tStatistic
Prob
Variable
Coefficie
tStdErrortStatistic
Prob
VALSA1DVALSA1
006864300783210876433042779001516872820213
0386600078
DVALSA1DVALSA12
171969002846186042109017469801663451050219
0000003008
Rsquared
0230480Mea
depe
de
tvar
AdjustedRsquared0209105SDdepe
de
tvar
SEofregressio
0186749Akaikei
focriterio

Sumsquaredresid1255506Schwarzcriterio

Loglikelihood
1087124Fstatistic
Durbi
Watso
stat2126977ProbFstatistic
0005433Rsquared
0740352Mea
depe
de
tvar
0209990AdjustedRsquared0732933SDdepe
de
tvar
0466907SEofregressio
0188245Akaikei
focriterio

0380719Sumsquaredresid1240269Schwarzcriterio

1078243Loglikelihood
1031769Fstatistic
0002286Durbi
Watso
stat1963891ProbFstatistic
000045203642620449605036252899797710000000
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I1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。
11TR1SA不含截距不含趋势项的ADF检验
12TR1SA一阶差分序列不含截距不含趋势项的ADF检验
ADFTestStatistic1314222
1CriticalValue26243ADFTestStatistic4542478
1CriticalValue26280
5CriticalValue19498
5CriticalValue19504
10CriticalValue16204
10CriticalValue
16206
MacKi
o
criticalvaluesforrejectio
ofhypothesisofau
itroot
MacKi
o
criticalvaluesforrejectio
ofhypothesisofau
itroot
Variable
Coefficie
tStdErrortStatistic
Prob
Variable
Coefficie
tStdErrortStatistic
Prob
TR1SA1
01118560085112131422201971
DTR1SA115506530341367454247800001
DTR1SA1
016368401640550997740
03251
DTR1SA12030956802679291155412
02562
Rsquared
0092428Mea
depe
de
tvar
0000298
DTR1SA22022236701697571309912
01993
AdjustedRsquared0067217SDdepe
de
tvar
0209679Rsquared
0633173Mea
depe
de
tvar
0003923
SEofregressio
0202510Akaikei
focriterio

0304862AdjustedRsquared0610941SDdepe
de
tvar
0335079
Sumsquaredresid1476367Schwarzcriterio

0218673SEofregressio
0209004Akaikei
focriterio

0213269
Loglikelihood
7792369Fstatistic
3666267Sumsquaredresid1441532Schwarzcriterio

0081309
Durbi
Watso
stat2004390ProbFstatistic
0063497Loglikelihood
6838834Fstatistic
2848031
Durbi
Watso
stat2056308ProbFstatistic
0000000
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I1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。
9
f13TR2SA不含截距不含趋势项的ADF检验
14TR2SA一阶差分序列不含截距不含趋势项的ADF检验
ADFTestStar