Null Hypothesis: D(MVM) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 7 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.907384 0.0157
Test critical values: 1% level -4.065702
5% level -3.461686
10% level -3.157121
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(MVM,2)
Method: Least Squares
Date: 12/08/09 Time: 00:06
Sample (adjusted): 2002M04 2009M07
Included observations: 88 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(MVM(-1)) -0.597363 0.152880 -3.907384 0.0002
D(MVM(-1),2) -0.199910 0.153730 -1.300396 0.1973
D(MVM(-2),2) -0.018037 0.148057 -0.121824 0.9034
D(MVM(-3),2) 0.056592 0.149144 0.379445 0.7054
D(MVM(-4),2) 0.704653 0.149614 4.709807 0.0000
D(MVM(-5),2) 0.847902 0.152649 5.554593 0.0000
D(MVM(-6),2) 0.378660 0.158410 2.390373 0.0192
D(MVM(-7),2) 0.454311 0.122571 3.706507 0.0004
C -8.61E+10 7.43E+10 -1.158735 0.2501
@TREND(2001M07) 2.70E+09 1.30E+09 2.071465 0.0416
R-squared 0.630622 Mean dependent var 2.19E+10
Adjusted R-squared 0.588001 S.D. dependent var 4.71E+11
S.E. of regression 3.02E+11 Akaike info criterion 55.81217
Sum squared resid 7.12E+24 Schwarz criterion 56.09369
Log likelihood -2445.736 F-statistic 14.79620
Durbin-Watson stat 1.976559 Prob(F-statistic) 0.000000
mvm序列是一个一阶单整的。


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