方程第5题ARIMA模型-例5.9建立中国GDP对数序列的ARIMA模型

ARIMA模型第一步：gdp序列的平稳性检验。用ADF单位根检验：Null Hypothesis: GDP has a unit rootExogenous: Constant, Linear Tre

5. ARIMA 模型 gdpADF 第一步：序列的平稳性检验。用单位根检验： NullHypothesis:GDPhasaunitroot Exogenous:Constant,LinearTrend LagLength:4(Automatic-basedonSIC,maxlag=4) t-Statistic Prob.* AugmentedDickey-Fullerteststatistic 1.993937 1.0000 Testcriticalvalues: 1%level -4.394309 5%level -3.612199 10%level -3.243079 *MacKinnon(1996)one-sidedp-values. AugmentedDickey-FullerTestEquation DependentVariable:D(GDP) Method:LeastSquares Date:01/07/14Time:10:03 Sample(adjusted):19832006 Includedobservations:24afteradjustments Variable Coefficient Std.Error t-Statistic Prob. GDP(-1) 0.069206 0.034708 1.993937 0.0625 D(GDP(-1)) 1.078825 0.239934 4.496342 0.0003 D(GDP(-2)) -0.860946 0.406194 -2.119545 0.0491 D(GDP(-3)) 0.728386 0.501847 1.451411 0.1649 D(GDP(-4)) -0.813788 0.350036 -2.324869 0.0327 C -402.4700 1591.446 -0.252896 0.8034 @TREND(1980) 161.2485 214.6915 0.751071 0.4629 R-squared 0.944348 Meandependentvar 8564.483 AdjustedR-squared 0.924706 S.D.dependentvar 7687.518 S.E.ofregression 2109.437 Akaikeinfocriterion 18.38472 Sumsquaredresid 75645293 Schwarzcriterion 18.72832 Loglikelihood -213.6167 Hannan-Quinncriter. 18.47588