1 
PP.test(MxAlberta_Female45,lshort=TRUE)

        Phillips-Perron Unit Root Test

data:  MxAlberta_Female45
Dickey-Fuller = -7.5154, Truncation lag parameter = 3, p-value = 0.01

> PP.test(diff(MxAlberta_Female45))

        Phillips-Perron Unit Root Test

data:  diff(MxAlberta_Female45)
Dickey-Fuller = -20.8186, Truncation lag parameter = 3, p-value = 0.01

> PP.test(MxBC_Female45)

        Phillips-Perron Unit Root Test

data:  MxBC_Female45
Dickey-Fuller = -6.8781, Truncation lag parameter = 3, p-value = 0.01

> adf.test(diff(MxBC_Female45))
Error: could not find function "adf.test"
> 
> PP.test(MxM_Female45)

        Phillips-Perron Unit Root Test

data:  MxM_Female45
Dickey-Fuller = -6.2955, Truncation lag parameter = 3, p-value = 0.01

> PP.test(diff(MxM_Female45))

        Phillips-Perron Unit Root Test

data:  diff(MxM_Female45)
Dickey-Fuller = -17.1554, Truncation lag parameter = 3, p-value = 0.01

> 
> PP.test(MxNB_Female45)

        Phillips-Perron Unit Root Test

data:  MxNB_Female45
Dickey-Fuller = -7.5638, Truncation lag parameter = 3, p-value = 0.01

> PP.test(diff(MxNB_Female45))

        Phillips-Perron Unit Root Test

data:  diff(MxNB_Female45)
Dickey-Fuller = -20.2759, Truncation lag parameter = 3, p-value = 0.01

> 
> MxNL_Female45a<-na.omit(MxNL_Female45)
> PP.test((MxNL_Female45a))
Error in embed(x, 2) : 'x' is not a vector or matrix
> PP.test(diff(MxNL_Female45a))

        Phillips-Perron Unit Root Test

data:  diff(MxNL_Female45a)
Dickey-Fuller = -15.269, Truncation lag parameter = 3, p-value = 0.01

> 
> MxNTN_Female45a<-na.omit(MxNTN_Female45)
> PP.test(MxNTN_Female45a)
Error in embed(x, 2) : 'x' is not a vector or matrix
> PP.test(diff(MxNTN_Female45a))

        Phillips-Perron Unit Root Test

data:  diff(MxNTN_Female45a)
Dickey-Fuller = -26.5311, Truncation lag parameter = 3, p-value = 0.01

> 
> PP.test(MxNS_Female45)

        Phillips-Perron Unit Root Test

data:  MxNS_Female45
Dickey-Fuller = -6.6251, Truncation lag parameter = 3, p-value = 0.01

> PP.test(diff(MxNS_Female45))

        Phillips-Perron Unit Root Test

data:  diff(MxNS_Female45)
Dickey-Fuller = -18.9064, Truncation lag parameter = 3, p-value = 0.01

> 
> PP.test(MxO_Female45)

        Phillips-Perron Unit Root Test

data:  MxO_Female45
Dickey-Fuller = -5.1652, Truncation lag parameter = 3, p-value = 0.01

> PP.test(diff(MxO_Female45))

        Phillips-Perron Unit Root Test

data:  diff(MxO_Female45)
Dickey-Fuller = -23.8322, Truncation lag parameter = 3, p-value = 0.01

> 
> PP.test(MxPEI_Female45)

        Phillips-Perron Unit Root Test

data:  MxPEI_Female45
Dickey-Fuller = -8.3567, Truncation lag parameter = 3, p-value = 0.01

> PP.test(diff(MxPEI_Female45))

        Phillips-Perron Unit Root Test

data:  diff(MxPEI_Female45)
Dickey-Fuller = -20.8593, Truncation lag parameter = 3, p-value = 0.01

> 
> PP.test(MxQ_Female45)

        Phillips-Perron Unit Root Test

data:  MxQ_Female45
Dickey-Fuller = -4.328, Truncation lag parameter = 3, p-value = 0.01

> PP.test(diff(MxQ_Female45))

        Phillips-Perron Unit Root Test

data:  diff(MxQ_Female45)
Dickey-Fuller = -14.1897, Truncation lag parameter = 3, p-value = 0.01

> 
> PP.test(MxS_Female45)

        Phillips-Perron Unit Root Test

data:  MxS_Female45
Dickey-Fuller = -7.0793, Truncation lag parameter = 3, p-value = 0.01

> PP.test(diff(MxS_Female45))

        Phillips-Perron Unit Root Test

data:  diff(MxS_Female45)
Dickey-Fuller = -23.2774, Truncation lag parameter = 3, p-value = 0.01

> 
> MxY_Female45a<-na.omit(MxY_Female45)
> PP.test(MxY_Female45a)
Error in embed(x, 2) : 'x' is not a vector or matrix
> PP.test(diff(MxY_Female45a))

        Phillips-Perron Unit Root Test

data:  diff(MxY_Female45a)
Dickey-Fuller = -17.6945, Truncation lag parameter = 3, p-value = 0.01

R で Philips Perron テストを実行しています。ここで結果を確認できます。変数レベルだけでなく微分レベルでも pvalue が常に 0,01 になる理由を知りたいです。私のコードで何がうまくいかないかについてアドバイスをお願いします。

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1 に答える 1

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ドキュメントでは (簡潔に) 説明されています: p 値は補間され、最小値は 0.01 です。

于 2013-05-08T11:58:45.073 に答える