2.2.2 Stationary Test
Before the co-integration test, it is necessary to conduct the
stationary test of time series, and the commonly used method is ADF unit
root test(Dickey & Fuller, 1979). The formula is as follows:
(7)
In the formula,is the first-order difference of variableyt ;α 、β 、δ 、ζi are all
parameters; t is time; p is lag order;εt is white noise process.