsmodels as sm
from statsmodels.tsa.api import VAR
from statsmodels.tsa.base.datetools import dates_from_str
from statsmodels.tsa.stattools import adfuller
import numpy as np
import matplotlib.pyplot as plt
mdata = sm.datasets.macrodata.load_pandas().data
dates = mdata[['year', 'quarter']].astype(int).astype(str)
quarterly = dates["year"] + "Q" + dates["quarter"]
quarterly = dates_from_str(quarterly)
mdata = mdata[['realgdp', 'realcons', 'realinv']]
mdata.index = pandas.DatetimeIndex(quarterly)
data = np.log(mdata).diff().dropna()
f, ((ax1, ax2, ax3), (ax4, ax5, ax6)) = plt.subplots(2, 3, sharex='col', sharey='row')
ax1.plot(mdata.index, mdata['realgdp'])
ax2.plot(mdata.index, mdata['realcons'])
ax3.plot(mdata.index, mdata['realinv'])
ax4.plot(data.index, data['realgdp'])
ax5.plot(data.index, data['realcons'])
ax6.plot(data.index, data['realinv'])
f.suptitle('Original data vs. log-differenced data ')
plt.show()
print adfuller(mdata['realgdp'])
print adfuller(data['realgdp'])
# make a VAR model
model = VAR(data)
results = model.fit(2)
print results.summary()
# results.plot()
# plt.show()
f, axarr = plt.subplots(3, sharex=True)
axarr[0].plot(data.index, data['realgdp'])
axarr[0].plot(results.fittedvalues.index, results.fittedvalues['realgdp'])
axarr[1].plot(data.index, data['realcons'])
axarr[1].plot(results.fittedvalues.index, results.fittedvalues['realcons'])
axarr[2].plot(data.index, data['realinv'])
axarr[2].plot(results.fittedvalues.index, results.fittedvalues['realinv'])
f.suptitle('Original data vs. fitted data ')
plt.show()
其输出如下：(1.7504627967647102, 0.99824553723350318, 12, 190, {'5%': -2.8768752281673717, '1%': -3.4652439354133255, '10%': -2.5749446537396121}, 2034.5171236683821)
(-6.9728713472162127, 8.5750958448994759e-10, 1, 200, {'5%': -2.876102355, '1%': -3.4634760791249999, '10%': -2.574532225}, -1261.4401395993809)
Summary of Regression Results
==================================
Model: VAR
Method: OLS
Date: Wed, 09, Mar, 2016
Time: 15:08:07
--------------------------------------------------------------------
No. of Equations: 3.00000 BIC: -27.5830
Nobs: 200.000 HQIC: -27.7892
Log likelihood: 1962.57 FPE: 7.42129e-13
AIC: -27.9293 Det(Omega_mle): 6.69358e-13
--------------------------------------------------------------------
Results for equation realgdp
==============================================================================
coefficient std. error t-stat prob
------------------------------------------------------------------------------
const 0.001527 0.001119 1.365 0.174
L1.realgdp -0.279435 0.169663 -1.647 0.101
L1.realcons 0.675016 0.131285 5.142 0.000
L1.realinv 0.033219 0.026194 1.268 0.206
L2.realgdp 0.008221 0.173522 0.047 0.962
L2.realcons 0.290458 0.145904 1.991 0.048
L2.realinv -0.007321 0.025786 -0.284 0.777
==============================================================================
Results for equation realcons
==============================================================================
coefficient std. error t-stat prob
------------------------------------------------------------------------------
const 0.005460 0.000969 5.634 0.000
L1.realgdp -0.100468 0.146924 -0.684 0.495
L1.realcons 0.268640 0.113690 2.363 0.019
L1.realinv 0.025739 0.022683 1.135 0.258
L2.realgdp -0.123174 0.150267 -0.820 0.413
L2.realcons 0.232499 0.126350 1.840 0.067
L2.realinv 0.023504 0.022330 1.053 0.294
==============================================================================
Results for equation realinv
==============================================================================
coefficient std. error t-stat prob
------------------------------------------------------------------------------
const -0.023903 0.005863 -4.077 0.000
L1.realgdp -1.970974 0.888892 -2.217 0.028
L1.realcons 4.414162 0.687825 6.418 0.000
L1.realinv 0.225479 0.137234 1.643 0.102
L2.realgdp 0.380786 0.909114 0.419 0.676
L2.realcons 0.800281 0.764416 1.047 0.296
L2.realinv -0.124079 0.135098 -0.918 0.360
==============================================================================
Correlation matrix of residuals
realgdp realcons realinv
realgdp 1.000000 0.603316 0.750722
realcons 0.603316 1.000000 0.131951
realinv 0.750722 0.131951 1.000000
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