SAS 语句是:identify var=kappa stationarity=(adf);
程序执行结果显示:
Augmented Dickey-Fuller Unit Root Tests
Type Lags Rho Pr < Rho Tau Pr < Tau F Pr > F
Zero Mean 0 -2.4750 0.2661 -1.11 0.2294
1 -5.9208 0.0761 -1.63 0.0935
2 33.2181 0.9999 -2.88 0.0069
Single Mean 0 -2.4714 0.6976 -1.07 0.7008 0.58 0.9206
1 -5.7413 0.3082 -1.55 0.4831 1.26 0.7602
2 18.9228 0.9999 -2.95 0.0627 4.40 0.0870
Trend 0 -6.4096 0.6423 -1.97 0.5778 1.97 0.7890
1 -8.5705 0.4234 -1.49 0.7900 1.39 0.8889
2 29.3490 0.9999 -2.77 0.2281 5.05 0.2498
问:判断平稳性是应该看Pr < Rho, 还是 Pr < Tau ?
另外,当有多项拒绝原假设,即说明序列平稳时,应该以哪个为准?
谢谢!