问题1:这篇论文中只有5年期以上贷款利率是一阶单整,其他变量都是平稳的,为什么还可以去做协整呢?
问题2:我自己在写论文的时候有一组数据是LPR(贷款基础利率)
对数化后 lnLPR如图
从图看lnLPR做ADF单位根检验的时候应该是含时间趋势项和截距项,但是做出来的结果却是none的情况,此时可以得出lnLPR是平稳的结论吗?
dfuller lnLPR , noconstant lags(0) reg
Dickey-Fuller test for unit root Number of obs = 74
Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -3.350 -2.610 -1.950 -1.610
D.lnLPR Coef. Std. Err. t P>t [95% Conf. Interval]
lnLPR
L1. -.0029163 .0008705 -3.35 0.001 -.0046513 -.0011814
. dfuller lnLPR ,trend lags(0) reg
Dickey-Fuller test for unit root Number of obs = 74
Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -0.551 -4.097 -3.476 -3.166
MacKinnon approximate p-value for Z(t) = 0.9813
D.lnLPR Coef. Std. Err. t P>t [95% Conf. Interval]
lnLPR
L1. -.010886 .0197527 -0.55 0.583 -.0502717 .0284998
_trend .000055 .0001116 0.49 0.623 -.0001674 .0002775
_cons .0103384 .0339326 0.30 0.762 -.0573213 .0779981
dfuller lnLPR ,lags(0) reg
Dickey-Fuller test for unit root Number of obs = 74
Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -1.716 -3.546 -2.911 -2.590
MacKinnon approximate p-value for Z(t) = 0.4229
D.lnLPR Coef. Std. Err. t P>t [95% Conf. Interval]
lnLPR
L1. -.018948 .0110419 -1.72 0.090 -.0409595 .0030636
_cons .0247958 .0170258 1.46 0.150 -.0091446 .0587362


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