1. 如何判断是否应该要有截距项或是时间趋势项。今晚做到FDI的平稳性检验,同时加入截距项和时间趋势项时,是水平上平稳的,即服从I(0).但当我只加入截距项时,却是一阶单整的。这个怎么取舍?如何判断是否要有截距项和时间趋势项?据说是看图,截距项和同时包括截距项and时间趋势的图感觉差不多,肿么办?
2. ADF检验运行后,都会出现如下的结果图。上半部分,是判断是否平稳的。下半部分是回归结果。但是我今天又遇到一个问题,上半部分显示显著,即平稳了,但是下半部分却有1个系数的t值不显著,这个又该怎么取舍啊?望各位赐教。
| Null Hypothesis: D(LOGFDI) has a unit root |
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| Exogenous: Constant |
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| Lag Length: 0 (Automatic - based on SIC, maxlag=3) | ||||
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| t-Statistic | Prob.* |
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Augmented Dickey-Fuller test statistic | -4.329705 | 0.0063 | ||
| Test critical values: | 1% level |
| -4.057910 |
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| 5% level |
| -3.119910 |
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| 10% level |
| -2.701103 |
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| *MacKinnon (1996) one-sided p-values. |
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| Warning: Probabilities and critical values calculated for 20 observations | ||||
| and may not be accurate for a sample size of 13 | ||||
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| Augmented Dickey-Fuller Test Equation |
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| Dependent Variable: D(LOGFDI,2) |
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| Method: Least Squares |
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| Date: 04/06/14 Time: 21:20 |
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| Sample (adjusted): 2000 2012 |
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| Included observations: 13 after adjustments |
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| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
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| D(LOGFDI(-1)) | -1.069709 | 0.247063 | -4.329705 | 0.0012 |
| C | 0.087358 | 0.028681 | 3.045869 | 0.0111 |
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| R-squared | 0.630207 | Mean dependent var | 0.010274 | |
| Adjusted R-squared | 0.596589 | S.D. dependent var | 0.127647 | |
| S.E. of regression | 0.081074 | Akaike info criterion | -2.046262 | |
| Sum squared resid | 0.072304 | Schwarz criterion | -1.959347 | |
| Log likelihood | 15.30070 | Hannan-Quinn criter. | -2.064127 | |
| F-statistic | 18.74634 | Durbin-Watson stat | 2.376035 | |
| Prob(F-statistic) | 0.001195 |
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