作者a3300689 (阿桐伯)
看板Statistics
标题[程式] STATA DFGLS的数据判读问题
时间Thu May 23 22:11:48 2013
请问板上的各位大大关於DFGLS的问题
我用STATA跑DFGLS检定单根，我没有设定MAXLAG，而是让系统自己跑
那这个跑出来的结果 是第13期落後阶期的那个结果-2.245吗？
有请板上大大解答，感谢!
DF-GLS for Taipei Number of obs = 156
Maxlag = 13 chosen by Schwert criterion
DF-GLS tau 1% Critical 5% Critical 10% Critical
[lags] Test Statistic Value Value Value
------------------------------------------------------------------------------
13 -2.245 -3.496 -2.799 -2.522
12 -2.200 -3.496 -2.815 -2.537
11 -1.151 -3.496 -2.830 -2.551
10 -1.976 -3.496 -2.845 -2.565
9 -2.537 -3.496 -2.860 -2.579
8 -2.187 -3.496 -2.874 -2.592
7 -2.186 -3.496 -2.887 -2.604
6 -1.779 -3.496 -2.900 -2.616
5 -2.017 -3.496 -2.913 -2.627
4 -2.322 -3.496 -2.924 -2.638
3 -3.540 -3.496 -2.935 -2.648
2 -4.362 -3.496 -2.945 -2.657
1 -5.336 -3.496 -2.955 -2.665
Opt Lag (Ng-Perron seq t) = 12 with RMSE 164.7762
Min SC = 10.63 at lag 12 with RMSE 164.7762
Min MAIC = 10.53334 at lag 12 with RMSE 164.7762
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