请教ADF检验的问题:检验结果如下:看到DF统计量的计算结果均大于临界值,说明是接受原假设(即由单位根),但是prob的值只有0.1829,非常小,是不是说这个“接受原假设”的概率很小?如何理解这个Prob值呢?谢谢!!
Null Hypothesis: A has a unit root
Exogenous: Constant
Lag Length: 1 (Fixed)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.323658630766139 0.1829490442847093
Test critical values: 1% level -4.297072756022257
5% level -3.212696390262247
10% level -2.747676115400134
*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 10
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(A)
Method: Least Squares
Date: 01/13/11 Time: 10:22
Sample (adjusted): 3 12
Included observations: 10 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
A(-1) -1.579356597980787 0.6796852932997538 -2.323658630766139 0.05310751994879299
D(A(-1)) 0.007609562300698435 0.3983502936819939 0.0191026903240423 0.9852922773583727
C -40.33090946132842 17.36803999857461 -2.322133612349947 0.05322693076785561
R-squared 0.7864788347257754 Mean dependent var 0.002740122861328931
Adjusted R-squared 0.7254727875045683 S.D. dependent var 0.3512633162814606
S.E. of regression 0.1840456246570907 Akaike info criterion -0.3039410615639675
Sum squared resid 0.2371095436879309 Schwarz criterion -0.2131655336657537
Log likelihood 4.519705307819837 Hannan-Quinn criter. -0.4035215944151939
F-statistic 12.8918176238171 Durbin-Watson stat 2.046897118602971
Prob(F-statistic) 0.004498246577488897