变量 | 检验形式 | ADF检验值 | P值 | 5%临界值 | 是否平稳 | |
SHIBOR | (c, t) | −4.425482 | 0.0026 | −3.436475 | 平稳 | |
(c, 0) | −4.429685 | 0.0004 | −2.878413 | 平稳 | ||
(0, 0) | −0.714641 | 0.4058 | −1.942745 | 非平稳 | ||
YTM | (c, t) | −4.010577 | 0.0101 | −3.436634 | 平稳 | |
(c, 0) | −3.477813 | 0.0097 | −2.878515 | 平稳 | ||
(0, 0) | −0.371250 | 0.5495 | −1.942722 | 非平稳 | ||
NEER | (c, t) | −2.259412 | 0.4534 | −3.436634 | 非平稳 | |
(c, 0) | −1.826714 | 0.3666 | −2.878515 | 非平稳 | ||
(0, 0) | 0.989840 | 0.9146 | −1.942722 | 非平稳 | ||
M2 | (c, t) | −3.538598 | 0.0386 | −3.436957 | 平稳 | |
(c, 0) | −1.857491 | 0.3518 | −2.878723 | 非平稳 | ||
(0, 0) | −0.877466 | 0.3346 | −1.942745 | 非平稳 | ||
INFR | (c, t) | −2.982329 | 0.1403 | −3.436957 | 非平稳 | |
(c, 0) | −3.681791 | 0.0052 | −2.878723 | 平稳 | ||
(0, 0) | 1.174813 | 0.9380 | −1.942745 | 非平稳 | ||
FFR | (c, t) | −2.667455 | 0.2516 | −3.436634 | 非平稳 | |
(c, 0) | −2.969800 | 0.0398 | −2.878515 | 平稳 | ||
(0, 0) | −3.196640 | 0.0015 | −1.942722 | 平稳 | ||
DSHIBOR | (c, t) | −10.81206 | 0.0000 | −3.436957 | 平稳 | |
(c, 0) | −10.82039 | 0.0000 | −2.878723 | 平稳 | ||
(0, 0) | −10.85394 | 0.0000 | −1.942745 | 平稳 | ||
DYTM | (c, t) | −7.894244 | 0.0000 | −3.436634 | 平稳 | |
(c, 0) | −7.899464 | 0.0000 | −2.878515 | 平稳 | ||
(0, 0) | −7.922665 | 0.0000 | −1.942722 | 平稳 | ||
DNEER | (c, t) | −8.331320 | 0.0000 | −3.436634 | 平稳 | |
(c, 0) | −8.308106 | 0.0000 | −2.878515 | 平稳 | ||
(0, 0) | −8.216377 | 0.0000 | −1.942722 | 平稳 | ||
DM2 | (c, t) | −5.052411 | 0.0003 | −3.436957 | 平稳 | |
(c, 0) | −5.062973 | 0.0000 | −2.878723 | 平稳 | ||
(0, 0) | −5.069462 | 0.0000 | −1.942745 | 平稳 | ||
DINFR | (c, t) | −4.059908 | 0.0087 | −3.436957 | 平稳 | |
(c, 0) | −3.368931 | 0.0135 | −2.878723 | 平稳 | ||
(0, 0) | −3.131312 | 0.0019 | −1.942745 | 平稳 | ||
DFFR | (c, t) | −5.571839 | 0.0001 | −3.474363 | 平稳 | |
(c, 0) | −5.302490 | 0.0000 | −2.902953 | 平稳 | ||
(0, 0) | −5.340775 | 0.0000 | −1.945456 | 平稳 |