在用ADF做单位根检验的时候,里面要选择用AIC还是SIC 我用AIC准则做出的结果p值是0.795,接受原假设说明存在单位根,但是如果用SIC准则做出的结果p值只有0.03,拒绝原假设序列平稳,那应该以哪个为准?
输出结果AIC:
Null Hypothesis: SGDP has a unit root
Exogenous: Constant
Lag Length: 9 (Automatic - based on AIC, maxlag=10)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -0.848464 0.7954
Test critical values: 1% level -3.581152
5% level -2.926622
10% level -2.601424
*MacKinnon (1996) one-sided p-values.
输出结果SIC:
Null Hypothesis: SGDP has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.087464 0.0335
Test critical values: 1% level -3.557472
5% level -2.916566
10% level -2.596116