如果user specified 选1, level 常数项和趋势项,得出下面结果:
Null Hypothesis: LOG(X) has a unit root |
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Exogenous: Constant, Linear Trend |
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Lag Length: 1 (Fixed) |
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| t-Statistic | Prob.* |
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Augmented Dickey-Fuller test statistic | -3.035172 | 0.2478 | ||
Test critical values: | 1% level |
| -8.235570 |
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| 5% level |
| -5.338346 |
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| 10% level |
| -4.187634 |
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如果user specified 选1,1ST DIFFERENCE 常数项和趋势项,得出下面结果:
Null Hypothesis: D(LOG(X)) has a unit root |
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Exogenous: Constant, Linear Trend |
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Lag Length: 1 (Fixed) |
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| t-Statistic | Prob.* |
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Augmented Dickey-Fuller test statistic | NA | 0.5000 | ||
Test critical values: | 1% level |
| -10.66657 |
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| 5% level |
| -6.482609 |
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| 10% level |
| -4.819859 |
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作为新手,看到论坛里面高手解答,时间序列X是一个趋势向上的斜线,所以选择趋势项和常数项。
user specified 该怎么选择? 是不是应该选常数项和趋势项,这个序列是不是平稳序列,根据结果如何判断?