我有一个被解释变量EMP和4个解释变量LGDP CPI Female NER都是I(1)的,用EG两步法检验残差项是否平衡,stata命令和结果如下,请问我这时候的1% 5% 10% 的critical value 该是多少?
reg EMP LGDP CPI NER FEM
preidict e,residual
gen elag=e[_n-1]
duller e
Dickey-Fuller test for unit root Number of obs = 32
---------- Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
------------------------------------------------------------------------------
Z(t) -3.702 -3.702 -2.980 -2.622
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0041
如果存在协整,然后我reg 了下一阶差分得到短期结果如下,命令如下
reg D.emp elag D.cpi D.fem D.lgdp D.ner,noconstant
结果如下
------------------------------------------------------------------------------
D.emp | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
elag | .0003112 .0000798 3.90 0.001 .0001474 .000475
|
cpi |
D1. | -.0001393 .0001741 -0.80 0.431 -.0004964 .0002178
|
fem |
D1. | 1.178778 .3815124 3.09 0.005 .3959789 1.961576
|
lgdp |
D1. | -.00357 .0103467 -0.35 0.733 -.0247997 .0176597
|
ner |
D1. | .0016666 .001573 1.06 0.299 -.001561 .0048941
------------------------------------------------------------------------------
cpi lgd ner都是不显著的是不是说明这D.cpi,D.lgdp和D.ner对Demp没影响?是不是我的短期model就是如下形式了?
△EMPt=0.0003112(EMPt-CPIt-LGDPt-FEMt-NERt)+△FEM
请大侠们指导一下!