在对一组GDP序列取对数并进行一阶差分处理后进行单位根检验,检测出 带有常数项和趋势项的单位根检验拒绝原假设,并且趋势线系数显著不为零 ,然后 仅带常数项的单位根检验也拒绝原假设,并且常数项系数显著不为零 ,什么都不带的单位根检验结果没有通过, 我比较了
带有常数项和趋势项的单位根检验及仅带常数项的单位根检验结果的AIC SC HQ,发现带有常数项和趋势项的单位根检验都比较小,那么能推断出该序列是趋势性的平稳序列吗? 还有就是带有常数项和趋势项的平稳性不是说实际上是非平稳的吗?对于趋势性平稳咋怎么处理呢?
新手,求各位大神只招
常数项及趋势项检验结果
Dependent Variable: D(LNGDP,2)
Method: Least Squares
Date: 10/26/18 Time: 15:46
Sample (adjusted): 1953 2017
Included observations: 65 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LNGDP(-1)) -0.940947 0.159200 -5.910481 0.0000
D(LNGDP(-1),2) 0.396380 0.133924 2.959739 0.0044
D(LNGDP(-2),2) 0.273010 0.124440 2.193907 0.0321
C 0.030847 0.023603 1.306912 0.1962
@TREND("1949") 0.001943 0.000656 2.961946 0.0044
R-squared 0.390177 Mean dependent var -0.000202
Adjusted R-squared 0.349523 S.D. dependent var 0.106349
S.E. of regression 0.085772 Akaike info criterion -2.000434
Sum squared resid 0.441415 Schwarz criterion -1.833173
Log likelihood 70.01409 Hannan-Quinn criter. -1.934438
F-statistic 9.597318 Durbin-Watson stat 1.913825
Prob(F-statistic) 0.000005
常数项检验结果
Null Hypothesis: D(LNGDP) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.893937 0.0001
Test critical values: 1% level -3.533204
5% level -2.906210
10% level -2.590628
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNGDP,2)
Method: Least Squares
Date: 10/26/18 Time: 15:46
Sample (adjusted): 1952 2017
Included observations: 66 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LNGDP(-1)) -0.607762 0.124187 -4.893937 0.0000
D(LNGDP(-1),2) 0.196642 0.123338 1.594328 0.1159
C 0.065611 0.017352 3.781136 0.0003
R-squared 0.283734 Mean dependent var 0.000659
Adjusted R-squared 0.260996 S.D. dependent var 0.105759
S.E. of regression 0.090916 Akaike info criterion -1.913365
Sum squared resid 0.520744 Schwarz criterion -1.813835
Log likelihood 66.14105 Hannan-Quinn criter. -1.874036
F-statistic 12.47811 Durbin-Watson stat 2.058258
Prob(F-statistic) 0.000027