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zhouab100 發(fā)表于 2010-5-1 14:34:18 |只看作者 |壇友微信交流群|倒序 |AI寫論文

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這是我進行JOHANSEN檢驗的步驟，不知道對不對？選定變量OPEN/AS GROUP /VIEW/ Cointegration TEST
步驟對的話，請幫我看一下結(jié)果，什么意思，我真看不懂，謝謝

Date: 05/01/10 Time: 13:42
Sample (adjusted): 1999Q4 2008Q2
Included observations: 35 after adjustments
Trend assumption: Linear deterministic trend
Series: LEM1 LREER LUG LZG
Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)


Hypothesized		Trace	0.05
No. of CE(s)	Eigenvalue	Statistic	Critical Value	Prob.**


None *	0.861619	96.68341	47.85613	0.0000
At most 1	0.434480	27.46236	29.79707	0.0908
At most 2	0.155073	7.512004	15.49471	0.5189
At most 3	0.045076	1.614309	3.841466	0.2039


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

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)


Hypothesized		Max-Eigen	0.05
No. of CE(s)	Eigenvalue	Statistic	Critical Value	Prob.**


None *	0.861619	69.22105	27.58434	0.0000
At most 1	0.434480	19.95036	21.13162	0.0725
At most 2	0.155073	5.897695	14.26460	0.6264
At most 3	0.045076	1.614309	3.841466	0.2039


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

Unrestricted Cointegrating Coefficients (normalized by b'S11b=I):


LEM1	LREER	LUG	LZG
0.408937	-2.523398	-0.15131	2.795813
-0.207307	22.27100	2.832099	-0.4669
4.130125	26.80575	0.105931	0.247777
0.575159	-16.42867	0.389211	-0.079972



Unrestricted Adjustment Coefficients (alpha):


D(LEM1)	-0.004227	0.001499	-0.037101	-0.008773
D(LREER)	-0.000868	-0.006661	-0.000989	0.003050
D(LUG)	-0.082494	-0.388037	-0.022622	-0.063222
D(LZG)	-0.836117	0.006736	-0.028945	-0.022901



1 Cointegrating Equation(s):		Log likelihood	77.58488


Normalized cointegrating coefficients (standard error in parentheses)
LEM1	LREER	LUG	LZG
1.000000	-6.170632	-0.370009	6.836787
	(5.67173)	(0.52132)	(0.50899)

Adjustment coefficients (standard error in parentheses)
D(LEM1)	-0.001729
	(0.00782)
D(LREER)	-0.000355
	(0.00135)
D(LUG)	-0.033735
	(0.05035)
D(LZG)	-0.341919
	(0.02732)



2 Cointegrating Equation(s):		Log likelihood	87.56006


Normalized cointegrating coefficients (standard error in parentheses)
LEM1	LREER	LUG	LZG
1.000000	0.000000	0.439951	7.116165
		(0.43133)	(0.54980)
0.000000	1.000000	0.131261	0.045275
		(0.02180)	(0.02778)

Adjustment coefficients (standard error in parentheses)
D(LEM1)	-0.002039	0.044046
	(0.00876)	(0.42830)
D(LREER)	0.001026	-0.146154
	(0.00140)	(0.06846)
D(LUG)	0.046708	-8.433811
	(0.04577)	(2.23768)
D(LZG)	-0.343316	2.259876
	(0.03062)	(1.49705)



3 Cointegrating Equation(s):		Log likelihood	90.50890


Normalized cointegrating coefficients (standard error in parentheses)
LEM1	LREER	LUG	LZG
1.000000	0.000000	0.000000	4.562387
			(0.34737)
0.000000	1.000000	0.000000	-0.71665
			(0.06078)
0.000000	0.000000	1.000000	5.804681
			(0.56175)

Adjustment coefficients (standard error in parentheses)
D(LEM1)	-0.15527	-0.950467	0.000954
	(0.07407)	(0.62279)	(0.05059)
D(LREER)	-0.003059	-0.172664	-0.018838
	(0.01267)	(0.10654)	(0.00865)
D(LUG)	-0.046722	-9.040197	-1.088874
	(0.41450)	(3.48535)	(0.28310)
D(LZG)	-0.462861	1.483988	0.142524
	(0.27665)	(2.32626)	(0.18895)

下面的不用看沒編輯好

Date: 05/01/10 Time: 13:42
Sample (adjusted): 1999Q4 2008Q2
Included observations: 35 after adjustments
Trend assumption: Linear deterministic trend
Series: LEM1 LREER LUG LZG
Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)


Hypothesized		Trace	0.05
No. of CE(s)	Eigenvalue	Statistic	Critical Value	Prob.**


None *	0.861619	96.68341	47.85613	0.0000
At most 1	0.434480	27.46236	29.79707	0.0908
At most 2	0.155073	7.512004	15.49471	0.5189
At most 3	0.045076	1.614309	3.841466	0.2039


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

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)


Hypothesized		Max-Eigen	0.05
No. of CE(s)	Eigenvalue	Statistic	Critical Value	Prob.**


None *	0.861619	69.22105	27.58434	0.0000
At most 1	0.434480	19.95036	21.13162	0.0725
At most 2	0.155073	5.897695	14.26460	0.6264
At most 3	0.045076	1.614309	3.841466	0.2039


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

Unrestricted Cointegrating Coefficients (normalized by b'S11b=I):


LEM1	LREER	LUG	LZG
0.408937	-2.523398	-0.15131	2.795813
-0.207307	22.27100	2.832099	-0.4669
4.130125	26.80575	0.105931	0.247777
0.575159	-16.42867	0.389211	-0.079972



Unrestricted Adjustment Coefficients (alpha):


D(LEM1)	-0.004227	0.001499	-0.037101	-0.008773
D(LREER)	-0.000868	-0.006661	-0.000989	0.003050
D(LUG)	-0.082494	-0.388037	-0.022622	-0.063222
D(LZG)	-0.836117	0.006736	-0.028945	-0.022901



1 Cointegrating Equation(s):		Log likelihood	77.58488


Normalized cointegrating coefficients (standard error in parentheses)
LEM1	LREER	LUG	LZG
1.000000	-6.170632	-0.370009	6.836787
	(5.67173)	(0.52132)	(0.50899)

Adjustment coefficients (standard error in parentheses)
D(LEM1)	-0.001729
	(0.00782)
D(LREER)	-0.000355
	(0.00135)
D(LUG)	-0.033735
	(0.05035)
D(LZG)	-0.341919
	(0.02732)



2 Cointegrating Equation(s):		Log likelihood	87.56006


Normalized cointegrating coefficients (standard error in parentheses)
LEM1	LREER	LUG	LZG
1.000000	0.000000	0.439951	7.116165
		(0.43133)	(0.54980)
0.000000	1.000000	0.131261	0.045275
		(0.02180)	(0.02778)

Adjustment coefficients (standard error in parentheses)
D(LEM1)	-0.002039	0.044046
	(0.00876)	(0.42830)
D(LREER)	0.001026	-0.146154
	(0.00140)	(0.06846)
D(LUG)	0.046708	-8.433811
	(0.04577)	(2.23768)
D(LZG)	-0.343316	2.259876
	(0.03062)	(1.49705)



3 Cointegrating Equation(s):		Log likelihood	90.50890


Normalized cointegrating coefficients (standard error in parentheses)
LEM1	LREER	LUG	LZG
1.000000	0.000000	0.000000	4.562387
			(0.34737)
0.000000	1.000000	0.000000	-0.71665
			(0.06078)
0.000000	0.000000	1.000000	5.804681
			(0.56175)

Adjustment coefficients (standard error in parentheses)
D(LEM1)	-0.15527	-0.950467	0.000954
	(0.07407)	(0.62279)	(0.05059)
D(LREER)	-0.003059	-0.172664	-0.018838
	(0.01267)	(0.10654)	(0.00865)
D(LUG)	-0.046722	-9.040197	-1.088874
	(0.41450)	(3.48535)	(0.28310)
D(LZG)	-0.462861	1.483988	0.142524
	(0.27665)	(2.32626)	(0.18895)

下面沒編輯好刪也刪不掉不用看的謝謝



Included
Trend assumption: Linear deterministic trend
Series: LEM1 LREER LUG LZG
Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)


Hypothesized		Trace	0.05
No. of CE(s)	Eigenvalue	Statistic	Critical Value	Prob.**


None *	0.861619	96.68341	47.85613	0.0000
At most 1	0.434480	27.46236	29.79707	0.0908
At most 2	0.155073	7.512004	15.49471	0.5189
At most 3	0.045076	1.614309	3.841466	0.2039


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

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)


Hypothesized		Max-Eigen	0.05
No. of CE(s)	Eigenvalue	Statistic	Critical Value	Prob.**


None *	0.861619	69.22105	27.58434	0.0000
At most 1	0.434480	19.95036	21.13162	0.0725
At most 2	0.155073	5.897695	14.26460	0.6264
At most 3	0.045076	1.614309	3.841466	0.2039


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

Unrestricted Cointegrating Coefficients (normalized by b'S11b=I):


LEM1	LREER	LUG	LZG
0.408937	-2.523398	-0.151310	2.795813
-0.207307	22.27100	2.832099	-0.466900
4.130125	26.80575	0.105931	0.247777
0.575159	-16.42867	0.389211	-0.079972



Unrestricted Adjustment Coefficients (alpha):


D(LEM1)	-0.004227	0.001499	-0.037101	-0.008773
D(LREER)	-0.000868	-0.006661	-0.000989	0.003050
D(LUG)	-0.082494	-0.388037	-0.022622	-0.063222
D(LZG)	-0.836117	0.006736	-0.028945	-0.022901



1 Cointegrating Equation(s):		Log likelihood	77.58488


Normalized cointegrating coefficients (standard error in parentheses)
LEM1	LREER	LUG	LZG
1.000000	-6.170632	-0.370009	6.836787
	(5.67173)	(0.52132)	(0.50899)

Adjustment coefficients (standard error in parentheses)
D(LEM1)	-0.001729
	(0.00782)
D(LREER)	-0.000355
	(0.00135)
D(LUG)	-0.033735
	(0.05035)
D(LZG)	-0.341919
	(0.02732)



2 Cointegrating Equation(s):		Log likelihood	87.56006


Normalized cointegrating coefficients (standard error in parentheses)
LEM1	LREER	LUG	LZG
1.000000	0.000000	0.439951	7.116165
		(0.43133)	(0.54980)
0.000000	1.000000	0.131261	0.045275
		(0.02180)	(0.02778)

Adjustment coefficients (standard error in parentheses)
D(LEM1)	-0.002039	0.044046
	(0.00876)	(0.42830)
D(LREER)	0.001026	-0.146154
	(0.00140)	(0.06846)
D(LUG)	0.046708	-8.433811
	(0.04577)	(2.23768)
D(LZG)	-0.343316	2.259876
	(0.03062)	(1.49705)



3 Cointegrating Equation(s):		Log likelihood	90.50890


Normalized cointegrating coefficients (standard error in parentheses)
LEM1	LREER	LUG	LZG
1.000000	0.000000	0.000000	4.562387
			(0.34737)
0.000000	1.000000	0.000000	-0.716650
			(0.06078)
0.000000	0.000000	1.000000	5.804681
			(0.56175)

Adjustment coefficients (standard error in parentheses)
D(LEM1)	-0.155270	-0.950467	0.000954
	)
D(LREER)
	(0.01267)	(0.10654)	(0.00865)
D(LUG)	-0.046722	-9.040197

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發(fā)表于 2015-1-9 13:01:46 |只看作者 |壇友微信交流群

JJ檢驗有兩種統(tǒng)計量，最大特征值和跡統(tǒng)計量，從你的結(jié)果可以看出在5%顯著性水平下存在一個協(xié)整關(guān)系。

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