发帖
雷达卡
我选取的数据是1997-2016年GDP 为什么在做单位根检验的时候是不平稳的呢 ，进行了差分还是不平稳序列
应该怎么办
不对数变换也是不平稳的
我对数据进行了对数变化做的结果如下：
Call:
lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
Residuals:
Min 1Q Median 3Q Max
-0.0270054 -0.0053126 -0.0005104 0.0053052 0.0188473
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.970682 0.601626 1.613 0.128957
z.lag.1 -0.151785 0.097093 -1.563 0.140301
tt 0.013754 0.009322 1.475 0.162225
z.diff.lag 0.852060 0.174923 4.871 0.000247 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.01164 on 14 degrees of freedom
Multiple R-squared: 0.6651, Adjusted R-squared: 0.5933
F-statistic: 9.266 on 3 and 14 DF, p-value: 0.001249
Value of test-statistic is: -1.5633 2.1772 2.3394
Critical values for test statistics:
1pct 5pct 10pct
tau3 -4.38 -3.60 -3.24
phi2 8.21 5.68 4.67
phi3 10.61 7.24 5.91
Test regression trend
Call:
lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
Residuals:
Min 1Q Median 3Q Max
-0.027466 -0.003259 -0.001658 0.002302 0.021580
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.0382774 0.0196367 1.949 0.0732 .
z.lag.1 -0.3110779 0.1952635 -1.593 0.1351
tt -0.0010656 0.0006572 -1.621 0.1289
z.diff.lag 0.0256735 0.2699985 0.095 0.9257
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.01257 on 13 degrees of freedom
Multiple R-squared: 0.2683, Adjusted R-squared: 0.09945
F-statistic: 1.589 on 3 and 13 DF, p-value: 0.2398
Value of test-statistic is: -1.5931 1.5961 2.379
Critical values for test statistics:
1pct 5pct 10pct
tau3 -4.38 -3.60 -3.24
phi2 8.21 5.68 4.67
phi3 10.61 7.24 5.91
京公网安备 11010802022788号
