下面是一个银行提取金额的序列,没有做差分出来的ADF检验结果,感觉不可思议,提取金额类似于流量指标,按说最可能是一阶平稳的,但是ADF在没有差分的情况检验(c,t,1),出来的结果太好了,不敢相信。请各位帮忙看看是不是哪里有问题Null Hypothesis: Y2 has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=5)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -14.60483 0.0000
Test critical values: 1% level -4.416345
5% level -3.622033
10% level -3.248592
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(Y2)
Method: Least Squares
Date: 08/31/13 Time: 10:18
Sample (adjusted): 2007Q3 2013Q1
Included observations: 23 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
Y2(-1) -1.904174 0.130380 -14.60483 0.0000
D(Y2(-1)) 0.898952 0.090662 9.915405 0.0000
C 45.55040 4.102686 11.10258 0.0000
@TREND(2007Q1) 2.462943 0.243887 10.09871 0.0000
R-squared 0.918498 Mean dependent var 0.287391
Adjusted R-squared 0.905630 S.D. dependent var 18.56874
S.E. of regression 5.704269 Akaike info criterion 6.477077
Sum squared resid 618.2349 Schwarz criterion 6.674555
Log likelihood -70.48639 Hannan-Quinn criter. 6.526742
F-statistic 71.37476 Durbin-Watson stat 2.399091
Prob(F-statistic) 0.000000