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%% Conduct the Default Integration and Stationarity Tests % Conduct paired integration and stationarity tests on two time series using % the default tests and settings. % Copyright 2015 The MathWorks, Inc. %% % Load the Nelson-Plosser data, and extract the series of real GNP, |GNPR|, % and consumer price index, |CPI|. load Data_NelsonPlosser X = DataTable{:,{'GNPR','CPI'}}; %% % |X| is a matrix containing the data for the variables |GNPR| and |CPI|. %% % Conduct the default integration (|adftest|) stationarity (|kpsstest|) % tests on the two time series. i10test(X) %% % The warnings indicate that the p-values are very large for |adftest| and % very small for |kpsstest| (that is, they are outside the Monte Carlo simulated % tables). For both series, a unit root is not rejected (|H = 0| for |I(1)|), % and stationarity is rejected (|H = 1| for |I(0)|).