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dhbcassie 发表于 2015-1-7 05:20
楼主你好，我正在用ADF检验一个序列的单位根，但是还没判断最优的滞后数，我知道应该选AIC最小的那个，所以 ...
dhbcassie 发表于 2015-1-7 05:20
楼主你好，我正在用ADF检验一个序列的单位根，但是还没判断最优的滞后数，我知道应该选AIC最小的那个，所以 ...
同学如果已经解决，还望告知，谢谢~| Null Hypothesis: R1 has a unit root |
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| Exogenous: None |
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| Lag Length: 0 (Automatic - based on AIC, maxlag=10) | ||||
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| t-Statistic | Prob.* |
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Augmented Dickey-Fuller test statistic | -2.929920 | 0.0040 | ||
| Test critical values: | 1% level |
| -2.602185 |
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| 5% level |
| -1.946072 |
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| 10% level |
| -1.613448 |
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| *MacKinnon (1996) one-sided p-values. |
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| Augmented Dickey-Fuller Test Equation |
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| Dependent Variable: D(R1) |
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| Method: Least Squares |
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| Date: 05/17/16 Time: 11:10 |
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| Sample (adjusted): 2010M10 2015M12 |
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| Included observations: 63 after adjustments |
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| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
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| R1(-1) | -0.233849 | 0.079814 | -2.929920 | 0.0047 |
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| R-squared | 0.120194 | Mean dependent var | -0.001795 | |
| Adjusted R-squared | 0.120194 | S.D. dependent var | 0.044917 | |
| S.E. of regression | 0.042131 | Akaike info criterion | -3.480299 | |
| Sum squared resid | 0.110054 | Schwarz criterion | -3.446281 | |
| Log likelihood | 110.6294 | Hannan-Quinn criter. | -3.466920 | |
| Durbin-Watson stat | 1.622872 |
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