a.首先我们对数据进行平稳性检验
ADF Test Statistic -3.058627 1% Critical Value* -4.5743
5% Critical Value -3.6920
10% Critical Value -3.2856
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(X,2)
Method: Least Squares
Date: 12/31/04 Time: 13:04
Sample(adjusted): 1985 2002
Included observations: 18 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(X(-1)) -0.422072 0.137994 -3.058627 0.0085
D(X(-1),2) 0.691088 0.194846 3.546833 0.0032
C 35.72984 72.13806 0.495298 0.6281
@TREND(1982) 11.78686 7.104965 1.658961 0.1194
R-squared 0.540031 Mean dependent var 25.05556
Adjusted R-squared 0.441466 S.D. dependent var 166.4701
S.E. of regression 124.4116 Akaike info criterion 12.67820
Sum squared resid 216695.6 Schwarz criterion 12.87606
Log likelihood -110.1038 F-statistic 5.478941
Durbin-Watson stat 1.938281 Prob(F-statistic) 0.010571