一個(gè)協(xié)整結(jié)果分析，煩請(qǐng)高手幫忙
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Date: 10/28/09 |
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Sample (adjusted): 1999M04 2009M06 |
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Included observations: 123 after adjustments |
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Trend assumption: Linear deterministic trend |
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Series: X WY Q V |
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Lags interval (in first differences): 1 to 2 |
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Unrestricted Cointegration Rank Test (Trace) |
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Hypothesized |
| Trace | 0.05 |
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No. of CE(s) | Eigenvalue | Statistic | Critical Value | Prob.** | ||||
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None * | 0.244387 | 60.64917 | 47.85613 | 0.0020 | ||||
At most 1 | 0.117324 | 26.18138 | 29.79707 | 0.1234 | ||||
At most 2 | 0.069272 | 10.83128 | 15.49471 | 0.2221 | ||||
At most 3 | 0.016139 | 2.001349 | 3.841466 | 0.1572 | ||||
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Trace test indicates 1 cointegrating eqn(s) at the 0.05 level | ||||||||
* denotes rejection of the hypothesis at the 0.05 level | ||||||||
**MacKinnon-Haug-Michelis (1999) p-values |
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Unrestricted Cointegration Rank Test (Maximum Eigenvalue) | ||||||||
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Hypothesized |
| Max-Eigen | 0.05 |
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No. of CE(s) | Eigenvalue | Statistic | Critical Value | Prob.** | ||||
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None * | 0.244387 | 34.46779 | 27.58434 | 0.0056 | ||||
At most 1 | 0.117324 | 15.35011 | 21.13162 | 0.2651 | ||||
At most 2 | 0.069272 | 8.829926 | 14.26460 | 0.3006 | ||||
At most 3 | 0.016139 | 2.001349 | 3.841466 | 0.1572 | ||||
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Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level | ||||||||
* denotes rejection of the hypothesis at the 0.05 level | ||||||||
**MacKinnon-Haug-Michelis (1999) p-values |
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Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): | ||||||||
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X | WY | Q | V |
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-3.969173 | 31.86982 | 13.56827 | 306.1850 |
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2.223562 | -25.52754 | 3.892741 | -10.41026 |
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2.635019 | -8.959005 | 12.67103 | -187.5967 |
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-3.119866 | 15.25361 | 8.400732 | -4.975683 |
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Unrestricted Adjustment Coefficients (alpha): |
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D(X) | 0.001996 | 0.004043 | -0.016246 | 0.010012 | ||||
D(WY) | -0.007276 | 0.000132 | -0.003273 | 0.000579 | ||||
D(Q) | 0.003247 | -0.004878 | -0.000230 | 4.09E-05 | ||||
D(V) | -0.000266 | -0.000306 | 0.000424 | 0.000172 | ||||
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1 Cointegrating Equation(s): | Log likelihood | 1370.169 |
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Normalized cointegrating coefficients (standard error in parentheses) | ||||||||
X | WY | Q | V |
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1.000000 | -8.029335 | -3.418413 | -77.14076 |
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| (0.65619) | (0.82480) | (9.33498) |
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Adjustment coefficients (standard error in parentheses) |
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D(X) | -0.007921 |
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| (0.03766) |
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D(WY) | 0.028880 |
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| (0.00688) |
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D(Q) | -0.012887 |
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| (0.00574) |
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D(V) | 0.001056 |
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| (0.00087) |
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2 Cointegrating Equation(s): | Log likelihood | 1377.844 |
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Normalized cointegrating coefficients (standard error in parentheses) | ||||||||
X | WY | Q | V |
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1.000000 | 0.000000 | -15.44471 | -245.7223 |
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| (5.75747) | (67.9715) |
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0.000000 | 1.000000 | -1.497795 | -20.99571 |
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| (0.67776) | (8.00151) |
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Adjustment coefficients (standard error in parentheses) |
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D(X) | 0.001068 | -0.039599 |
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| (0.04313) | (0.38711) |
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D(WY) | 0.029174 | -0.235265 |
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| (0.00788) | (0.07074) |
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D(Q) | -0.023733 | 0.227994 |
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| (0.00624) | (0.05599) |
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D(V) | 0.000376 | -0.000676 |
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| (0.00099) | (0.00889) |
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3 Cointegrating Equation(s): | Log likelihood | 1382.259 |
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Normalized cointegrating coefficients (standard error in parentheses) | ||||||||
X | WY | Q | V |
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1.000000 | 0.000000 | 0.000000 | -140.6481 |
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| (39.8885) |
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0.000000 | 1.000000 | 0.000000 | -10.80584 |
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| (5.03778) |
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0.000000 | 0.000000 | 1.000000 | 6.803247 |
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| (3.33191) |
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Adjustment coefficients (standard error in parentheses) |
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D(X) | -0.041742 | 0.105953 | -0.163044 |
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| (0.04919) | (0.39114) | (0.17748) |
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D(WY) | 0.020551 | -0.205946 | -0.139677 |
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| (0.00896) | (0.07127) | (0.03234) |
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D(Q) | -0.024340 | 0.230056 | 0.022146 |
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| (0.00721) | (0.05732) | (0.02601) |
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D(V) | 0.001493 | -0.004472 | 0.000570 |
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| (0.00113) | (0.00895) | (0.00406) |
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