[面板数据求助] 面板数据的Fisher-ADF检验 [推广有奖]

11楼

xmucrazy 发表于 2016-2-1 14:44:11

马睿萱淼淼发表于 2015-11-25 18:24
您好！按照上面的命令：
findit xtunitroot
. webuse pennxrate

拒绝了原假设，应该是通过了单位根检验，即不存在单位根。

12楼

桃子佳Echo 发表于 2017-3-15 14:25:42

crystal8832 发表于 2014-9-13 18:03
可以修改。

你好，请问命令中lags() 里面的数字怎么确定的呢？

13楼

crystal8832

发表于 2017-3-15 20:55:41

桃子佳Echo 发表于 2017-3-15 14:25
你好，请问命令中lags() 里面的数字怎么确定的呢？

一般根据信息准则，选择最优滞后阶数。

14楼

天津吃饭 发表于 2018-4-6 15:05:55

Fisher-type unit-root test for y
Based on Phillips-Perron tests
----------------------------------
Ho: All panels contain unit roots          Number of panels  =    10
Ha: At least one panel is stationary       Number of periods =    33

AR parameter: Panel-specific          Asymptotics: T -> Infinity
Panel means:    Included
Time trend:    Not included
Newey-West lags: 0 lags
------------------------------------------------------------------------------
                              Statistic    p-value
------------------------------------------------------------------------------
Inverse chi-squared(20) P    201.4979    0.0000
Inverse normal          Z    -11.9776    0.0000
Inverse logit t(54)    L*    -17.7292    0.0000
Modified inv. chi-squared Pm    28.6973    0.0000
------------------------------------------------------------------------------
P statistic requires number of panels to be finite.
Other statistics are suitable for finite or infinite number of panels.
------------------------------------------------------------------------------
求问这几个应该看哪个值？哪个是P值呀？