在stata中用Fisher-type tests (combining p-values)进行单位根检验用dfuller选项时加入drift后由不显著变为显著,求教那采用哪种检验才是有效的呢?
做过时序图,显示是有截距项的。结果及命令如下,求教各位!!!
xtunitroot fisher a , dfuller lags(1)
Fisher-type unit-root test for a
Based on augmented Dickey-Fuller tests
--------------------------------------
Ho: All panels contain unit roots Number of panels = 11
Ha: At least one panel is stationary Number of periods = 10
AR parameter: Panel-specific Asymptotics: T -> Infinity
Panel means: Included
Time trend: Not included
Drift term: Not included ADF regressions: 1 lag
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Inverse chi-squared(22) P 22.7803 0.4142
Inverse normal Z 0.8136 0.7921
Inverse logit t(59) L* 0.5657 0.7131
Modified inv. chi-squared Pm 0.1176 0.4532
------------------------------------------------------------------------------
P statistic requires number of panels to be finite.
Other statistics are suitable for finite or infinite number of panels.
------------------------------------------------------------------------------
. xtunitroot fisher a , lags(1) dfuller drift
Fisher-type unit-root test for a
Based on augmented Dickey-Fuller tests
--------------------------------------
Ho: All panels contain unit roots Number of panels = 11
Ha: At least one panel is stationary Number of periods = 10
AR parameter: Panel-specific Asymptotics: T -> Infinity
Panel means: Included
Time trend: Not included
Drift term: Included ADF regressions: 1 lag
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Inverse chi-squared(22) P 47.3193 0.0013
Inverse normal Z -3.5409 0.0002
Inverse logit t(59) L* -3.5257 0.0004
Modified inv. chi-squared Pm 3.8170 0.0001
------------------------------------------------------------------------------
P statistic requires number of panels to be finite.
Other statistics are suitable for finite or infinite number of panels.
------------------------------------------------------------------------------
. xtunitroot fisher a, lags(1) pperron
Fisher-type unit-root test for a
Based on Phillips-Perron tests
-----------------------------------
Ho: All panels contain unit roots Number of panels = 11
Ha: At least one panel is stationary Number of periods = 10
AR parameter: Panel-specific Asymptotics: T -> Infinity
Panel means: Included
Time trend: Not included
Newey-West lags: 1 lag
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Inverse chi-squared(22) P 22.2921 0.4426
Inverse normal Z 0.3480 0.6361
Inverse logit t(59) L* 0.3109 0.6215
Modified inv. chi-squared Pm 0.0440 0.4824
------------------------------------------------------------------------------
P statistic requires number of panels to be finite.
Other statistics are suitable for finite or infinite number of panels.
------------------------------------------------------------------------------