作为我硕士论文的一部分,我正在对面板数据进行多项测试。其中之一是 Fisher 型单位根检验,它适用于不平衡面板。我已经进行了测试,但我还没有找到解释如何解释结果的解释。
这是设置:
- 费希尔型检验
- 包括时间趋势
- 横截面平均值已移除
- 变量被滞后一次
实现这一点的代码是:
. xtunitroot fisher beta, dfuller trend demean lags(1)
变量 beta 的输出是:
Fisher-type unit-root test for beta
Based on augmented Dickey-Fuller tests
Ho: All panels contain unit roots Number of panels = 5
Ha: At least one panel is stationary Number of periods = 61
AR parameter: Panel-specific Asymptotics: T -> Infinity
Panel means: Included
Time trend: Included Cross-sectional means removed
Drift term: Not included ADF regressions: 1 lag
Statistic p-value
Inverse chi-squared(10) P 77.8047 0.0000
Inverse normal Z -7.2246 0.0000
Inverse logit t(29) L* -9.7556 0.0000
Modified inv. chi-squared Pm 15.1616 0.0000
P statistic requires number of panels to be finite.
Other statistics are suitable for finite or infinite number of panels.
问题:
- 根据结果,我的数据是否包含单位根,还是静止的?
- 我如何知道我可以接受/拒绝 H0 的置信水平?