单位根检验
- 1、下载文档前请自行甄别文档内容的完整性，平台不提供额外的编辑、内容补充、找答案等附加服务。
- 2、"仅部分预览"的文档,不可在线预览部分如存在完整性等问题,可反馈申请退款(可完整预览的文档不适用该条件!)。
- 3、如文档侵犯您的权益，请联系客服反馈,我们会尽快为您处理(人工客服工作时间：9:00-18:30)。
Exogenous: Constant, Linear Trend
Lag Length: 2 (Automatic - based on SIC, maxlag=13)
t-Statistic
Prob.*Augmented Dickey-Fuller test statistic -1.605700 0.7863
Test critical values:1% level
-4.0216915% level -3.44068110% level -3.144830
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(Y)Method: Least Squares
Date: 11/12/14 Time: 23:32Sample (adjusted): 4 150
Included observations: 147 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. Y(-1)-0.0196270.012223-1.6057000.1106D(Y(-1))0.2535480.081530 3.1098870.0023D(Y(-2))0.2146390.081798 2.6240080.0096C
4.074679 2.403364 1.6954070.0922@TREND("1")0.008884
0.006079
1.461269
0.1462R-squared
0.148873 Mean dependent var 0.430612Adjusted R-squared 0.124898 S.D. dependent var 1.450725S.E. of regression 1.357109 Akaike info criterion 3.482012Sum squared resid 261.5277 Schwarz criterion 3.583727Log likelihood -250.9279 Hannan-Quinn criter. 3.523340F-statistic
6.209410 Durbin-Watson stat 2.054851
Prob(F-statistic)
0.000124
Lag length:2 即滞后阶数为2，则初始估计模型为
0111122t t t t Y c c t Y Y Y λββ---∆=+++∆+∆
因为ADF 的t=-1.6057> 5%level 的t=-3.440681,所以接受H 0，即存在单位根。 （或因为p=0.7863>α=0.05,所以接受H 0，即存在单位根。）
又因为@TREND(“1”)的p=0.1462>α=0.05,所以接受H 0，即c 1显著为0。 则模型改为011122t t t t Y c Y Y Y λββ---∆=++∆+∆
Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=13)
t-Statistic
Prob.*Augmented Dickey-Fuller test statistic -0.663786 0.8513
Test critical values:1% level
-3.4751845% level -2.88112310% level -2.577291
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(Y)Method: Least Squares
Date: 11/12/14 Time: 23:38Sample (adjusted): 4 150
Included observations: 147 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. Y(-1)-0.0035350.005326-0.6637860.5079D(Y(-1))0.2496220.081808 3.0513070.0027D(Y(-2))0.2042410.081811 2.4964990.0137C
1.052158
1.228690
0.856325
0.3933R-squared
0.136074 Mean dependent var 0.430612Adjusted R-squared 0.117950 S.D. dependent var 1.450725S.E. of regression 1.362485 Akaike info criterion 3.483332Sum squared resid 265.4604 Schwarz criterion 3.564704Log likelihood -252.0249 Hannan-Quinn criter. 3.516394F-statistic
7.507838 Durbin-Watson stat 2.046101
Prob(F-statistic)
0.000106
因为ADF 的t=-0.663786> 5%level 的t=-2.881123,所以接受H 0，即存在单位根。 （或因为p=0.8513>α=0.05,所以接受H 0，即存在单位根。） 又因为C 的p=0.3933>α=0.05,所以接受H 0，即c 0显著为0。 则模型改为11122t t t t Y Y Y Y λββ---∆=+∆+∆