1、Augmented Dickey-Fuller test statistic1.9939371.0000Test critical values:1% level-4.3943095% level-3.61219910% level-3.243079*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(GDP)Method: Least SquaresDate: 01/07/14 Time: 10:03Sample (adjusted): 1983 2006
2、Included observations: 24 after adjustmentsVariableCoefficientStd. ErrorProb.GDP(-1)0.0692060.0347080.0625D(GDP(-1)1.0788250.2399344.4963420.0003D(GDP(-2)-0.8609460.406194-2.1195450.0491D(GDP(-3)0.7283860.5018471.4514110.1649D(GDP(-4)-0.8137880.350036-2.3248690.0327C-402.47001591.446-0.2528960.8034T
3、REND(1980)161.2485214.69150.7510710.4629R-squared0.944348Mean dependent var8564.483Adjusted R-squared0.924706S.D. dependent var7687.518S.E. of regression2109.437Akaike info criterion18.38472Sum squared residSchwarz criterion18.72832Log likelihood-213.6167Hannan-Quinn criter.18.47588F-statistic48.078
4、16Durbin-Watson stat2.069518Prob(F-statistic)0.000000gdp序列以最大的p值,即100%的显著性接受原假设,即存在单位根。第二步检验gdp一阶差分的平稳性,结果如下:在16.66%的显著性水平下接受原假设,存在单位根,序列非平稳第三步:检验gdp二阶差分的平稳性,选择无常数项,趋势项,滞后阶数为0,结果如下: D2GDP has a unit root Constant 0 (Automatic - based on SIC, maxlag=0)-3.2916260.0258-3.711457-2.981038-2.629906 D(D2GD
5、P)15 1981 2006 26 after adjustmentsD2GDP(-1)-0.6330420.1923190.0031687.3110496.77491.3835460.17920.311034113.38080.2823272799.8552371.91418.454591.35E+0818.55136-237.909618.4824510.834801.8685800.003074T统计值小于相关临界值故认为是没有单位根的,由上述结果可见gdp序列是二阶单整序列第四步检验ln(gdp)稳定性 LNGDP has a unit root 4 (Automatic - based on SIC, maxlag=6)-1.0551470.7160-3.73
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