第十讲 单位根的ADF检验

更新时间:2023-06-12 12:44:34 阅读: 评论:0

第十讲 单位根的ADF检验
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Null Hypothesis: SZ has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic bad on SIC, MAXLAG=19)
t-Statistic
  Prob.*
Augmented Dickey-Fuller test statistic
-1.764738
 0.3982
Test critical values:
1% level
-3.440029
5% level
-2.865702
10% level
-2.569044
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(SZ)
Method: Least Squares
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Date: 07/20/11  Time: 16:32
Sample (adjusted): 2 661
Included obrvations: 660 after adjustments
Coefficient
Std. Error
t-Statistic
Prob. 
SZ(-1)
-0.005001
0.002834
-1.764738
0.0781
C
2.854051
1.519721
1.878009
0.0608
R-squared
0.004711
    Mean dependent var
0.224076
Adjusted R-squared
0.003198
    S.D. dependent var
7.658427
S.E. of regression
7.646171
    Akaike info criterion
6.909313
Sum squared resid
38469.27
    Schwarz criterion
6.922926
Log likelihood国际贸易学研究生
-2278.073
    Hannan-Quinn criter.
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6.914589
F-statistic
3.114300
    Durbin-Watson stat
榴莲的英文2.003960
Prob(F-statistic)
0.078072

Null Hypothesis: D(SZ) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic bad on SIC, MAXLAG=19)
t-Statistic
  Prob.*
Augmented Dickey-Fuller test statistic
-25.69239
 0.0000
Test critical values:
1% level
-3.440044
5% level
-2.865708
10% level
-2.569047
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(SZ,2)
Method: Least Squares
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Date: 07/20/11  Time: 16:32
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Sample (adjusted): 3 661
Included obrvations: 659 after adjustments
Coefficient
Std. Error
t-Statistic
Prob. 
D(SZ(-1))
-1.002561
0.039022
-25.69239
0.0000
C
0.227541
0.298905
0.761250
0.4468
R-squared
0.501176
    Mean dependent var
-0.003854
Adjusted R-squared
0.500417
    S.D. dependent var
10.85111
S.E. of regression
7.669693
    Akaike info criterion
6.915461
Sum squared resid
38647.50
    Schwarz criterion
6.929089
Log likelihood
-2276.644
    Hannan-Quinn criter.
6.920744
F-statistic
660.0991
    Durbin-Watson stat
1.999094
Prob(F-statistic)
0.000000
Null Hypothesis: SH has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic bad on SIC, MAXLAG=19)
t-Statistic
tony bennett  Prob.*
Augmented Dickey-Fuller test statistic
-1.844818
 0.3587
Test critical values:
1% level
-3.440029
5% level
-2.865702
10% level
-2.569044
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(SH)
Method: Least Squares
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