各位大神:我正在写毕业论文,模型是多元线性回归 时间序列 ,在回归之前单位根检验结果如下:
请问怎么样分析单位根检验的结果,直接看 t-Statistic的值与1%,5%,10%的临界值比较吗?还是应该先看 时间趋势@TREND(1999)和截距项C的 Prob.*值与0.05的大小关系,在看ADF检验 t-Statistic 值与临界值比较?用不用考虑D-W值?为什么?
论文就要到截稿日期,很急!求大神指点!
Null Hypothesis: D(LNGL) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Fixed)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.893140 0.5970
Test critical values: 1% level -4.992279
5% level -3.875302
10% level -3.388330
*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 12
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNGL,2)
Method: Least Squares
Date: 06/16/15 Time: 14:50
Sample (adjusted): 2002 2013
Included observations: 12 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LNGL(-1)) -0.994998 0.525581 -1.893140 0.0950
D(LNGL(-1),2) -0.017126 0.352545 -0.048579 0.9624
C 0.079781 0.082623 0.965609 0.3625
@TREND(1999) -0.01304 0.010356 -1.259158 0.2435
R-squared 0.495004 Mean dependent var -0.007611
Adjusted R-squared 0.305631 S.D. dependent var 0.101272
S.E. of regression 0.084389 Akaike info criterion -1.845565
Sum squared resid 0.056972 Schwarz criterion -1.683929
Log likelihood 15.07339 Hannan-Quinn criter. -1.905408
F-statistic 2.613907 Durbin-Watson stat 1.883000
Prob(F-statistic) 0.123280