stata 如何做ADF单位根检验

. webuse 变量名2
. dfuller 变量名
. dfuller 变量名, lags(3) trend
. dfuller 变量名, lags(3) trend regress

O(∩_∩)O谢谢

第5版马上就要出来了。100美元一本。

检验结果怎么看啊 求 谢谢大家

dfuller varname, lag(n) tr

Title

    [TS] dfuller -- Augmented Dickey-Fuller unit-root test


Syntax

        dfuller varname [if] [in] [, options]

    options         Description
    ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
    Main
      noconstant    suppress constant term in regression
      trend         include trend term in regression
      drift         include drift term in regression
      regress       display regression table
      lags(#)       include # lagged differences
    ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
    You must tsset your data before using dfuller; see [TS] tsset.
    varname may contain time-series operators; see tsvarlist.


Menu

    Statistics > Time series > Tests > Augmented Dickey-Fuller unit-root test


Description

    dfuller performs the augmented Dickey-Fuller test that a variable follows a unit-root process.  The null hypothesis is that the variable contains a unit root, and the alternative is
    that the variable was generated by a stationary process.  You may optionally exclude the constant, include a trend term, and include lagged values of the difference of the variable in
    the regression.


Options

        +------+
    ----+ Main +---------------------------------------------------------------------------------------------------------------------------------------------------------------------------

    noconstant suppresses the constant term (intercept) in the model and indicates that the process under the null hypothesis is a random walk without drift.  noconstant cannot be used
        with the trend or drift option.

    trend specifies that a trend term be included in the associated regression and that the process under the null hypothesis is a random walk, perhaps with drift.  This option may not be
        used with the noconstant or drift option.

    drift indicates that the process under the null hypothesis is a random walk with nonzero drift.  This option may not be used with the noconstant or trend option.

    regress specifies that the associated regression table appear in the output.  By default, the regression table is not produced.

    lags(#) specifies the number of lagged difference terms to include in the covariate list.


Examples

    Setup
        . webuse air2

    Test whether air follows a unit-root process
        . dfuller air

    Same as above, but include 3 lagged differences and a trend term
        . dfuller air, lags(3) trend

    Same as above, but also display the regression table
        . dfuller air, lags(3) trend regress


Stored results

    dfuller stores the following in r():

    Scalars   
      r(N)           number of observations
      r(lags)        number of lagged differences
      r(Zt)          Dickey-Fuller test statistic
      r(p)           MacKinnon approximate p-value (if there is a constant or trend in associated regression)

help dfuller,非常全面

感谢给出具体命令的，stata小白飘过

还是先看计量经济学书吧

空山空语 发表于 2013-3-21 22:56
hlep dfuller，说明挺详细的

help哈哈哈