时序图判断平稳性.docVIP

时序图判断平稳性，图形有明显的上升趋势，直观看该时间序列为非平稳序列。 Date: 05/29/17 Time: 09:35 Sample: 1994 2014 Included observations: 21 Autocorrelation Partial Correlation AC? ?PAC ?Q-Stat ?Prob ?????. |******| ?????. |******| 1 0.864 0.864 18.039 0.000 ?????. |***** | ?????. *| . | 2 0.711 -0.143 30.886 0.000 ?????. |**** | ?????. *| . | 3 0.546 -0.132 38.889 0.000 ?????. |*** | ?????. *| . | 4 0.380 -0.109 42.988 0.000 ?????. |**. | ?????. | . | 5 0.237 -0.023 44.678 0.000 ?????. |* . | ?????. | . | 6 0.109 -0.062 45.057 0.000 ?????. | . | ?????. *| . | 7 -0.012 -0.100 45.062 0.000 ?????. *| . | ?????. | . | 8 -0.108 -0.030 45.494 0.000 ?????. *| . | ?????. | . | 9 -0.185 -0.048 46.873 0.000 ?????.**| . | ?????. | . | 10 -0.247 -0.061 49.562 0.000 ?????.**| . | ?????. | . | 11 -0.295 -0.061 53.758 0.000 ?????.**| . | ?????. | . | 12 -0.328 -0.051 59.534 0.000  由上图知序列非平稳 单位根检验 Null Hypothesis: Y has a unit root Exogenous: Constant Lag Length: 3 (Automatic - based on SIC, maxlag=4) t-Statistic ??Prob.* Augmented Dickey-Fuller test statistic -4.034216 ?0.0075 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 对原始数据进行处理 一阶差分的单位根检验 Null Hypothesis: D(Y) has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic - based on SIC, maxlag=4) t-Statistic ??Prob.* Augmented Dickey-Fuller test statistic -1.758129 ?0.6843 Test critical values: 1% level -4.532598 5% level -3.673616 10% level -3.277364 *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 19  Null Hypothesis: D(Y,2) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=4) t-Statistic ??Prob.* Augmented Dickey-Fuller te