为什么我的单位根检验最大滞后性（max lag)设置为5和设置为8最终单位根检验的结果天壤之别？
Null Hypothesis: INVE has a unit root   
Exogenous: Constant   
Lag Length: 3 (Automatic based on SIC, MAXLAG=5)   
   
   t-Statistic   Prob.*
   
Augmented Dickey-Fuller test statistic   -5.973173  0.0000
Test critical values: 1% level  -3.538362
5% level  -2.908420
10% level  -2.591799
   
*MacKinnon (1996) one-sided p-values.   
   
   
Augmented Dickey-Fuller Test Equation   
Dependent Variable: D(INVE)   
Method: Least Squares   
Date: 08/12/12   Time: 12:29   
Sample (adjusted): 2003M07 2012M01   
Included observations: 63 after adjustments   
   
Coefficient Std. Error t-Statistic Prob.  
   
INVE(-1) -7.256914 1.214918 -5.973173 0.0000
D(INVE(-1)) -4.025610 0.514353 -7.826550 0.0000
D(INVE(-2)) -3.380329 0.556278 -6.076693 0.0000
D(INVE(-3)) -2.910927 0.512673 -5.677945 0.0000
C 49.18633 16.29664 3.018188 0.0038
   
R-squared 0.578547     Mean dependent var  -20.43133
Adjusted R-squared 0.549481     S.D. dependent var  40.40765
S.E. of regression 27.12191     Akaike info criterion  9.514599
Sum squared resid 42664.68     Schwarz criterion  9.684689
Log likelihood -294.7099     Hannan-Quinn criter.  9.581496
F-statistic 19.90475     Durbin-Watson stat  1.581380
Prob(F-statistic) 0.000000   
   
maNull Hypothesis: INVE has a unit root   
Exogenous: Constant   
Lag Length: 7 (Automatic based on SIC, MAXLAG=8)   
   
   t-Statistic   Prob.*
   
Augmented Dickey-Fuller test statistic    5.085529  1.0000
Test critical values: 1% level  -3.699871
5% level  -2.976263
10% level  -2.627420
   
*MacKinnon (1996) one-sided p-values.   
   
   
Augmented Dickey-Fuller Test Equation   
Dependent Variable: D(INVE)   
Method: Least Squares   
Date: 08/12/12   Time: 12:30   
Sample (adjusted): 2003M11 2012M01   
Included observations: 27 after adjustments   
   
Coefficient Std. Error t-Statistic Prob.  
   
INVE(-1) 12.14174 2.387509 5.085529 0.0001
D(INVE(-1)) -17.11131 2.730654 -6.266375 0.0000
D(INVE(-2)) -10.01751 4.312781 -2.322750 0.0321
D(INVE(-3)) -1.083090 5.163620 -0.209754 0.8362
D(INVE(-4)) -3.375142 1.670490 -2.020450 0.0585
D(INVE(-5)) -2.086578 0.936382 -2.228341 0.0388
D(INVE(-6)) 0.810293 0.904203 0.896140 0.3820
D(INVE(-7)) 0.600201 0.476063 1.260761 0.2235
C -260.6222 44.70088 -5.830360 0.0000
   
R-squared 0.988676     Mean dependent var  -37.92981
Adjusted R-squared 0.983643     S.D. dependent var  57.08616
S.E. of regression 7.301105     Akaike info criterion  7.075130
Sum squared resid 959.5103     Schwarz criterion  7.507076
Log likelihood -86.51425     Hannan-Quinn criter.  7.203570
F-statistic 196.4363     Durbin-Watson stat  2.048125
Prob(F-statistic) 0.000000   
   
x lag换成8后，