我的结果怎么和你的大不一样？
以下是假定存在趋势项和截距项的检验结果，含单位根，且趋势项和截距项都不显著。需要变换检验形式（如根据图认定应该含趋势项，水平序列的检验可以到此为止了）。
Null Hypothesis: Y has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=3)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 3.123443 1.0000
Test critical values: 1% level -4.616209
5% level -3.710482
10% level -3.297799
*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 17
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(Y)
Method: Least Squares
Date: 05/25/10 Time: 00:44
Sample (adjusted): 1981 1997
Included observations: 17 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
Y(-1) 0.270919 0.086737 3.123443 0.0075
C 43.32105 157.8963 0.274364 0.7878
@TREND(1980) -107.9767 65.44738 -1.649825 0.1212
R-squared 0.761512 Mean dependent var 903.2165
Adjusted R-squared 0.727443 S.D. dependent var 593.8885
S.E. of regression 310.0515 Akaike info criterion 14.47014
Sum squared resid 1345847. Schwarz criterion 14.61718
Log likelihood -119.9962 Hannan-Quinn criter. 14.48475
F-statistic 22.35163 Durbin-Watson stat 1.446513
Prob(F-statistic) 0.000044
以下是假定检验形式包含截距项的结果。截距项不显著，还要再试。
Null Hypothesis: Y has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=3)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 6.136640 1.0000
Test critical values: 1% level -3.886751
5% level -3.052169
10% level -2.666593
*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 17
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(Y)
Method: Least Squares
Date: 05/25/10 Time: 00:46
Sample (adjusted): 1981 1997
Included observations: 17 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
Y(-1) 0.131809 0.021479 6.136640 0.0000
C 12.05364 165.5077 0.072828 0.9429
R-squared 0.715145 Mean dependent var 903.2165
Adjusted R-squared 0.696155 S.D. dependent var 593.8885
S.E. of regression 327.3643 Akaike info criterion 14.53016
Sum squared resid 1607511. Schwarz criterion 14.62818
Log likelihood -121.5063 Hannan-Quinn criter. 14.53990
F-statistic 37.65836 Durbin-Watson stat 1.049841
Prob(F-statistic) 0.000019
最后是无附加项的检验形式。结论是存在单位根过程。
Null Hypothesis: Y has a unit root
Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=3)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 2.161880 0.9888
Test critical values: 1% level -2.717511
5% level -1.964418
10% level -1.605603
*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 16
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(Y)
Method: Least Squares
Date: 05/25/10 Time: 00:49
Sample (adjusted): 1982 1997
Included observations: 16 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
Y(-1) 0.070787 0.032743 2.161880 0.0484
D(Y(-1)) 0.534993 0.269559 1.984697 0.0671
R-squared 0.763519 Mean dependent var 939.7656
Adjusted R-squared 0.746627 S.D. dependent var 593.2908
S.E. of regression 298.6398 Akaike info criterion 14.35282
Sum squared resid 1248601. Schwarz criterion 14.44940
Log likelihood -112.8226 Hannan-Quinn criter. 14.35777
Durbin-Watson stat 1.892850
直接说最后结果好了：这个序列是二阶单整的，经过必要处理再协整分析吧。
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