我分别生成了x=rnorm(100),x=rnorm(500),x=rnorm(1000)和x=rnorm(3000)四组数据,
按理来说这四组数据应该是平稳的,
可是我用urppTest分别检验,P值均大于0.05,即非平稳。
请问为什么会出现这样的情况?
附检验结果:
> x=rnorm(100)
> urppTest(x)
Title:
Phillips-Perron Unit Root Test
Test Results:
Test regression with intercept
Residuals:
Min 1Q Median 3Q Max
-2.65192 -0.54244 0.02735 0.66490 1.70002
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.12237 0.08379 -1.461 0.147
y.l1 -0.11584 0.10114 -1.145 0.255
Residual standard error: 0.8268 on 97 degrees of freedom
Multiple R-squared: 0.01334, Adjusted R-squared: 0.003171
F-statistic: 1.312 on 1 and 97 DF, p-value: 0.2549
Value of test-statistic, type: Z-alpha is: -115.7121
aux. Z statistics
Z-tau-mu -1.4547
Description:
Sun Apr 07 16:43:33 2013 by user: Administrator
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