格兰杰因果检验(正式版)

一．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Null Hypothesis: A1 has a unit rootExogenous: ConstantLag Length: 0 (Automatic based on SIC, MAXLAG=6)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -4.218621 0.0029 Test critical values: 1% level -3.6998715% level -2.97626310% level -2.627420*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(A1)Method: Least SquaresDate: 10/25/11 Time: 10:04Sample (adjusted): 1983 2009Included observations: 27 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.A1(-1) -0.835841 0.198131 -4.218621 0.0003C 19.33463 5.072943 3.811324 0.0008R-squared 0.415844 Mean dependent var 0.105185 Adjusted R-squared 0.392477 S.D. dependent var 14.84304 S.E. of regression 11.56922 Akaike info criterion 7.805761 Sum squared resid 3346.172 Schwarz criterion 7.901749 Log likelihood -103.3778 F-statistic 17.79676 Durbin-Watson stat 2.021836 Prob(F-statistic) 0.0002822.A2（北京人均GDP增长）的单根检验（1）未滞后Null Hypothesis: A2 has a unit rootExogenous: ConstantLag Length: 0 (Automatic based on SIC, MAXLAG=6)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -2.648793 0.0960 Test critical values: 1% level -3.6998715% level -2.97626310% level -2.627420*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(A2)Method: Least SquaresDate: 10/25/11 Time: 10:08Sample (adjusted): 1983 2009Included observations: 27 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.A2(-1) -0.479685 0.181096 -2.648793 0.0138C 6.910332 2.804785 2.463765 0.0210R-squared 0.219143 Mean dependent var -0.148148 Adjusted R-squared 0.187909 S.D. dependent var 5.045590 S.E. of regression 4.546889 Akaike info criterion 5.937951 Sum squared resid 516.8550 Schwarz criterion 6.033939 Log likelihood -78.16234 F-statistic 7.016106 Durbin-Watson stat 1.735513 Prob(F-statistic) 0.013795（2）.A2(-1)单根检验Null Hypothesis: A2(-1) has a unit rootExogenous: ConstantLag Length: 0 (Automatic based on SIC, MAXLAG=6)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -2.962731 0.0519 Test critical values: 1% level -3.7114575% level -2.98103810% level -2.629906*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(A2(-1))Method: Least SquaresDate: 10/25/11 Time: 10:11Sample (adjusted): 1984 2009Included observations: 26 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.A2(-2) -0.540309 0.182368 -2.962731 0.0068C 8.050071 2.860246 2.814468 0.0096R-squared 0.267797 Mean dependent var -0.019231 Adjusted R-squared 0.237288 S.D. dependent var 5.099962 S.E. of regression 4.453969 Akaike info criterion 5.899272 Sum squared resid 476.1083 Schwarz criterion 5.996049 Log likelihood -74.69054 F-statistic 8.777775 Durbin-Watson stat 1.776754 Prob(F-statistic) 0.006779（3）.A2(-2)单根检验（效果不好）Null Hypothesis: A2(-2) has a unit rootExogenous: ConstantLag Length: 0 (Automatic based on SIC, MAXLAG=5)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -2.862298 0.0642 Test critical values: 1% level -3.7240705% level -2.98622510% level -2.632604*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(A2(-2))Method: Least SquaresDate: 10/25/11 Time: 10:13Sample (adjusted): 1985 2009Included observations: 25 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.A2(-3) -0.505189 0.176498 -2.862298 0.0088C 7.816925 2.752981 2.839440 0.0093R-squared 0.262649 Mean dependent var 0.328000 Adjusted R-squared 0.230590 S.D. dependent var 4.881386 S.E. of regression 4.281757 Akaike info criterion 5.823222 Sum squared resid 421.6692 Schwarz criterion 5.920732 Log likelihood -70.79028 F-statistic 8.192747 Durbin-Watson stat 1.790508 Prob(F-statistic) 0.0088093.A3(A2的对数化)单根检验（1）未滞后Null Hypothesis: A3 has a unit rootExogenous: ConstantLag Length: 0 (Automatic based on SIC, MAXLAG=6)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -2.611346 0.1031 Test critical values: 1% level -3.6998715% level -2.97626310% level -2.627420*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(A3)Method: Least SquaresDate: 10/25/11 Time: 10:16Sample (adjusted): 1983 2009Included observations: 27 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.A3(-1) -0.533566 0.204326 -2.611346 0.0150C 1.387300 0.542896 2.555371 0.0171R-squared 0.214309 Mean dependent var -0.020242 Adjusted R-squared 0.182882 S.D. dependent var 0.372695 S.E. of regression 0.336896 Akaike info criterion 0.733104 Sum squared resid 2.837478 Schwarz criterion 0.829092 Log likelihood -7.896903 F-statistic 6.819130 Durbin-Watson stat 1.623005 Prob(F-statistic) 0.015031（2）A3(-1)单根检验Null Hypothesis: A3(-1) has a unit rootExogenous: ConstantLag Length: 0 (Automatic based on SIC, MAXLAG=6)t-Statistic Prob.*Augmented Dickey-Fuller test statistic -3.411417 0.0198 Test critical values: 1% level -3.7114575% level -2.98103810% level -2.629906*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(A3(-1))Method: Least SquaresDate: 10/25/11 Time: 10:17Sample (adjusted): 1984 2009Included observations: 26 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.A3(-2) -0.662217 0.194118 -3.411417 0.0023C 1.756069 0.518899 3.384223 0.0025R-squared 0.326557 Mean dependent var -0.002080 Adjusted R-squared 0.298497 S.D. dependent var 0.367688 S.E. of regression 0.307960 Akaike info criterion 0.556109 Sum squared resid 2.276143 Schwarz criterion 0.652886 Log likelihood -5.229419 F-statistic 11.63777 Durbin-Watson stat 1.773706 Prob(F-statistic) 0.002292（二）格兰杰因果检验。