第十讲 单位根的ADF检验.docVIP

第十讲 单位根的ADF检验 Null Hypothesis: SZ has a unit root Exogenous: Constant Lag Length: 0 (Automatic based 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 Date: 07/20/11 Time: 16:32 Sample (adjusted): 2 661 Included observations: 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 -2278.073 ????Hannan-Quinn criter. 6.914589 F-statistic 3.114300 ????Durbin-Watson stat 2.003960 Prob(F-statistic) 0.078072  Null Hypothesis: D(SZ) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based 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 Date: 07/20/11 Time: 16:32 Sample (adjusted): 3 661 Included observations: 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