看了单位根检验的几篇经典论文,还是没有搞清楚。
LLC零假设是各截面有相同单位根的假设, p值很低,是拒绝还是接受零假设?
另外三个的p值都是1,这又是什么意思呢?
Method Statistic Prob.** Cross- sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* -2.66692 0.0002 29 526
Null: Unit root (assumes individual unit root process)
Im, Pesaran and Shin W-stat 4.26550 1.0000 9 526
ADF - Fisher Chi-square 32.4200 1.0000 9 526
PP - Fisher Chi-square 1 3.0812 1.0000 9 551