在做面板数据分析时,第一个是有截距项和趋势项(individual intercept and trend)的结果,如图: (LLC检验平稳)
Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* -7.96051 0.0000 30 210
Breitung t-stat 9.55885 1.0000 30 180
Null: Unit root (assumes individual unit root process)
Im, Pesaran and Shin W-stat 1.07530 0.8589 30 210
ADF - Fisher Chi-square 61.3252 0.4282 30 210
PP - Fisher Chi-square 160.243 0.0000 30 210
而在选择只有截距项时(individual intercept ),LLC检验非平稳,如图,
Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* 11.1874 1.0000 30 198
Null: Unit root (assumes individual unit root process)
Im, Pesaran and Shin W-stat 18.3790 1.0000 30 198
ADF - Fisher Chi-square 1.30436 1.0000 30 198
PP - Fisher Chi-square 0.01404 1.0000 30 210
在选择检验方法是一般会选择LLC检验,我到底该选择哪一个,平稳还是不平稳,请高手指教?多谢!