在处理时间数据的单位根检验的时候,我用eviews核对处理结果的时候发现,算出来的结果虽然很接近但是是不一样的,不知道差异在哪里,想使得matlab的处理结果和eviews的结果一致改怎么做?
这个是matlab里的代码:
[h pValue stat cValue reg]=adftest(DATA_1(:,U),'alpha',0.1,'lags',0,'model','TS','test','t1');
结果算出来是cValue=3.2055,
但是eviews的结果是这样的:
Null Hypothesis: NBCN has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=0)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.494339 0.0004
Test critical values: 1% level -4.234972
5% level -3.540328
10% level -3.202445
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(NBCN)
Method: Least Squares
Date: 05/01/15 Time: 10:42
Sample: 2005M08 2008M07
Included observations: 36
Variable Coefficient Std. Error t-Statistic Prob.
NBCN(-1) -0.910876 0.165784 -5.494339 0.0000
C 6.41E-05 0.003180 0.020147 0.9840
@TREND(2005M08) 9.76E-05 0.000155 0.627899 0.5344
R-squared 0.479662 Mean dependent var -0.000436
Adjusted R-squared 0.448127 S.D. dependent var 0.013042
S.E. of regression 0.009688 Akaike info criterion -6.356115
Sum squared resid 0.003098 Schwarz criterion -6.224155
Log likelihood 117.4101 Hannan-Quinn criter. -6.310057
F-statistic 15.21017 Durbin-Watson stat 1.971169
Prob(F-statistic) 0.000021
求问问题出在哪里呀??
2015-5-1 11:08 上传
单位根检验结果