三 平稳性检验
Augmented dickey_fuller unit root test on D (Y1,2)
ADF Test Statistic -4.437656 1% Critical Value* -4.9893
5% Critical Value -3.8730
10% Critical Value -3.3820
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(Y,3)
Method: Least Squares
Date: 06/15/05 Time: 20:08
Sample(adjusted): 1991 2002
Included observations: 12 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(Y(-1),2) -4.375878 0.986079 -4.437656 0.0044
D(Y(-1),3) 2.926325 0.916754 3.192051 0.0188
D(Y(-2),3) 1.543661 0.819069 1.884653 0.1085
D(Y(-3),3) 2.202980 0.575242 3.829660 0.0087
C -0.000291 0.000166 -1.748557 0.1310
@TREND(1985) 5.07E-05 1.75E-05 2.902600 0.0272
R-squared 0.963765 Mean dependent var -4.17E-09
Adjusted R-squared 0.933569 S.D. dependent var 0.000517
S.E. of regression 0.000133 Akaike info criterion -14.70026
Sum squared resid 1.07E-07 Schwarz criterion -14.45781
Log likelihood 94.20157 F-statistic 31.91688
Durbin-Watson stat 2.451776 Prob(F-statistic) 0.000300
Augmented dickey_fuller unit root test on D (x1,1)
ADF Test Statistic -3.492868 1% Critical Value* -4.8025
5% Critical Value -3.7921
10% Critical Value -3.3393
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(X1)
Method: Least Squares
Date: 06/15/05 Time: 20:18
Sample(adjusted): 1989 2002
Included observations: 14 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
X1(-1) -0.992938 0.284276 -3.492868 0.0082
D(X1(-1)) 1.061082 0.256535 4.136217 0.0033
D(X1(-2)) -0.039339 0.273775 -0.143691 0.8893
D(X1(-3)) 0.445943 0.228731 1.949638 0.0870
C 7.54E-05 5.07E-05 1.486021 0.1756
@TREND(1985) 8.97E-05 2.50E-05 3.595067 0.0070
R-squared 0.779700 Mean dependent var 8.81E-05
Adjusted R-squared 0.642013 S.D. dependent var 0.000102
S.E. of regression 6.08E-05 Akaike info criterion -16.27936
Sum squared resid 2.96E-08 Schwarz criterion -16.00547
Log likelihood 119.9555 F-statistic 5.662833
Durbin-Watson stat 2.501918 Prob(F-statistic) 0.015901
Augmented dickey_fuller unit root test on D (x2,2)
ADF Test Statistic -3.882038 1% Critical Value* -4.7315
5% Critical Value -3.7611
10% Critical Value -3.3228
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(X2,3)
Method: Least Squares
Date: 06/14/05 Time: 10:56
Sample(adjusted): 1988 2002
Included observations: 15 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(X2(-1),2) -1.199581 0.309008 -3.882038 0.0022
C 3.895265 13.93562 0.279519 0.7846
@TREND(1985) -0.236996 1.283314 -0.184675 0.8566
R-squared 0.563244 Mean dependent var 1.453333
Adjusted R-squared 0.490452 S.D. dependent var 29.42530
S.E. of regression 21.00456 Akaike info criterion 9.104213
Sum squared resid 5294.301 Schwarz criterion 9.245823
Log likelihood -65.28160 F-statistic 7.737652
Durbin-Watson stat 2.152035 Prob(F-statistic) 0.006941
Augmented dickey_fuller unit root test on D (x3)
ADF Test Statistic -4.293548 1% Critical Value* -4.6712
5% Critical Value -3.7347
10% Critical Value -3.3086
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(X3,2)
Method: Least Squares
Date: 06/15/05 Time: 20:23
Sample(adjusted): 1987 2002
Included observations: 16 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(X3(-1)) -1.151016 0.268080 -4.293548 0.0009
C -1.36E-05 6.83E-06 -1.986861 0.0684
@TREND(1985) 3.48E-06 9.74E-07 3.572892 0.0034
R-squared 0.586622 Mean dependent var 1.56E-06
Adjusted R-squared 0.523025 S.D. dependent var 1.50E-05
S.E. of regression 1.04E-05 Akaike info criterion -19.94795
Sum squared resid 1.40E-09 Schwarz criterion -19.80309
Log likelihood 162.5836 F-statistic 9.224093
Durbin-Watson stat 2.128125 Prob(F-statistic) 0.003208
Pairwise Granger Causality Tests
Date: 06/15/05 Time: 20:26
Sample: 1985 2002
Lags: 1
Null Hypothesis: Obs F-Statistic Probability
X1 does not Granger Cause Y 17 1.27559 0.27770
Y does not Granger Cause X1 1.34361 0.26579
滞后长度1 结论:X1→Y 拒绝
Y →X1 拒绝
Pairwise Granger Causality Tests
Date: 06/15/05 Time: 20:27
Sample: 1985 2002
Lags: 1
Null Hypothesis: Obs F-Statistic Probability
X2 does not Granger Cause Y 17 5.20861 0.03863
Y does not Granger Cause X2 1.54629 0.23411
滞后长度1 结论:X2→Y 接受
Y →X2 拒绝
Pairwise Granger Causality Tests
Date: 06/15/05 Time: 20:29
Sample: 1985 2002
Lags: 2
Null Hypothesis: Obs F-Statistic Probability
X3 does not Granger Cause Y 16 4.39300 0.03960
Y does not Granger Cause X3 5.59132 0.02111
滞后长度2 结论:X3→Y 接受
Y →X3 接受
五 参数的估计
Dependent Variable: Y
Method: Least Squares
Date: 06/15/05 Time: 20:25
Sample: 1985 2002
Included observations: 18
Variable Coefficient Std. Error t-Statistic Prob.
C -0.019382 0.000828 -23.41670 0.0000
X1 0.632989 0.395458 1.600647 0.1318
X2 -3.54E-07 1.33E-06 -0.265586 0.7944
X3 21.98803 1.213396 18.12106 0.0000
R-squared 0.995934 Mean dependent var 0.002320
Adjusted R-squared 0.995063 S.D. dependent var 0.002195
S.E. of regression 0.000154 Akaike info criterion -14.52355
Sum squared resid 3.33E-07 Schwarz criterion -14.32569
Log likelihood 134.7120 F-statistic 1143.175
Durbin-Watson stat 0.997884 Prob(F-statistic) 0.000000
得Y=-0.019382+0.632989X1-3.54E-07X2+21.98803X3
T (-23.41670)(1.600647)(-0.265586)(18.12106)
可决系数R^2=0.995934 修正值为0.995063