ADF检验如下:滞后差分项选了0,检验出来已经是平稳的了。可是DW值很靠近0.,如果选1阶的话就不平稳了。还要选吗?
非平稳的话,能不能做Granger因果检验啊?
ADF Test Statistic 3.741163 1% Critical Value* -3.7343
5% Critical Value -2.9907
10% Critical Value -2.6348
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(EC)
Method: Least Squares
Date: 05/27/11 Time: 20:28
Sample(adjusted): 1986 2009
Included observations: 24 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
EC(-1) 0.065068 0.017393 3.741163 0.0011
C -14.67619 98.81412 -0.148523 0.8833
R-squared 0.388826 Mean dependent var 325.5904
Adjusted R-squared 0.361045 S.D. dependent var 236.7266
S.E. of regression 189.2266 Akaike info criterion 13.40342
Sum squared resid 787747.3 Schwarz criterion 13.50159
Log likelihood -158.8411 F-statistic 13.99630
Durbin-Watson stat 0.800148 Prob(F-statistic) 0.001132