序列平稳性及白噪声性检验.docVIP

问題一：对实吩3数|g\上证指数对数收益率”检验其平Wttft白噪声牧 Null Hypothesis: SER01 has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=17) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.138704 0.7017 Test critical values: 1 % level 5% level 10% level -3.443663 -2.867304 -2.569902 如表1所示,t-Statistic为-1.138704,显著水平为0.0k 0.05. 0.10时的临界值分别为 ■3.443663、-2.867304、-2.2569902, 无並显蓍水平为 0.01. 0.05 还是 0.10,序列 SJ是 非平总的。 表2二阶差什序列的单位根枪验 Null Hypothesis: D(X?2) has a unit root Exogenous: Constant Lag Length: 5 (Automatic based on SIC, MAXLAG=17) t-Statistic Prob/ Augmented Dickey-Fuller tes