dfgls inf, maxlag(12)
DF-GLS for inf Number of obs = 127
DF-GLS tau 1% Critical 5% Critical 10% Critical
[lags] Test Statistic Value Value Value
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12 -1.999 -3.532 -2.797 -2.522
11 -1.992 -3.532 -2.818 -2.541
10 -2.244 -3.532 -2.837 -2.559
9 -2.930 -3.532 -2.856 -2.577
8 -3.187 -3.532 -2.875 -2.594
7 -3.218 -3.532 -2.893 -2.610
6 -3.412 -3.532 -2.910 -2.626
5 -3.944 -3.532 -2.926 -2.641
4 -4.084 -3.532 -2.941 -2.654
3 -4.538 -3.532 -2.955 -2.667
2 -5.179 -3.532 -2.968 -2.679
1 -6.252 -3.532 -2.980 -2.690
Opt Lag (Ng-Perron seq t) = 11 with RMSE .5472618
Min SC = -.8006726 at lag 1 with RMSE .6450164
Min MAIC = -.7428902 at lag 11 with RMSE .5472618
sc maic 选取滞后期数不一样,选取谁为选,滞后期1-10均能拒绝原假设,那是否可认为就是平稳序列呢?滞后期11-12,不能拒绝原假设,应如何看待?