格兰杰因果检验(正式版)

1、.北京的存款增长对北京的人均GDP增长的格兰杰因果检验（一）单根检验1.A1（北京的存款增长）的单根检验NullHypothesis:A1hasaunitrootExogenous:ConstantLagLength:0(AutomaticbasedonSIC,MAXLAG=6)t-Statistic1Prob.*AugmentedDickey-Fullerteststatistic-4.2186210.0029Testcriticalvalues:1%level-3.6998715%level-2.97626310%level-2.6274201*MacKinnon(1996)one-sid

2、edp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(A1)Method:LeastSquaresDate:10/25/11Time:10:04Sample(adjusted):19832009Includedobservations:27afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.A1(-1)-0.8358410.198131-4.2186210.0003C19.334635.0729433.8113240.0008R-squared0.41

3、5844Meandependentvar0.105185AdjustedR-squared0.392477S.D.dependentvar14.84304S.E.ofregression11.56922Akaikeinfocriterion7.805761Sumsquaredresid3346.172Schwarzcriterion7.901749Loglikelihood-103.3778F-statistic17.79676Durbin-Watsonstat2.021836Prob(F-statistic)0.00028212.A2（北京人均GDP增长）的单根检验（1）未滞后NullHyp

4、othesis:A2hasaunitrootExogenous:ConstantLagLength:0(AutomaticbasedonSIC,MAXLAG=6)t-StatisticProb.*AugmentedDickey-Fullerteststatistic-2.6487930.0960Testcriticalvalues:1%level-3.6998715%level-2.97626310%level-2.6274201*MacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariab

5、le:D(A2)Method:LeastSquaresDate:10/25/11Time:10:08Sample(adjusted):19832009Includedobservations:27afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.A2(-1)-0.4796850.181096-2.6487930.0138C6.9103322.8047852.4637650.0210R-squared0.219143Meandependentvar-0.148148AdjustedR-squared0.187909S.D.de

6、pendentvar5.045590S.E.ofregression4.546889Akaikeinfocriterion5.937951Sumsquaredresid516.8550Schwarzcriterion6.033939Loglikelihood-78.16234F-statistic7.016106Durbin-Watsonstat1.735513Prob(F-statistic)0.013795(2).A2(-1)单根检验NullHypothesis:A2(-1)hasaunitrootExogenous:ConstantLagLength:0(Automaticbasedon

7、SIC,MAXLAG=6)t-StatisticProb.*AugmentedDickey-Fullerteststatistic-2.9627310.0519Testcriticalvalues:1%level-3.7114575%level-2.98103810%level-2.629906*MacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(A2(-1)Method:LeastSquaresDate:10/25/11Time:10:11Sample(adjusted)

8、:19842009Includedobservations:26afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.A2(-2)-0.5403090.182368-2.9627310.0068C8.0500712.8602462.8144680.0096R-squared0.267797Meandependentvar-0.019231AdjustedR-squared0.237288S.D.dependentvar5.099962S.E.ofregression4.453969Akaikeinfocriterion5.899

9、272Sumsquaredresid476.1083Schwarzcriterion5.996049Loglikelihood-74.69054F-statistic8.777775Durbin-Watsonstat1.776754Prob(F-statistic)0.0067791(3).A2(-2)单根检验(效果不好)NullHypothesis:A2(-2)hasaunitrootExogenous:ConstantLagLength:0(AutomaticbasedonSIC,MAXLAG=5)t-StatisticProb.*AugmentedDickey-Fullerteststa

10、tistic-2.8622980.0642Testcriticalvalues:1%level-3.7240705%level-2.98622510%level-2.6326041*MacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(A2(-2)Method:LeastSquaresDate:10/25/11Time:10:13Sample(adjusted):19852009Includedobservations:25afteradjustmentsVariableCo

11、efficientStd.Errort-StatisticProb.A2(-3)-0.5051890.176498-2.8622980.0088C7.8169252.7529812.8394400.0093R-squared0.262649Meandependentvar0.328000AdjustedR-squared0.230590S.D.dependentvar4.881386S.E.ofregression4.281757Akaikeinfocriterion5.823222Sumsquaredresid421.6692Schwarzcriterion5.920732Loglikeli

12、hood-70.79028F-statistic8.192747Durbin-Watsonstat1.790508Prob(F-statistic)0.0088093.A3（A2的对数化）单根检验（1）未滞后NullHypothesis:A3hasaunitrootExogenous:ConstantLagLength:0(AutomaticbasedonSIC,MAXLAG=6)t-StatisticProb.*AugmentedDickey-Fullerteststatistic-2.6113460.1031Testcriticalvalues:1%level-3.6998715%leve

13、l-2.97626310%level-2.6274201*MacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(A3)Method:LeastSquaresDate:10/25/11Time:10:16Sample(adjusted):19832009Includedobservations:27afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.A3(-1)-0.5335660.204326-2.61134

14、60.0150C1.3873000.5428962.5553710.0171R-squared0.214309Meandependentvar-0.020242AdjustedR-squared0.182882S.D.dependentvar0.372695S.E.ofregression0.336896Akaikeinfocriterion0.733104Sumsquaredresid2.837478Schwarzcriterion0.829092Loglikelihood-7.896903F-statistic6.819130Durbin-Watsonstat1.623005Prob(F-

15、statistic)0.0150311(2)A3(-1)单根检验NullHypothesis:A3(-1)hasaunitrootExogenous:ConstantLagLength:0(AutomaticbasedonSIC,MAXLAG=6)t-StatisticProb.*AugmentedDickey-Fullerteststatistic-3.4114170.0198Testcriticalvalues:1%level-3.7114575%level-2.98103810%level-2.629906*MacKinnon(1996)one-sidedp-values.Augment

16、edDickey-FullerTestEquationDependentVariable:D(A3(-1)Method:LeastSquaresDate:10/25/11Time:10:17Sample(adjusted):19842009Includedobservations:26afteradjustmentsVariableCoefficientStd.Errort-StatisticProb.A3(-2)-0.6622170.194118-3.4114170.0023C1.7560690.5188993.3842230.0025R-squared0.326557Meandependentvar-0.0