下列结果是对SP500进行单位根结果,请对该结果进行分析及评价。
| Null Hypothesis: SP500 has a unit root |
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| Exogenous: None |
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| Lag Length: 12 (Automatic based on SIC, MAXLAG=12) | ||||
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| t-Statistic | Prob.* |
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Augmented Dickey-Fuller test statistic | 2.335965 | 0.9953 | ||
| Test critical values: | 1% level |
| -2.583898 |
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| 5% level |
| -1.943449 |
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| 10% level |
| -1.614997 |
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| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
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| SP500(-1) | 0.296977 | 0.127132 | 2.335965 | 0.0213 |
| D(SP500(-1)) | 0.487464 | 0.189261 | 2.575622 | 0.0113 |
| D(SP500(-2)) | -0.527680 | 0.192366 | -2.743104 | 0.0071 |


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