C
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)
26.14289 15.39969 1.697624 0.0902 -1.818745 35.19913 9.959271 9.975777 9.965740 2.011231
0.006463 Mean dependent var 0.004522 S.D. dependent var 35.11945 Akaike info criterion 631488.3 Schwarz criterion -2557.533 Hannan-Quinn criter. 3.330565 Durbin-Watson stat 0.068586
没有通过检验，进行一阶差分。 再单位根检验
Null Hypothesis: X1 has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=18)
t-Statistic -22.88063 -3.442869 -2.866954 -2.569715
Prob.* 0.0000
t-Statistic -22.88063 -1.231115
Prob. 0.0000 0.2188 -0.068922 50.06507 9.965044
Std. Error 0.044179 1.557134
Augmented Dickey-Fuller test statistic Test critical values:
1% level 5% level 10% level
*MacKinnon (1996) one-sided p-values.
Dependent Variable: D(X1) Method: Least Squares Date: 04/18/11 Time: 15:25
Sample (adjusted): 1/05/2011 12/21/2012 Included observations: 513 after adjustments
Variable X1(-1) C R-squared
Adjusted R-squared S.E. of regression
Coefficient -1.010846 -1.917011
Augmented Dickey-Fuller Test Equation
0.506053 Mean dependent var 0.505086 S.D. dependent var 35.22083 Akaike info criterion