[求助]ADF检测问题，急急急

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收藏 2009-05-24

Null Hypothesis: LAB1 has a unit root&nbsp;&nbsp;&nbsp;&nbsp; Exogenous: Constant&nbsp;&nbsp;&nbsp;&nbsp; Lag Length: 0 (Automatic based on SIC, MAXLAG=10)&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;t-Statistic&nbsp;&nbsp; Prob.* &nbsp;&nbsp;&nbsp;&nbsp; Augmented Dickey-Fuller test statistic&nbsp;&nbsp;&nbsp; 3.885735&nbsp; 1.0000 Test critical values:&nbsp;1% level&nbsp;&nbsp;-3.552666&nbsp; &nbsp;5% level&nbsp;&nbsp;-2.914517&nbsp; &nbsp;10% level&nbsp;&nbsp;-2.595033&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; *MacKinnon (1996) one-sided p-values.&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Augmented Dickey-Fuller Test Equation&nbsp;&nbsp;&nbsp;&nbsp; Dependent Variable: D(LAB1)&nbsp;&nbsp;&nbsp;&nbsp; Method: Least Squares&nbsp;&nbsp;&nbsp;&nbsp; Date: 05/24/09&nbsp;&nbsp; Time: 11:42&nbsp;&nbsp;&nbsp;&nbsp; Sample (adjusted): 1953 2008&nbsp;&nbsp;&nbsp;&nbsp; Included observations: 56 after adjustments&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Variable&nbsp;Coefficient&nbsp;Std. Error&nbsp;t-Statistic&nbsp;Prob.&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; LAB1(-1)&nbsp;0.021061&nbsp;0.005420&nbsp;3.885735&nbsp;0.0003 C&nbsp;-0.006377&nbsp;0.015463&nbsp;-0.412408&nbsp;0.6817 &nbsp;&nbsp;&nbsp;&nbsp; R-squared&nbsp;0.218512&nbsp;&nbsp;&nbsp;&nbsp; Mean dependent var&nbsp;&nbsp;0.050907 Adjusted R-squared&nbsp;0.204040&nbsp;&nbsp;&nbsp;&nbsp; S.D. dependent var&nbsp;&nbsp;0.039148 S.E. of regression&nbsp;0.034926&nbsp;&nbsp;&nbsp;&nbsp; Akaike info criterion&nbsp;&nbsp;-3.836094 Sum squared resid&nbsp;0.065872&nbsp;&nbsp;&nbsp;&nbsp; Schwarz criterion&nbsp;&nbsp;-3.763760 Log likelihood&nbsp;109.4106&nbsp;&nbsp;&nbsp;&nbsp; F-statistic&nbsp;&nbsp;15.09894 Durbin-Watson stat&nbsp;1.434863&nbsp;&nbsp;&nbsp;&nbsp; Prob(F-statistic)&nbsp;&nbsp;0.000281 &nbsp;&nbsp;&nbsp;&nbsp; Null Hypothesis: D(LAB1) has a unit root&nbsp;&nbsp;&nbsp;&nbsp; Exogenous: Constant&nbsp;&nbsp;&nbsp;&nbsp; Lag Length: 0 (Automatic based on SIC, MAXLAG=10)&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;t-Statistic&nbsp;&nbsp; Prob.* &nbsp;&nbsp;&nbsp;&nbsp; Augmented Dickey-Fuller test statistic&nbsp;&nbsp;&nbsp;-4.523532&nbsp; 0.0006 Test critical values:&nbsp;1% level&nbsp;&nbsp;-3.555023&nbsp; &nbsp;5% level&nbsp;&nbsp;-2.915522&nbsp; &nbsp;10% level&nbsp;&nbsp;-2.595565&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; *MacKinnon (1996) one-sided p-values.&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Augmented Dickey-Fuller Test Equation&nbsp;&nbsp;&nbsp;&nbsp; Dependent Variable: D(LAB1,2)&nbsp;&nbsp;&nbsp;&nbsp; Method: Least Squares&nbsp;&nbsp;&nbsp;&nbsp; Date: 05/24/09&nbsp;&nbsp; Time: 11:45&nbsp;&nbsp;&nbsp;&nbsp; Sample (adjusted): 1954 2008&nbsp;&nbsp;&nbsp;&nbsp; Included observations: 55 after adjustments&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Variable&nbsp;Coefficient&nbsp;Std. Error&nbsp;t-Statistic&nbsp;Prob.&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; D(LAB1(-1))&nbsp;-0.555414&nbsp;0.122783&nbsp;-4.523532&nbsp;0.0000 C&nbsp;0.029070&nbsp;0.007824&nbsp;3.715385&nbsp;0.0005 &nbsp;&nbsp;&nbsp;&nbsp; R-squared&nbsp;0.278542&nbsp;&nbsp;&nbsp;&nbsp; Mean dependent var&nbsp;&nbsp;0.001069 Adjusted R-squared&nbsp;0.264930&nbsp;&nbsp;&nbsp;&nbsp; S.D. dependent var&nbsp;&nbsp;0.041394 S.E. of regression&nbsp;0.035489&nbsp;&nbsp;&nbsp;&nbsp; Akaike info criterion&nbsp;&nbsp;-3.803485 Sum squared resid&nbsp;0.066753&nbsp;&nbsp;&nbsp;&nbsp; Schwarz criterion&nbsp;&nbsp;-3.730491 Log likelihood&nbsp;106.5958&nbsp;&nbsp;&nbsp;&nbsp; F-statistic&nbsp;&nbsp;20.46234 Durbin-Watson stat&nbsp;2.125068&nbsp;&nbsp;&nbsp;&nbsp; Prob(F-statistic)&nbsp;&nbsp;0.000035 &nbsp;&nbsp;&nbsp;&nbsp; Null Hypothesis: D(LAB1,2) has a unit root&nbsp;&nbsp;&nbsp;&nbsp; Exogenous: Constant&nbsp;&nbsp;&nbsp;&nbsp; Lag Length: 0 (Automatic based on SIC, MAXLAG=10)&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;t-Statistic&nbsp;&nbsp; Prob.* &nbsp;&nbsp;&nbsp;&nbsp; Augmented Dickey-Fuller test statistic&nbsp;&nbsp;&nbsp;-11.15584&nbsp; 0.0000 Test critical values:&nbsp;1% level&nbsp;&nbsp;-3.557472&nbsp; &nbsp;5% level&nbsp;&nbsp;-2.916566&nbsp; &nbsp;10% level&nbsp;&nbsp;-2.596116&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; *MacKinnon (1996) one-sided p-values.&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Augmented Dickey-Fuller Test Equation&nbsp;&nbsp;&nbsp;&nbsp; Dependent Variable: D(LAB1,3)&nbsp;&nbsp;&nbsp;&nbsp; Method: Least Squares&nbsp;&nbsp;&nbsp;&nbsp; Date: 05/24/09&nbsp;&nbsp; Time: 11:46&nbsp;&nbsp;&nbsp;&nbsp; Sample (adjusted): 1955 2008&nbsp;&nbsp;&nbsp;&nbsp; Included observations: 54 after adjustments&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Variable&nbsp;Coefficient&nbsp;Std. Error&nbsp;t-Statistic&nbsp;Prob.&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; D(LAB1(-1),2)&nbsp;-1.400547&nbsp;0.125544&nbsp;-11.15584&nbsp;0.0000 C&nbsp;0.000651&nbsp;0.005197&nbsp;0.125279&nbsp;0.9008 &nbsp;&nbsp;&nbsp;&nbsp; R-squared&nbsp;0.705304&nbsp;&nbsp;&nbsp;&nbsp; Mean dependent var&nbsp;&nbsp;-0.000678 Adjusted R-squared&nbsp;0.699636&nbsp;&nbsp;&nbsp;&nbsp; S.D. dependent var&nbsp;&nbsp;0.069663 S.E. of regression&nbsp;0.038179&nbsp;&nbsp;&nbsp;&nbsp; Akaike info criterion&nbsp;&nbsp;-3.656722 Sum squared resid&nbsp;0.075798&nbsp;&nbsp;&nbsp;&nbsp; Schwarz criterion&nbsp;&nbsp;-3.583056 Log likelihood&nbsp;100.7315&nbsp;&nbsp;&nbsp;&nbsp; F-statistic&nbsp;&nbsp;124.4527 Durbin-Watson stat&nbsp;2.112490&nbsp;&nbsp;&nbsp;&nbsp; Prob(F-statistic)&nbsp;&nbsp;0.000000 &nbsp;&nbsp;&nbsp;&nbsp; 以上三个哪个是平稳的序列，不明白啊……哪为大侠给解释一下，或者推荐一个网址越多一下相关材料。在线等呀