1、单位根检验Null Hypothesis: M has a unit rootExogenous: ConstantLag Length: 0 (Automatic based on SIC, MAXLAG=4)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -3.405071 0.0226Test critical values: 1% level -3.7880305% level -3.01236310% level -2.646119*MacKinnon (1996) one-sided p-values.Augment
2、ed Dickey-Fuller Test EquationDependent Variable: D(M)Method: Least SquaresDate: 05/16/12 Time: 00:12Sample (adjusted): 1991 2011Included observations: 21 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob. M(-1) -0.528424 0.155187 -3.405071 0.0030C 58.46429 17.09853 3.419258 0.0029R-
3、squared 0.378974 Mean dependent var 0.257143Adjusted R-squared 0.346288 S.D. dependent var 2.168080S.E. of regression 1.752946 Akaike info criterion 4.050866Sum squared resid 58.38358 Schwarz criterion 4.150344Log likelihood -40.53409 Hannan-Quinn criter. 4.072455F-statistic 11.59451 Durbin-Watson s
4、tat 1.015421Prob(F-statistic) 0.0029701021041061081012141699294969800204060810MNull Hypothesis: Y has a unit rootExogenous: ConstantLag Length: 0 (Automatic based on SIC, MAXLAG=4)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -1.390127 0.5672Test critical values: 1% level -3.7880305% leve
5、l -3.01236310% level -2.646119*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(Y)Method: Least SquaresDate: 05/16/12 Time: 00:13Sample (adjusted): 1991 2011Included observations: 21 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob. Y(-1
6、) -0.190396 0.136963 -1.390127 0.1806C 22.46495 16.68284 1.346590 0.1940R-squared 0.092319 Mean dependent var -0.685714Adjusted R-squared 0.044546 S.D. dependent var 4.626214S.E. of regression 4.522001 Akaike info criterion 5.946179Sum squared resid 388.5214 Schwarz criterion 6.045657Log likelihood
7、-60.43488 Hannan-Quinn criter. 5.967768F-statistic 1.932453 Durbin-Watson stat 1.579678Prob(F-statistic) 0.180563继续对进行y一阶检验Null Hypothesis: D(Y) has a unit rootExogenous: Constant, Linear TrendLag Length: 0 (Automatic based on SIC, MAXLAG=4)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -3
8、.499911 0.0667Test critical values: 1% level -4.4983075% level -3.65844610% level -3.268973*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(Y,2)Method: Least SquaresDate: 05/16/12 Time: 00:36Sample (adjusted): 1992 2011Included observations: 20 after ad
9、justmentsVariable Coefficient Std. Error t-Statistic Prob. D(Y(-1) -0.877863 0.250824 -3.499911 0.0027C -0.182749 2.501866 -0.073045 0.9426TREND(1990) -0.035799 0.193807 -0.184713 0.8556R-squared 0.423939 Mean dependent var -0.231000Adjusted R-squared 0.356167 S.D. dependent var 6.201847S.E. of regr
10、ession 4.976311 Akaike info criterion 6.184736Sum squared resid 420.9824 Schwarz criterion 6.334096Log likelihood -58.84736 Hannan-Quinn criter. 6.213892F-statistic 6.255389 Durbin-Watson stat 1.829239Prob(F-statistic) 0.009204101512012513013514099294969800204060810YDependent Variable: CPIMethod: Le
11、ast SquaresDate: 05/16/12 Time: 00:12Sample: 1990 2011Included observations: 22Variable Coefficient Std. Error t-Statistic Prob. C -39.85182 42.48328 -0.938059 0.3600M 0.741170 0.412914 1.794972 0.0886Y 0.519838 0.137941 3.768551 0.0013R-squared 0.573063 Mean dependent var 104.7773Adjusted R-squared 0.528122 S.D. dependent var 6.363956S.E. of regression 4.371615 Akaike info criterion 5.914266Sum squared resid 363.1094 Schwarz criterion 6.063045Log likelihood -62.05693 Hannan-Quinn criter. 5.949314F-statistic 12.75152 Durbin-Watson stat 1.468640Prob(F-statistic) 0.000308
