[问答] ADF检验的Prob理解 [推广有奖]

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huili03855 发表于 2011-1-13 10:27:14 |AI写论文

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请教ADF检验的问题：检验结果如下：看到DF统计量的计算结果均大于临界值，说明是接受原假设（即由单位根），但是prob的值只有0.1829，非常小，是不是说这个“接受原假设”的概率很小？如何理解这个Prob值呢？谢谢！！

Null Hypothesis: A has a unit root
Exogenous: Constant
Lag Length: 1 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.323658630766139  0.1829490442847093
Test critical values: 1% level  -4.297072756022257
5% level  -3.212696390262247
10% level  -2.747676115400134

*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20 observations
      and may not be accurate for a sample size of 10

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(A)
Method: Least Squares
Date: 01/13/11 Time: 10:22
Sample (adjusted): 3 12
Included observations: 10 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

A(-1) -1.579356597980787 0.6796852932997538 -2.323658630766139 0.05310751994879299
D(A(-1)) 0.007609562300698435 0.3983502936819939 0.0191026903240423 0.9852922773583727
C -40.33090946132842 17.36803999857461 -2.322133612349947 0.05322693076785561

R-squared 0.7864788347257754    Mean dependent var  0.002740122861328931
Adjusted R-squared 0.7254727875045683    S.D. dependent var  0.3512633162814606
S.E. of regression 0.1840456246570907    Akaike info criterion  -0.3039410615639675
Sum squared resid 0.2371095436879309    Schwarz criterion  -0.2131655336657537
Log likelihood 4.519705307819837    Hannan-Quinn criter.  -0.4035215944151939
F-statistic 12.8918176238171    Durbin-Watson stat  2.046897118602971
Prob(F-statistic) 0.004498246577488897