atistic1790988
1CriticalValue361175CriticalValue2939910CriticalValue26080
MacKi
o
criticalvaluesforrejectio
ofhypothesisofau
itroot
Variable
Coefficie
tStdErrortStatistic
Prob
CAP1SA1DCAP1SA1
C
006457000360531790988020789501574361320508009724300487871993205
008190195200541
Rsquared
0127752Mea
depe
de
tvar
AdjustedRsquared0077909SDdepe
de
tvar
SEofregressio
0124359Akaikei
focriterio

Sumsquaredresid0541281Schwarzcriterio

Loglikelihood
2685700Fstatistic
Durbi
Watso
stat2110177ProbFstatistic
002266701295061255632112634925630980091454
ADFTestStatistic28206941CriticalValue5CriticalValue10CriticalValue
262611950116205
MacKi
o
criticalvaluesforrejectio
ofhypothesisofau
itroot
Variable
Coefficie
tStdErrortStatistic
Prob
DCAP1SA1057560902040662820694DCAP1SA12023420901670851401730
0007801698
Rsquared
0410622Mea
depe
de
tvar
AdjustedRsquared0393783SDdepe
de
tvar
SEofregressio
0127400Akaikei
focriterio

Sumsquaredresid0568078Schwarzcriterio

Loglikelihood
2476295Fstatistic
Durbi
Watso
stat2041357ProbFstatistic
000165201636271230430114335324384670000019
由上表可知，我国股票市场的资本化率一时间序列CAP1SA不是I0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R2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I1序列。
7
f5CAP2SA含截距也含趋势项的ADF检验
6CAP2SA一阶差分序列不含截距也不含趋势项的ADF检验
ADFTestStatistic1843425
1CriticalValue42242ADFTestStatistic28358515CriticalValue3534810CriticalValue31988
1CriticalValue26261
5CriticalValue19501
10CriticalValue
16205
MacKi
o
criticalvaluesforrejectio
ofhypothesisofau
itroot
MacKi
o
criticalvaluesforrejectio
ofhypothesisofau
itroot
Variable
Coefficie
tStdErrortStatistic
Prob
Variable
Coefficie
tStdErrortStatistic
Prob
CAP2SA1
01264010068569184342500745
DCAP2SA105451570192238283585100075
DCAP2SA102835030157634179849000815DCAP2SA1202045200130649156542101265
DCAP2SA2020224001434651409682
C
003757300186702012431
TREND19951000011200001440779521
016830052704414
RsquaredAdjustedRsquaredSEofregressio

0432490Mea
depe
de
tvar0416276SDdepe
de
tvar0004983Akaikei
for