Augmented Dickey-Fuller test statistic Test critical values:

1% level 5% level 10% level

2.782960 -4.394309 -3.612199 -3.243079

1.0000

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: GDP has a unit root Exogenous: Constant

Prob.* 1.0000

Lag Length: 4 (Automatic based on SIC, MAXLAG=6)

t-Statistic 3.181937 -3.737853 -2.991878 -2.635542

Augmented Dickey-Fuller test statistic Test critical values:

1% level 5% level 10% level

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: GDP has a unit root Exogenous: None

Prob.* 0.9993

Lag Length: 4 (Automatic based on SIC, MAXLAG=6)

t-Statistic 3.272134 -2.664853 -1.955681 -1.608793

Augmented Dickey-Fuller test statistic Test critical values:

1% level 5% level 10% level

*MacKinnon (1996) one-sided p-values.

（1）中国GDP是平稳时间序列么，为什么？

2.变量LRFE、LRTAX、LRGDP和LRPC同阶单整，协整检验结果如下：

Date: 10/15/08 Time: 22:20 Sample (adjusted): 1980 2006

Included observations: 27 after adjustments

Trend assumption: Linear deterministic trend (restricted) Series: LRFE LRTAX LRGDP LRPC

26

Lags interval (in first differences): 1 to 1

Hypothesized No. of CE(s)

None At most 1 At most 2 At most 3

Unrestricted Cointegration Rank Test (Trace)

Eigenvalue 0.710067 0.392792 0.332536 0.142113

Trace Statistic 61.95262 28.52377 15.05393 4.138628

0.05 Critical Value 63.87610 42.91525 25.87211 12.51798

Prob.** 0.0718 0.5906 0.5701 0.7220

Trace test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values

（1）变量LRFE、LRTAX、LRGDP和LRPC存在协整关系吗，如存在存在几个协整关系？

五、问答题

1．什么是弱平稳序列。 2．什么是伪回归？

3．时间序列非平稳一定会导致伪回归吗？ 4. 什么是协整？

27