如下所示,进行单位根里的NP检验,下面出来的结果是不是表明水平数据是平稳的,一阶差分后却不平稳了,二阶差分后更不平稳了?也不知道我分析的对不对?请高手帮看看!
Null Hypothesis: LNLK has a unit root
Exogenous: Constant
Lag length: 2 (Spectral GLS-detrended AR based on SIC, maxlag=4)
Sample: 1990 2010
Included observations: 21
MZa MZt MSB MPT
Ng-Perron test statistics -55.4348 -5.18572 0.09355 0.62740
Asymptotic critical values*: 1% -13.8000 -2.58000 0.17400 1.78000
5% -8.10000 -1.98000 0.23300 3.17000
10% -5.70000 -1.62000 0.27500 4.45000
*Ng-Perron (2001, Table 1)
HAC corrected variance (Spectral GLS-detrended AR) 1.177759
Null Hypothesis: D(LNLK) has a unit root
Exogenous: Constant
Lag length: 1 (Spectral GLS-detrended AR based on SIC, maxlag=4)
Sample (adjusted): 1991 2010
Included observations: 20 after adjustments
MZa MZt MSB MPT
Ng-Perron test statistics 1.11884 0.66130 0.59106 28.9666
Asymptotic critical values*: 1% -13.8000 -2.58000 0.17400 1.78000
5% -8.10000 -1.98000 0.23300 3.17000
10% -5.70000 -1.62000 0.27500 4.45000
*Ng-Perron (2001, Table 1)
HAC corrected variance (Spectral GLS-detrended AR) 0.002209
Null Hypothesis: D(LNLK,2) has a unit root
Exogenous: Constant
Lag length: 4 (Spectral GLS-detrended AR based on SIC, maxlag=4)
Sample (adjusted): 1992 2010
Included observations: 19 after adjustments
MZa MZt MSB MPT
Ng-Perron test statistics 9.32864 9.29496 0.99639 178.114
Asymptotic critical values*: 1% -13.8000 -2.58000 0.17400 1.78000
5% -8.10000 -1.98000 0.23300 3.17000
10% -5.70000 -1.62000 0.27500 4.45000
*Ng-Perron (2001, Table 1)
HAC corrected variance (Spectral GLS-detrended AR) 0.001366