criterio

000042400065227712986
Rsquared
0232411Mea
depe
de
tvar
0001368Sumsquaredresid0000869Schwarzcriterio

7625909
AdjustedRsquared0136462SDdepe
de
tvar
0005107Loglikelihood
1446902Fstatistic
2667294
SEofregressio
0004746Akaikei
focriterio

7737899Durbi
Watso
stat2102670ProbFstatistic
0000010
Sumsquaredresid0000721Schwarzcriterio

7520208
Loglikelihood
1481511Fstatistic
2422239
Durbi
Watso
stat2326934ProbFstatistic
0068529
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I1序列，其各项统计指标都比较显著。
7NCSA不含截距也不含趋势项的ADF检验
8NCSA一阶差分序列含截距不含趋势项的ADF检验
ADFTestStatistic1018883
1CriticalValue26243ADFTestStatistic40149475CriticalValue1949810CriticalValue16204
1CriticalValue36289
5CriticalValue29472
10CriticalValue
26118
MacKi
o
criticalvaluesforrejectio
ofhypothesisofau
itroot
MacKi
o
criticalvaluesforrejectio
ofhypothesisofau
itroot
Variable
Coefficie
tStdErrortStatistic
Prob
Variable
Coefficie
tStdErrortStatistic
Prob
NCSA1
00899280088261101888303151
DNCSA1
20429570508838401494700004
DNCSA1
04227790151977278186900085
DNCSA12
054002604420661221597
02314
Rsquared
0241799Mea
depe
de
tvar
AdjustedRsquared0220738SDdepe
de
tvar
SEofregressio
0006916Akaikei
focriterio

000015600078347058861
DNCSA22DNCSA32
C
035223603262021079809033898901850471831909000049400012030410284
028880076906845
Sumsquaredresid0001722Schwarzcriterio

6972672Rsquared
0776851Mea
depe
de
tvar
435E05
Loglikelihood
1361184Fstatistic
1148084AdjustedRsquared0747098SDdepe
de
tvar
0014004
Durbi
Watso
stat2134624ProbFstatistic
0001716SEofregressio
0007043Akaikei
fogriterio

6942123
Sumsquaredresid0001488Schwarzcriterio

6719930
Loglikelihood
1264871Fstatistic
2610986
Durbi
Watso
stat2020645ProbFstatistic
0000000
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I1序列，其各项统计指标都比较显著。
8
f9VALSA不含截距也不含趋势项的ADF检验
10VALSA一阶差分序列不含截距也不含趋势项的ADF检验
ADFTestStatistic0876433
1CriticalValue26243ADFTestStatistic6042109
1CriticalValue26261
5CriticalValue19498
5CriticalValue19501
10CriticalValue16204
10CriticalValue
16205
MacKi
o
criticalvaluesforrejectio
ofhypothesisofau
itroot
MacKi
o
criticalvaluesforrejectio
ofhypothesisofau
itroot
Variable
Coefficie
tStdErrorr