1995 114.7
1996 125.826
1997 128.468
1998 131.808
1999 132.995
2000 127.675
2001 122.568
2002 116.072
2003 109.688
2004 105.958
2005 101.19
2006 99.47
2007 99.569
2008 103.552
现分三次进行单位根检验,结果如下:
(1)选择趋势项和位移项时:
Lag Length: 2 (Automatic based on SIC, MAXLAG=4)
t-Statistic Prob.*
ADF -1.769198 0.6504
Test critical values: 1% level -5.124875 ; 5% level -3.933364 ; 10% level -3.420030
(2)选择位移项,
Lag Length: 3 (Automatic based on SIC, MAXLAG=4)
t-Statistic Prob.*
ADF -4.769494 0.0051
Test critical values: 1% level -4.297073 ; 5% level -3.212696; 10% level -2.747676
MacKinnon* (1996) one-sided p-values.
(3)都不选
Lag Length: 4 (Automatic based on SIC, MAXLAG=4)
t-Statistic Prob.*
ADF:-0.086955 0.6267
Test critical values: 1% level -2.847250 ; 5% level -1.988198 ; 10% level -1.600140
讨论:(1)滞后期的选择是否合理?(2)是否接受原序列不含单位根?