关于上证综指的时间序列模型分析(3)

三、 平稳性检验

Null Hypothesis: X has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=18)

t-Statistic -1.824983 -3.442845 -2.866943 -2.569709

Prob.* 0.3683

t-Statistic -1.824983

Prob. 0.0686

Std. Error 0.005688

Augmented Dickey-Fuller test statistic Test critical values:

1% level 5% level 10% level

*MacKinnon (1996) one-sided p-values.

Dependent Variable: D(X) Method: Least Squares Date: 04/18/11 Time: 15:23

Sample (adjusted): 1/04/2011 12/21/2012 Included observations: 514 after adjustments

Variable X(-1)

Coefficient -0.010380

Augmented Dickey-Fuller Test Equation

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