面板数据的知识newofficeADF检验是通过三个模型来完成首先从含有截距和趋势项开

ADFADF检验是通过三个模型来完成，首先从含有截距和趋势项的模型开始，再检验只含截距项的模型，最后检 稳的，而只要其中有一个模型的检验结 了零假设，就可认为时间序列是平稳的PPanelv-不能原假Panelrho-不能原假PanelPP-PanelADF-Grouprho-不能原假GroupPP-GroupADF-common里面；（Fixed-EffectModel）以及随机效应模型（Random-EffectModel）的有效性[1]，其中固定效应又包括 计模型和固定效应模型，我们可以使用F检验来判别其有效性；对于混合估计模型和随机效应模型，通常可以用LM检验判别其有效性；对于固定效应模型和随机效应模型，通常用Hausman检验判断其适用性。有关模型设定和检验的细节可以参考Baltagi（2005）所以，你需要分别检验是否加入时间固定效应、是否需要加 固定效应[1度而变；随机效应模型不但假定截距项随公司和年度而变，而且假定这些不同的截距项和其它解释变量不相关。更为具体的模型设定问题可以参见李子奈、叶阿忠（2000），Wodridg（2003）agi（2005）PER_EFFECT=C(44)*@ISPERIOD("10/31/2013")+C(45)*@ISPERIOD("11/01/2013")+C(46)*@ISPERIOD("11/04/2013")+……+C(162)*@ISPERIOD("4/23/2014")+C(163)*@ISPERIOD("4/24/2014")+C(164)*@ISPERIOD("4/25/2014")PEMA_W_AETNA=C(4)+PER_EFFECT+C(1)+C(2)*PVOLUME_AETNA+C(3)*SSMA_W_AETNAPEMA_W_AKAMAI=C(5)+PER_EFFECT+C(1)+C(2)*PVOLUME_AKAMAI+C(3)*SSMA_W_AKAMAIPEMA_W_SEAGATE=C(42)+PER_EFFECT+C(1)+C(2)*PVOLUME_SEAGATE+PEMA_W_WATERS=C(43)+PER_EFFECT+C(1)+C(2)*PVOLUME_WATERS+PER_EFFECT=0.124025494325*@ISPERIOD("10/31/2013")+0.265046766644*@ISPERIOD("11/01/2013")+0.178756535231*@ISPERIOD("11/04/2013")+ *@ISPERIOD("1/21/2014") *@ISPERIOD("3/04/2014")- *@ISPERIOD("3/14/2014")- *@ISPERIOD("3/18/2014")+ *@ISPERIOD("3/19/2014") *@ISPERIOD("3/20/2014")- *@ISPERIOD("3/21/2014") *@ISPERIOD("3/24/2014")+9.69155164838*@ISPERIOD("3/25/2014") *@ISPERIOD("3/27/2014") *@ISPERIOD("3/28/2014")- *@ISPERIOD("3/31/2014") *@ISPERIOD("4/01/2014")-0.989808554666*@ISPERIOD("4/02/2014") *@ISPERIOD("4/04/2014") *@ISPERIOD("4/08/2014") *@ISPERIOD("4/09/2014")- *@ISPERIOD("4/10/2014") *@ISPERIOD("4/11/2014")+ *@ISPERIOD("4/14/2014") *@ISPERIOD("4/15/2014")+ *@ISPERIOD("4/16/2014") *@ISPERIOD("4/23/2014") *@ISPERIOD("4/24/2014")+45. PEMA_W_AETNA=-1.29692971935+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_AETNA+0.162669921618*SSMA_W_AETNAPEMA_W_AKAMAI=-1.24531864322+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_AKAMAI+0.162669921618*SSMA_W_AKAMAIPEMA_W_CBRICHARD=-1.12677596232+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_CBRICHARD+0.162669921618*SSMA_W_CBRICHARDPEMA_W_CHESAPEAKE=-1. +PER_EFFECT+58. -1.10694441884e-08*PVOLUME_CHESAPEAKE+0.162669921618*SSMA_W_CHESAPEAKEPEMA_W_DOLLARGENERAL=-1.10629021566+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_DOLLARGENERAL+0.162669921618*SSMA_W_DOLLARGENERALPEMA_W_DOLLARTREE=-1.24305137269+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_DOLLARTREE+0.162669921618*SSMA_W_DOLLARTREEPEMA_W_ECOLAB=-1. +PER_EFFECT+58. -1.10694441884e-08*PVOLUME_ECOLAB+0.162669921618*SSMA_W_ECOLABPEMA_W_FAMILYDOLLAR=-0.957908715895+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_FAMILYDOLLAR+0.162669921618*SSMA_W_FAMILYDOLLARPEMA_W_FIDELITY=-0.882085434142+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_FIDELITY+0.162669921618*SSMA_W_FIDELITYPEMA_W_INGERSOLLPAND=-0.665440176743+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_INGERSOLLPAND+0.162669921618*SSMA_W_INGERSOLLPANDPEMA_W_LOEWS=-0.405107270053+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_LOEWS+0.162669921618*SSMA_W_LOEWS =-0.175169647214+PER_EFFECT+58. -1.10694441884e- +0.162669921618*SSMA_W_PEMA_W_OILWELL=-0.104766013375+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_OILWELL+0.162669921618*SSMA_W_OILWELLPEMA_W_NIKE=-0.131763191848+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_NIKE+0.162669921618*SSMA_W_NIKEPEMA_W_PEABODYENERGY=-0.228578485215+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_PEABODYENERGY+0.162669921618*SSMA_W_PEABODYENERGYPEMA_W_PLUMCREEKTIMBER=-0.178865617603+PER_EFFECT+58. 1.10694441884e-08*PVOLUME_PLUMCREEKTIMBER+PEMA_W_PRUDENTIANL=-0.0613553860784+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_PRUDENTIANL+0.162669921618*SSMA_W_PRUDENTIANLPEMA_W_STATESTREET=-0.0312698233723+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_STATESTREET+0.162669921618*SSMA_W_STATESTREETPEMA_W_TESOROCORP=-0.0196649185505+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_TESOROCORP+0.162669921618*SSMA_W_TESOROCORPPEMA_W_WALMART=0.00609519067629+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_WALMART+0.162669921618*SSMA_W_WALMARTPEMA_W_ACCENTUREPLC=-0.0390849661403+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_ACCENTUREPLC+0.162669921618*SSMA_W_ACCENTUREPLCPEMA_W_AGLRESOURCE=-0.203292157926+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_AGLRESOURCE+0.162669921618*SSMA_W_AGLRESOURCEPEMA_W_AUTODESK=-0. +PER_EFFECT+58. -1.10694441884e-08*PVOLUME_AUTODESK+0.162669921618*SSMA_W_AUTODESKPEMA_W_BAKER=-0.611326797288+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_BAKER+0.162669921618*SSMA_W_BAKERPEMA_W_BRISTOLMYERS=-0.810517535492+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_BRISTOLMYERS+0.162669921618*SSMA_W_BRISTOLMYERSPEMA_W_CMSENERGY=-1.40803930122+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_CMSENERGY+0.162669921618*SSMA_W_CMSENERGYPEMA_W_CONOCOPHILLIPS=-0.72173703683+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_CONOCOPHILLIPS+0.162669921618*SSMA_W_CONOCOPHILLIPS LATION=-0.801322005007+PER_EFFECT+58. -1.10694441884e- LATION+0.162669921618*SSMA_W_CONSLATIONPEMA_W_CORNING=-1. +PER_EFFECT+58. -1.10694441884e-08*PVOLUME_CORNING+0.162669921618*SSMA_W_CORNINGPEMA_W_EDISON=-1. +PER_EFFECT+58. -1.10694441884e-08*PVOLUME_EDISON+0.162669921618*SSMA_W_EDISONPEMA_W_GENERALGROWTH=-1. +PER_EFFECT+58. -1.10694441884e-08*PVOLUME_GENERALGROWTH+0.162669921618*SSMA_W_GENERALGROWTHPEMA_W_HOMEDEPOT=-1.57212120849+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_HOMEDEPOT+0.162669921618*SSMA_W_HOMEDEPOTPEMA_W_HOSPIRA=-1.60097063979+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_HOSPIRA+0.162669921618*SSMA_W_HOSPIRAPEMA_W_LABORATORYCP=-1.35575103201+PER_EFFECT+58. -1.10694441884e-08*PVOLUME_LABORATORYCP+0.162669921618*SSMA_W_LABORATORYCPPEMA_W_PACCAR=-1.