Exogenous: Constant, Linear TrendLag Length: 2 (Automatic - based on SIC, maxlag=13)t-StatisticProb.*Augmented Dickey-Fuller test statistic -1.605700 0.7863Test critical values:1% level-4.0216915% level -3.44068110% level -3.144830*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test Equation Dependent Variable: D(Y)Method: Least SquaresDate: 11/12/14 Time: 23:32Sample (adjusted): 4 150Included observations: 147 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob. Y(-1)-0.0196270.012223-1.6057000.1106D(Y(-1))0.2535480.081530 3.1098870.0023D(Y(-2))0.2146390.081798 2.6240080.0096C4.074679 2.403364 1.6954070.0922@TREND("1")0.0088840.0060791.4612690.1462R-squared0.148873 Mean dependent var 0.430612Adjusted R-squared 0.124898 S.D. dependent var 1.450725S.E. of regression 1.357109 Akaike info criterion 3.482012Sum squared resid 261.5277 Schwarz criterion 3.583727Log likelihood -250.9279 Hannan-Quinn criter. 3.523340F-statistic6.209410 Durbin-Watson stat 2.054851Prob(F-statistic)0.000124Lag length:2 即滞后阶数为2，则初始估计模型为0111122t t t t Y c c t Y Y Y λββ---∆=+++∆+∆因为ADF 的t=-1.6057> 5%level 的t=-3.440681,所以接受H 0，即存在单位根。

（或因为p=0.7863>α=0.05,所以接受H 0，即存在单位根。

）又因为@TREND(“1”)的p=0.1462>α=0.05,所以接受H 0，即c 1显著为0。

则模型改为011122t t t t Y c Y Y Y λββ---∆=++∆+∆Exogenous: ConstantLag Length: 2 (Automatic - based on SIC, maxlag=13)t-StatisticProb.*Augmented Dickey-Fuller test statistic -0.663786 0.8513Test critical values:1% level-3.4751845% level -2.88112310% level -2.577291*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test Equation Dependent Variable: D(Y)Method: Least SquaresDate: 11/12/14 Time: 23:38Sample (adjusted): 4 150Included observations: 147 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob. Y(-1)-0.0035350.005326-0.6637860.5079D(Y(-1))0.2496220.081808 3.0513070.0027D(Y(-2))0.2042410.081811 2.4964990.0137C1.0521581.2286900.8563250.3933R-squared0.136074 Mean dependent var 0.430612Adjusted R-squared 0.117950 S.D. dependent var 1.450725S.E. of regression 1.362485 Akaike info criterion 3.483332Sum squared resid 265.4604 Schwarz criterion 3.564704Log likelihood -252.0249 Hannan-Quinn criter. 3.516394F-statistic7.507838 Durbin-Watson stat 2.046101Prob(F-statistic)0.000106因为ADF 的t=-0.663786> 5%level 的t=-2.881123,所以接受H 0，即存在单位根。

（或因为p=0.8513>α=0.05,所以接受H 0，即存在单位根。

） 又因为C 的p=0.3933>α=0.05,所以接受H 0，即c 0显著为0。

则模型改为11122t t t t Y Y Y Y λββ---∆=+∆+∆Exogenous: NoneLag Length: 2 (Automatic - based on SIC, maxlag=13)t-StatisticProb.*Augmented Dickey-Fuller test statistic 1.940255 0.9875Test critical values:1% level-2.5807885% level -1.94301210% level -1.615270*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test Equation Dependent Variable: D(Y)Method: Least SquaresDate: 11/13/14 Time: 18:53Sample (adjusted): 4 150Included observations: 147 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob. Y(-1)0.0010040.000517 1.9402550.0543D(Y(-1))0.2492900.081732 3.0501040.0027D(Y(-2))0.2011300.0816552.4631830.0149R-squared0.131644 Mean dependent var 0.430612Adjusted R-squared 0.119584 S.D. dependent var 1.450725S.E. of regression 1.361223 Akaike info criterion 3.474841Sum squared resid 266.8216 Schwarz criterion 3.535870Log likelihood-252.4008 Hannan-Quinn criter. 3.499638Durbin-Watson stat2.043355因为ADF 的t=1.940255> 5%level 的t=-1.943012,所以接受H 0，即存在单位根。

（或因为p=0.9875>α=0.05,所以接受H 0，即存在单位根。

） 所以模型：11122t t t t Y Y Y Y λββ---∆=+∆+∆Exogenous: Constant, Linear TrendLag Length: 1 (Automatic - based on SIC, maxlag=13)t-Statistic Prob.*Augmented Dickey-Fuller test statistic-5.739450 0.0000 Test critical values:1% level-4.0216915% level-3.44068110% level-3.144830*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(Y,2)Method: Least SquaresDate: 11/12/14 Time: 23:41Sample (adjusted): 4 150Included observations: 147 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.D(Y(-1))-0.5510030.096003-5.7394500.0000D(Y(-1),2)-0.2007290.081786-2.4543200.0153 C0.2336790.233654 1.0001070.3189 @TREND("1")8.93E-050.0026530.0336640.9732R-squared0.371186 Mean dependent var0.004082 Adjusted R-squared0.357994 S.D. dependent var 1.703054 S.E. of regression 1.364577 Akaike info criterion 3.486400 Sum squared resid266.2762 Schwarz criterion 3.567773 Log likelihood-252.2504 Hannan-Quinn criter. 3.519463 F-statistic28.13737 Durbin-Watson stat 2.043400 Prob(F-statistic)0.000000对初始模型进行1阶差分后进行分析：因为ADF的p=0.0000<α=0.05,所以拒绝原假设H0，即不存在单位根。