ADF Test Statistic -3.330795 1% Critical Value* -4.8870
5% Critical Value -3.8288
10% Critical Value -3.3588
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(Y)
Method: Least Squares
Date: 06/07/05 Time: 20:03
Sample(adjusted): 1991 2003
Included observations: 13 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
Y(-1) -0.413658 0.124192 -3.330795 0.0088
D(Y(-1)) 0.882844 0.196130 4.501328 0.0015
C 2072.293 786.5503 2.634661 0.0272
@TREND(1989) 752.9303 243.6873 3.089739 0.0129
R-squared 0.728585 Mean dependent var 1694.592
Adjusted R-squared 0.638113 S.D. dependent var 1480.465
S.E. of regression 890.6042 Akaike info criterion 16.66934
Sum squared resid 7138582. Schwarz criterion 16.84317
Log likelihood -104.3507 F-statistic 8.053172
Durbin-Watson stat 1.926147 Prob(F-statistic) 0.006448
即有:Δ^Y=2072.293+752.9303t-0.413658Yt-1+0.882844ΔYt-1
其中:P=1,N=13,单位根的τ检验结果为(H0:γ=1):τ=-0.413658/0.124192=-3.330795。
由表中给出的Mackinnon临界值显示,我们是不能拒绝H0的,表明1989-2003年度的Y序列可能是非平稳序列。这点也可由Y的时序图得到验证。(见下图)