[程式] STATA DFGLS的數據判讀問題
請問板上的各位大大關於DFGLS的問題
我用STATA跑DFGLS檢定單根，我沒有設定MAXLAG，而是讓系統自己跑
那這個跑出來的結果 是第13期落後階期的那個結果-2.245嗎？
有請板上大大解答，感謝!
DF-GLS for Taipei Number of obs = 156
Maxlag = 13 chosen by Schwert criterion
DF-GLS tau 1% Critical 5% Critical 10% Critical
[lags] Test Statistic Value Value Value
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13 -2.245 -3.496 -2.799 -2.522
12 -2.200 -3.496 -2.815 -2.537
11 -1.151 -3.496 -2.830 -2.551
10 -1.976 -3.496 -2.845 -2.565
9 -2.537 -3.496 -2.860 -2.579
8 -2.187 -3.496 -2.874 -2.592
7 -2.186 -3.496 -2.887 -2.604
6 -1.779 -3.496 -2.900 -2.616
5 -2.017 -3.496 -2.913 -2.627
4 -2.322 -3.496 -2.924 -2.638
3 -3.540 -3.496 -2.935 -2.648
2 -4.362 -3.496 -2.945 -2.657
1 -5.336 -3.496 -2.955 -2.665
Opt Lag (Ng-Perron seq t) = 12 with RMSE 164.7762
Min SC = 10.63 at lag 12 with RMSE 164.7762
Min MAIC = 10.53334 at lag 12 with RMSE 164.7762
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