11第十一讲 VAR模型分析(未完).docVIP

第十一讲 Null Hypothesis: EXPO has a unit root Exogenous: Constant Lag Length: 4 (Automatic based on SIC, MAXLAG=9) t-Statistic ??Prob.* Augmented Dickey-Fuller test statistic ?9.284723 ?1.0000 Test critical values: 1% level -3.626784 5% level -2.945842 10% level -2.611531 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(EXPO) Method: Least Squares Date: 07/13/11 Time: 16:47 Sample (adjusted): 1956 1991 Included observations: 36 after adjustments Coefficient Std. Error t-Statistic Prob.?? EXPO(-1) 1.626195 0.175147 9.284723 0.0000 D(EXPO(-1)) -1.958633 0.269551 -7.266284 0.0000 D(EXPO(-2)) -3.058202 0.307329 -9.950920 0.0000 D(EXPO(-3)) 0.277049 0.502434 0.551414 0.5854 D(EXPO(-4)) -3.577480 0.502515 -7.119146 0.0000 C -86.01431 13.89252 -6.191412 0.0000 R-squared 0.960047 ????Mean dependent var 105.0528 Adjusted R-squared 0.953388 ????S.D. dependent var 228.0100 S.E. of regression 49.22676 ????Akaike info criterion 10.78176 Sum squared resid 72698.22 ????Schwarz criterion 11.04568 Log likelihood -188.0717 ????Hannan-Quinn criter. 10.87388 F-statistic 144.1770 ????Durbin-Watson stat 1.770561 Prob(F-statistic) 0.000000  Null Hypothesis: D(EXPO) has a unit root Exogenous: Constant Lag Length: 5 (Automatic based on SIC, MAXLAG=9) t-Statistic ??Prob.* Augmented Dickey-Fuller test statistic ?5.824290 ?1.0000 Test critical values: 1% level -3.639407 5% level -2.951125 10% level -2.614300 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(EXPO,2) Method: Least Squares Date: 07/13/11 Time: 16:48 Sample (adjusted): 1958 1991 Included observations: 34 after adjustments Coefficient Std. Error t-Statistic Prob.?? D(EXPO(