图2 变量一阶差分的数据图
1.GYSA不含截距也不含趋势项的ADF检验 2. GYSA一阶差分序列不含截距也不含趋势项ADF检验
ADF Test Statistic
-1.151073 1% Critical Value*
5% Critical Value 10% Critical Value
-2.6243 -1.9498 -1.6204
ADF Test Statistic
-8.889592 1% Critical Value*
5% Critical Value 10% Critical Value
-2.6261 -1.9501 -1.6205
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable GYSA(-1) D(GYSA(-1)) R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -0.149618 0.129981 -0.687136 0.090784
t-Statistic -1.151073 -7.568934
Prob. 0.2573 0.0000 -0.003295 0.092910 -3.384095 -3.297906 133.3267 0.000000
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable D(GYSA(-1)) D(GYSA(-1),2) R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error t-Statistic -2.298486 0.209776
0.258559 -8.889592 0.123327 1.700977
Prob. 0.0000 0.0978 0.002995 0.180429 -3.653347 -3.566270 779.3931 0.000000
0.787393 Mean dependent var 0.781488 S.D. dependent var 0.043431 Akaike info criterion 0.067905 Schwarz criterion 66.29781 F-statistic 2.382949 Prob(F-statistic)
0.957023 Mean dependent var 0.955795 S.D. dependent var 0.037935 Akaike info criterion 0.050367 Schwarz criterion 69.58692 F-statistic 2.273750 Prob(F-statistic)
由上表可知，我国实际经济增长速度的时间序列GYSA不是I(0)序列，因为在t值、F值等各项统计指标都比较显著的情况下，其ADF检验值均大于各临界值。而GYSA序列的一阶差分序列是平稳序列，其ADF检验值均小于各临界值，且t值、F值等指标都很显著，AIC值很小，残差平方和RSS也比较小，DW值基本离二较近说明自相关不是很强，同时可决系数R^2值也很理想，由此GYSA是一个一阶单整I(1)序列。
3.CAP1SA含截距不含趋势项的ADF检验 4. CAP1SA一阶差分序列不含截距也不含趋势项的ADF检验
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ADF Test Statistic
-1.790988 1% Critical Value*
5% Critical Value 10% Critical Value
-3.6117
ADF Test Statistic
-2.9399
-2.6080
10% Critical Value
-1.6205
5% Critical Value
-1.9501
-2.820694 1% Critical Value*
-2.6261
*MacKinnon critical values for rejection of hypothesis of a unit root.
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable CAP1SA(-1) D(CAP1SA(-1))
C
R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -0.064570 0.207895 0.097243
t-Statistic
Prob.
Variable
0.036053 -1.790988 0.157436 0.048787
1.320508 1.993205
0.0819
D(CAP1SA(-1))
0.1952
D(CAP1SA(-1),2)
0.0541
R-squared
0.127752 Mean dependent var 0.077909 S.D. dependent var 0.124359 Akaike info criterion 0.541281 Schwarz criterion 26.85700 F-statistic 2.110177 Prob(F-statistic)
0.022667
Adjusted R-squared
0.129506
S.E. of regression
-1.255632
Sum squared resid
-1.126349
Log likelihood
2.563098
Durbin-Watson stat
0.091454
2.041357 Prob(F-statistic)
0.000019
24.76295 F-statistic
24.38467
0.568078 Schwarz criterion
-1.143353
0.127400 Akaike info criterion
-1.230430
0.393783 S.D. dependent var
0.163627
0.410622 Mean dependent var
-0.001652
-0.234209
0.167085 -1.401730
0.1698
-0.575609
0.204066 -2.820694
0.0078
Coefficient Std. Error t-Statistic
Prob.
由上表可知，我国股票市场的资本化率一时间序列CAP1SA不是I(0)序列，因为在各项统计指标都比较显著的情况下，其ADF检验值均大于各临界值。而CAP1SA序列的一阶差分序列是平稳序列，其ADF检验值均小于各临界值。虽t值有点不太显著但AIC值却是最小的、其它F值等指标都比较显著，DW值几乎接近于二说明没有自相关，同时可决系数R^2值也可以接受，只是残差平方和RSS有点偏大。综上可判断GYSA是一个一阶单整I(1)序列。
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5. CAP2SA含截距也含趋势项的ADF检验 6. CAP2SA一阶差分序列不含截距也不含趋势项的ADF检验
ADF Test Statistic
-1.843425 1% Critical Value*
5% Critical Value 10% Critical Value
-4.2242 -3.5348 -3.1988
ADF Test Statistic
-2.835851 1% Critical Value*
5% Critical Value 10% Critical Value
-2.6261 -1.9501 -1.6205
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable CAP2SA(-1) D(CAP2SA(-1)) D(CAP2SA(-2))
C
@TREND(1995:1) R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -0.126401 0.283503 0.202240 0.037573 0.000112
t-Statistic
Prob. 0.0745 0.0815 0.1683 0.0527 0.4414 0.001368 0.005107 -7.737899 -7.520208 2.422239 0.068529
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable D(CAP2SA(-1)) D(CAP2SA(-1),2) R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -0.545157 -0.204520
t-Statistic
Prob. 0.0075 0.1265 0.000424 0.006522 -7.712986 -7.625909 26.67294 0.000010
0.068569 -1.843425 0.157634 0.143465 0.018670 0.000144
1.798490 1.409682 2.012431 0.779521
0.192238 -2.835851 0.130649 -1.565421
0.432490 Mean dependent var 0.416276 S.D. dependent var 0.004983 Akaike info criterion 0.000869 Schwarz criterion 144.6902 F-statistic 2.102670 Prob(F-statistic)
0.232411 Mean dependent var 0.136462 S.D. dependent var 0.004746 Akaike info criterion 0.000721 Schwarz criterion 148.1511 F-statistic 2.326934 Prob(F-statistic)
对于上表经相同的分析可知，我国股票市场的资本化率二时间序列CAP2SA是一个一阶单整I(1)序列，其各项统计指标都比较显著。
7. NCSA不含截距也不含趋势项的ADF检验 8. NCSA一阶差分序列含截距不含趋势项的ADF检验
ADF Test Statistic
-1.018883 1% Critical Value*
5% Critical Value 10% Critical Value
-2.6243 -1.9498 -1.6204
ADF Test Statistic
-4.014947 1% Critical Value*
5% Critical Value 10% Critical Value
-3.6289 -2.9472 -2.6118
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable NCSA(-1) D(NCSA(-1)) R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -0.089928 -0.422779
t-Statistic
Prob. 0.3151 0.0085 0.000156 0.007834 -7.058861 -6.972672 11.48084 0.001716
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable D(NCSA(-1)) D(NCSA(-1),2) D(NCSA(-2),2) D(NCSA(-3),2)
C
R-squared
Adjusted R-squared S.E. of regression Sum squared resid
Coefficient Std. Error -2.042957 0.540026 0.352236 0.338989 0.000494
t-Statistic
Prob. 0.0004 0.2314 0.2888 0.0769 0.6845 -4.35E-05 0.014004 -6.942123 -6.719930 26.10986 0.000000
0.088261 -1.018883 0.151977 -2.781869
0.508838 -4.014947 0.442066 0.326202 0.185047 0.001203
1.221597 1.079809 1.831909 0.410284
0.241799 Mean dependent var 0.220738 S.D. dependent var 0.006916 Akaike info criterion 0.001722 Schwarz criterion 136.1184 F-statistic 2.134624 Prob(F-statistic)
0.776851 Mean dependent var 0.747098 S.D. dependent var 0.007043 Akaike info griterion 0.001488 Schwarz criterion 126.4871 F-statistic 2.020645 Prob(F-statistic)
Log likelihood Durbin-Watson stat
对于上表经相同的分析可知，我国股票市场的季度净筹资率时间序列NCSA是一个一阶单整I(1)序列，其各项统计指标都比较显著。
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9. VALSA不含截距也不含趋势项的ADF检验 10. VALSA一阶差分序列不含截距也不含趋势项的ADF检验
ADF Test Statistic
-0.876433 1% Critical Value*
5% Critical Value 10% Critical Value
-2.6243 -1.9498 -1.6204
ADF Test Statistic
-6.042109 1% Critical Value*
5% Critical Value 10% Critical Value
-2.6261 -1.9501 -1.6205
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable VALSA(-1) D(VALSA(-1)) R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -0.068643 -0.427790
t-Statistic
Prob. 0.3866 0.0078 0.005433 0.209990 -0.466907 -0.380719 10.78243 0.002286
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable D(VALSA(-1)) D(VALSA(-1),2) R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -1.719690 0.174698
t-Statistic
Prob. 0.0000 0.3008 -0.000452 0.364262 -0.449605 -0.362528 99.79771 0.000000
0.078321 -0.876433 0.151687 -2.820213
0.284618 -6.042109 0.166345
1.050219
0.230480 Mean dependent var 0.209105 S.D. dependent var 0.186749 Akaike info criterion 1.255506 Schwarz criterion 10.87124 F-statistic 2.126977 Prob(F-statistic)
0.740352 Mean dependent var 0.732933 S.D. dependent var 0.188245 Akaike info criterion 1.240269 Schwarz criterion 10.31769 F-statistic 1.963891 Prob(F-statistic)
对于上表经相同的分析可知，我国股票市场的季度交易率时间序列VALSA是一个一阶单整I(1)序列，其各项统计指标中除t值和RSS值不太理想外其余都比较显著。
11. TR1SA不含截距不含趋势项的ADF检验 12. TR1SA一阶差分序列不含截距不含趋势项的ADF检验
ADF Test Statistic
-1.314222 1% Critical Value*
5% Critical Value 10% Critical Value
-2.6243 -1.9498 -1.6204
ADF Test Statistic
-4.542478 1% Critical Value*
5% Critical Value 10% Critical Value
-2.6280 -1.9504 -1.6206
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable TR1SA(-1) D(TR1SA(-1)) R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -0.111856 -0.163684
t-Statistic
Prob. 0.1971 0.3251 -0.000298 0.209679 -0.304862 -0.218673 3.666267 0.063497
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable D(TR1SA(-1)) D(TR1SA(-1),2) D(TR1SA(-2),2) R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -1.550653 0.309568 0.222367
t-Statistic
Prob. 0.0001 0.2562 0.1993 0.003923 0.335079 -0.213269 -0.081309 28.48031 0.000000
0.085112 -1.314222 0.164055 -0.997740
0.341367 -4.542478 0.267929 0.169757
1.155412 1.309912
0.092428 Mean dependent var 0.067217 S.D. dependent var 0.202510 Akaike info criterion 1.476367 Schwarz criterion 7.792369 F-statistic 2.004390 Prob(F-statistic)
0.633173 Mean dependent var 0.610941 S.D. dependent var 0.209004 Akaike info criterion 1.441532 Schwarz criterion 6.838834 F-statistic 2.056308 Prob(F-statistic)
对于上表经相同的分析可知，我国股票市场的季度周转率时间序列TR1SA是一个一阶单整I(1)序列，其各项统计指标除t值和RSS值不太显著外都比较显著。
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13. TR2SA不含截距不含趋势项的ADF检验 14. TR2SA一阶差分序列不含截距不含趋势项的ADF检验
ADF Test Statistic
-1.366435 1% Critical Value*
5% Critical Value 10% Critical Value
-2.6243 -1.9498 -1.6204
ADF Test Statistic
-4.701725 1% Critical Value*
5% Critical Value 10% Critical Value
-2.6280 -1.9504 -1.6206
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable TR2SA(-1) D(TR2SA(-1)) R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -0.117235 -0.146031
t-Statistic
Prob. 0.1803 0.3802 -0.003878 0.712504 2.144788 2.230977 3.538058 0.068083
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable D(TR2SA(-1)) D(TR2SA(-1),2) D(TR2SA(-2),2) R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -1.576923 0.349424 0.255109
t-Statistic
Prob. 0.0000 0.1928 0.1376 0.013803 1.128424 2.217756 2.349716 28.36333 0.000000
0.085796 -1.366435 0.164352 -0.888527
0.335392 -4.701725 0.262845 0.167650
1.329393 1.521675
0.089485 Mean dependent var 0.064193 S.D. dependent var 0.689256 Akaike info criterion 17.10266 Schwarz criterion -38.75097 F-statistic 2.002887 Prob(F-statistic)
0.632216 Mean dependent var 0.609926 S.D. dependent var 0.704767 Akaike info criterion 16.39098 Schwarz criterion -36.91961 F-statistic 2.056571 Prob(F-statistic)
对于上表经相同的分析可知，我国股票市场的季度周转率时间序列TR2SA是一个一阶单整I(1)序列，其各项统计指标都比较显著，除RSS值偏大。
15. TOSA不含截距不含趋势项的ADF检验 16. TOSA一阶差分序列不含截距不含趋势项的ADF检验
ADF Test Statistic
-1.066920 1% Critical Value*
5% Critical Value 10% Critical Value
-2.6280 -1.9504 -1.6206
ADF Test Statistic
-4.952496 1% Critical Value*
5% Critical Value 10% Critical Value
-2.6280 -1.9504 -1.6206
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable TOSA(-1) D(TOSA(-1)) D(TOSA(-2)) D(TOSA(-3)) R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -0.100121 -0.142202 -0.134399 -0.212808
t-Statistic
Prob. 0.2940 0.4233 0.4332 0.2155 -0.001442 0.070517 -2.416137 -2.240190 1.655295 0.196234
*MacKinnon critical values for rejection of hypothesis of a unit root.
Variable D(TOSA(-1)) D(TOSA(-1),2) D(TOSA(-2),2) R-squared
Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -1.632963 0.435125 0.253116
t-Statistic
Prob. 0.0000 0.0908 0.1333 0.001639 0.106677 -2.436738 -2.304778 25.62211 0.000000
0.093841 -1.066920 0.175331 -0.811047 0.169320 -0.793759 0.168402 -1.263695
0.329725 -4.952496 0.249761 0.164453
1.742165 1.539139
0.608282 Mean dependent var 0.584541 S.D. dependent var 0.068760 Akaike info criterion 0.156021 Schwarz criterion 46.86129 F-statistic 2.008148 Prob(F-statistic)
0.134337 Mean dependent var 0.053181 S.D. dependent var 0.068616 Akaike info criterion 0.150662 Schwarz criterion 47.49047 F-statistic 1.988105 Prob(F-statistic)
对于上表经相同的分析可知，我国股票市场的季度净筹资率时间序列NCSA是一个一阶单整I(1)序列，其各项统计指标除t值和RSS值不太显著外都比较显著。
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