Augmented Dickey-Fuller Test Equation |
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Dependent Variable: D(R) |
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Method: Least Squares |
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Date: 04/20/08 Time: 19:05 |
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Sample (adjusted): 8 3715 |
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Included observations: 3708 after adjustments | ||||
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Variable | Coefficient | Std. Error | t-Statistic | Prob. |
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R(-1) | -0.936747 | 0.037965 | -24.67427 | 0.0000 |
D(R(-1)) | -0.074899 | 0.035265 | -2.123897 | 0.0337 |
D(R(-2)) | -0.050190 | 0.032149 | -1.561190 | 0.1186 |
D(R(-3)) | 0.006598 | 0.028337 | 0.232837 | 0.8159 |
D(R(-4)) | 0.047410 | 0.023292 | 2.035477 | 0.0419 |
D(R(-5)) | 0.077983 | 0.016382 | 4.760203 | 0.0000 |
C | 0.000481 | 0.000383 | 1.255582 | 0.2093 |
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R-squared | 0.510522 | Mean dependent var | -2.19E-05 | |
Adjusted R-squared | 0.509729 | S.D. dependent var | 0.033286 | |
S.E. of regression | 0.023307 | Akaike info criterion | -4.678242 | |
Sum squared resid | 2.010439 | Schwarz criterion | -4.666503 | |
Log likelihood | 8680.461 | F-statistic | 643.3536 | |
Durbin-Watson stat | 1.995505 | Prob(F-statistic) | 0.000000 | |
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这个D(R(1))代表什么?是滞后一期吗?
这12个名词有什么含义啊?他们的取值区间是什么?
小妹在此谢过各位了!