金融计量学单位根检验法推荐.ppt

KPSS检验结果 Null Hypothesis: SP500 is stationary Exogenous: Constant, Linear Trend Bandwidth: 21 (Newey-West using kernel) LM-Stat. Kwiatkowski-Phillips-Schmidt-Shin test statistic ?0.644243 Asymptotic critical values*: 1% level ?0.216000 5% level ?0.146000 10% level ?0.119000 *Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)? Residual variance (no correction) ?55606.99 HAC corrected variance ( kernel) ?1144694. KPSS Test Equation Dependent Variable: SP500 Method: Least Squares Sample: 02 04 Included observations: 687 Coefficient Std. Error t-Statistic Prob.?? C -255.9601 18.00012 -14.21991 0.0000 @TREND(02) 1.732902 0.045431 38.14348 0.0000 R-squared 0.679895 ????Mean dependent var 338.4255 Adjusted R-squared 0.679428 ????S.D. dependent var 417.0950 S.E. of regression 236.1553 ????Akaike info criterion 13.76976 Sum squared resid????Schwarz criterion 13.78296 Log likelihood -4727.914 ????Hannan-Quinn criter. 13.77487 F-statistic 1454.925 ????Durbin-Watson stat 0.008781 Prob(F-statistic) 0.000000 ERS点最优检验结果 Null Hypothesis: SP500 has a unit root Exogenous: Constant, Linear Trend Lag length: 0 (Spectral based on SIC, MAXLAG=19) Sample: 02 04 Included observations: 687 P-Statistic Elliott-Rothenberg-Stock test statistic ?54.40913 Test critical values: 1% level ?3.960000 5% level ?5.620000 10% level ?6.890000 *Elliott-Rothenberg-Stock (1996, Table 1)? HAC corrected variance (Spectral OLS autoregression) ?484.6796 Ng-Perron检验结果 Null Hypothesis: SP500 has a unit root Exogenous: Constant, Linear Trend Lag length: 0 (Spectral GLS-detrended AR based on SIC, MAXLAG=19) Sample: 02 04 Included observations: 687 ???MZa ???MZt ???MSB ???MPT Ng-Perron test statistics -0.41033 -0.19515 0.47560 53.0149 Asymptotic critical values*: 1% -23.8000 -3.42000 0.14300 4.03000 5% -17.3000 -2.91000 0.16800 5.48000 10% -14.2000 -2.62000 0.18500 6.67000 *Ng-Perron (2001, Table 1)? HAC corrected variance (Spectral GLS-detrended AR) ?489.3821 面板单位根检验结果 Group unit root test: Summary Se